Forecasting Bitcoin closing price series using linear regression and neural...
This paper studies how to forecast daily closing price series of Bitcoin, using data on prices and volumes of prior days. Bitcoin price behaviour is still largely unexplored, presenting new...
View ArticleA Socioeconomic Well-Being Index. (arXiv:2001.01036v1 [econ.GN])
An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of the US citizenry. Econometric models are fitted to the log-returns of...
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How the bystander effect can explain inaction towards global warming
Not too long ago, I was preparing a lecture about group dynamics for my students at Delft University of Technology. One of the dynamics I wanted to introduce was the bystander effect. The bystander...
View ArticleSEC Investor Advisory Committee to Hold Jan. 24 Telephone Meeting
The Securities and Exchange Commission’s Investor Advisory Committee (IAC) will meet telephonically on Jan. 24 at 11:30 a.m. Eastern time. The public is invited to listen to the meeting live using...
View ArticleSEC Office of Compliance Inspections and Examinations Announces 2020...
The Securities and Exchange Commission’s Office of Compliance Inspections and Examinations (OCIE) today announced its 2020 examination priorities. OCIE publishes its examination priorities annually...
View ArticleWhos Ditching the Bus?. (arXiv:2001.02200v1 [physics.soc-ph])
This paper uses stop-level passenger count data in four cities to understand the nation-wide bus ridership decline between 2012 and 2018. The local characteristics associated with ridership decline are...
View ArticleUnderstanding the Great Recession Using Machine Learning Algorithms....
Nyman and Ormerod (2017) show that the machine learning technique of random forests has the potential to give early warning of recessions. Applying the approach to a small set of financial variables...
View ArticleOptimal insurance contract with benefits in kind under adverse selection....
A significant loss of income can have a negative impact on households who are forced to reduce their consumption of some particular staple goods. This can lead to health issues and consequently...
View ArticleA note on the worst case approach for a market with a stochastic interest...
We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest rate is determined by...
View ArticleA simple microstructural explanation of concave pice impact....
This article describes a simple model of market microstructure which explains a concave price impact. In the proposed model, the local relationship between the order flow and the fundamental price...
View ArticleThe quadratic rough Heston model and the joint S&P 500/VIX smile...
Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may not be possible to...
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