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The Costs of Connection: How Data is Colonizing Human Life and Appropriating...
The Costs of Connection: How Data is Colonizing Human Life and Appropriating It for Capitalism. Nick Couldry and Ulises A. Mejias. Stanford University Press. 2019. Find this book:Â The age of Big...
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The Brilliance of the Yoneda Lemma
A beautiful revolution of the concept of “space”Continue reading on Cantorâs Paradise »
View ArticleStakeholder Orientation and Stock Price Crash Risk
Publication date: Available online 23 November 2019Source: Finance Research LettersAuthor(s): You Li, Jian ZhangAbstractThis paper examines the asset pricing implication of stakeholder orientation. We...
View ArticleOPEC Production Decisions, Macroeconomic News, and Volatility in the Canadian...
Publication date: Available online 23 November 2019Source: Finance Research LettersAuthor(s): Mohamed A. Ayadi, Walid Ben Omrane, Skander Lazrak, Xusheng YanAbstractWe examine the simultaneous effect...
View ArticleHow machine learning is revolutionising market intelligence
The Economist | A river needs a dam via @TheEconomist #AI #finance #NLP https://t.co/HE7yNqcFhZ â Yves Hilpisch (@dyjh) November 24, 2019
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Envy-Free Cake-Cutting Procedures
Ensuring fairness as a mechanistic outcomeContinue reading on Cantorâs Paradise »
View ArticleHedge Fund Flows Fall Flat in October
The Eurekahedge Hedge Fund Index was up 0.31% in October. However, it doesnât measure up to the market next to the MSCI ACWI (Local), which ended October up 1.93%. Eurekahedgeâs latest monthly...
View ArticleFair Estimation of Capital Risk Allocation. (arXiv:1902.10044v2 [q-fin.RM]...
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of...
View ArticleLifting the Heston model. (arXiv:1810.04868v2 [q-fin.CP] UPDATED)
How to reconcile the classical Heston model with its rough counterpart? We introduce a lifted version of the Heston model with n multi-factors, sharing the same Brownian motion but mean reverting at...
View ArticleFrequency volatility connectedness across different industries in China
Publication date: Available online 24 November 2019Source: Finance Research LettersAuthor(s): Junhua Jiang, Vanja Piljak, Aviral Kumar Tiwari, Janne ÃijöAbstractUtilizing the advantageous method of...
View ArticleArbitrage-Free Relative Nelson−Siegel Model
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Hokuto IshiiAbstractThis paper introduces a model of the difference between home and foreign country...
View ArticleRough volatility of Bitcoin
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Tetsuya TakaishiAbstractRecent studies have found that the log-volatility of asset returns exhibits...
View ArticleForeign Investors’ Trading Behaviors around Merger and Acquisition...
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Jin Young Yang, Reuben SegaraAbstractThis study examines foreign investorsâ trading behaviors around...
View ArticleMispricing, Returns and the Quest for Parsimony
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Wanling RudkinAbstractIn the constant trade-off between accurate modelling of stock returns and maintaining...
View ArticleA New Breed of Activism
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Tanja Artiga González, Paul CalluzzoAbstractThis paper examines shareholder activism campaigns where...
View ArticleInstitutional investor sentiment, beta, and stock returns
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Wenzhao WangAbstractThis paper examines the role of institutional investor sentiment in determination of...
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The Cognitive Microfoundations Project: a behavioural economics world tour
There has been much talk about microfoundations on the economics blogs in the last few months [Noahpinion, Mark Thoma, Simon Wren-Lewis twice, Andrew Gelman twice, Karl Smith, Paul Krugman twice,...
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