LIBOR transition: The FCA is thinking about conduct risk – are you? -...
LIBOR transition: The FCA is thinking about conduct risk â are you? https://t.co/E71lre03Sa #LIBOR #IBOR â Logical Construct (@logicalcnstrct) December 11,â¦
View ArticleMoneyScience: The Brexit Short: How Hedge Funds Used Private Polls to Make...
ICYMI - The Brexit Short: How Hedge Funds Used Private Polls to Make Millions - https://t.co/e7It31YNic â moneyscience (@moneyscience) December 11, 2019
View ArticleIFTTT / Incompatible Browser
quantlib.js v0.3.1 released this release fixed 4 examples, experimental/credit code cleanup, examples added to test report, etc... Current status: specs +â¦
View ArticleSEC Charges Founder, Digital-Asset Issuer With Fraudulent ICO
The Securities and Exchange Commission today charged a digital-asset entrepreneur and his company with defrauding investors in an initial coin offering (ICO) that raised more than $42 million from...
View ArticleNegative Swap Spreads and Limited Arbitrage
AbstractSince October 2008, fixed rates for interest rate swaps with a 30-year maturity have been mostly below Treasury rates with the same maturity. Under standard assumptions, this implies the...
View ArticleLiquidity Provision Contracts and Market Quality: Evidence from the New York...
AbstractWe exploit a discontinuity in the New York Stock Exchange Designated Market Maker (DMM) contract to identify causal effects of DMM participation on equilibrium market outcomes. We document that...
View ArticleSocioeconomic Status and Macroeconomic Expectations
AbstractWe show that individualsâ macroeconomic expectations are influenced by their socioeconomic status (SES). People with higher income or higher education are more optimistic about future...
View ArticleThe Life Cycle of Corporate Venture Capital
AbstractThis paper investigates why industrial firms conduct Corporate Venture Capital (CVC) investment in entrepreneurial companies. I test alternative views on CVC by exploiting the entry,...
View ArticlePriority Spreading of Corporate Debt
AbstractPriority spreading refers to the practice of firms increasing their reliance on secured and subordinated debt and reducing their reliance on senior debt as their credit quality deteriorates. We...
View ArticleIdiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options
AbstractThe recent literature provides conflicting empirical evidence about the pricing of idiosyncratic risk. This paper sheds new light on the matter by exploiting the richness of option data. First,...
View ArticlePeers’ Income and Financial Distress: Evidence from Lottery Winners and...
AbstractWe examine whether relative income differences among peers can generate financial distress. Using lottery winnings as plausibly exogenous variations in the relative income of peers, we find...
View ArticleOn the difference between the volatility swap strike and the zero vanna...
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by...
View ArticleSystemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches....
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and...
View ArticleRisk of Bitcoin Market: Volatility, Jumps, and Forecasts. (arXiv:1912.05228v1...
Among all the emerging markets, the cryptocurrency market is considered the most controversial and simultaneously the most interesting one. The visibly significant market capitalization of cryptos...
View ArticleThird-degree Price Discrimination Versus Uniform Pricing. (arXiv:1912.05164v1...
We compare the revenue of the optimal third-degree price discrimination policy against a uniform pricing policy. A uniform pricing policy offers the same price to all segments of the market. Our main...
View ArticleEndogenous agglomeration in a many-region world. (arXiv:1912.05113v1 [econ.GN])
We theoretically study a general family of economic geography models that features endogenous agglomeration. In many-region settings, the spatial scale---global or local---of the dispersion force(s) in...
View ArticleGet Real: Realism Metrics for Robust Limit Order Book Market Simulations....
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of...
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Dollars or Pence? Choosing a framework for US-China trade
In his recent Wilson Center speech, Vice-President Pence argued that US trade policy towards China must now be built upon the premise that China is a âstrategic and economic rivalâ. This change in...
View ArticlePairs Trading Suggested for Energy Stocks
Carlos Salas Najera, of the New York City Data Science Academy, has tested an old idea (pairs trading) for a strategy that could be tailored to energy stocks and related ETFs. The resulting paper is...
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