ECB Policies Involving Government Bond Purchases: Impact and Channels -- by...
We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel...
View ArticleFinancial Crises and Lending of Last Resort in Open Economies -- by Luigi...
We study financial panics in a small open economy with floating exchange rates. In our model, bank runs trigger a decline in domestic wealth and a currency depreciation. Runs are more likely when banks...
View ArticleNudging: A Very Short Guide by Cass R. Sunstein :: SSRN
Nudging: a very short guide.https://t.co/nZoEFf6aGt â Cass Sunstein (@CassSunstein) November 6, 2017
View ArticleBubble Value at Risk: A Countercyclical Risk Management Approach, Revised...
Bubble Value at Risk: A Countercyclical Risk Management Approach, Revised Edition @wiley_finance https://t.co/mtBiPHNboD â moneyscience (@moneyscience)â¦
View ArticleMost EU firms plan retreat from UK suppliers - CIPS
63% of non-British European companies expect to move some of their supply chain out of Britain, up from 44% in May https://t.co/5ipW1KLjIP â Pawel Swidlickiâ¦
View ArticleEnhance Oil and Gas Exploration with Data-Driven Geophysical and...
Enhance Oil & Gas Exploration with Data-Driven Geophysical and Petrophysical Models demonstrates a new approach to geophysics and petrophysics data analysis using the latest methods drawn from Big...
View ArticleDesigning Brand Identity: An Essential Guide for the Whole Branding Team, 5th...
Whether you're the project manager for your company's rebrand, or you need to educate your staff or your students about brand fundamentals, Designing Brand Identity is the quintessential resource. From...
View ArticleLong-range Auto-correlations in Limit Order Book Markets: Inter- and...
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data...
View ArticlePortfolio Optimization and Model Predictive Control: A Kinetic Approach....
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The...
View ArticleOptimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon....
In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given...
View ArticleKobe Steel, Middle Managers, and Unethical Behavior
The Wall Street Journal reports today about the results of an interim investigation into the product quality scandal at Japan's Kobe Steel. According to the newspaper, "Kobe Steel Ltd. released a...
View ArticleApplied Probabilistic Calculus for Financial Engineering: An Introduction...
Illustrates how R may be used successfully to solve problems in quantitative financeread more...
View ArticleNonconcave Robust Optimization under Knightian Uncertainty....
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies are restricted to those taking values in a discrete set. The optimization problems under...
View ArticleEfficient Simulation for Portfolio Credit Risk in Normal Mixture Copula...
This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default. One such performance measure of interest is the...
View ArticleVariance optimal hedging with application to Electricity markets....
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy...
View ArticleOptimal portfolio with insider information on the stochastic interest rate....
We consider the optimal portfolio problem where the interest rate is stochastic and the agent has insider information on its value at a finite terminal time. The agent's objective is to optimize the...
View ArticleThe Many Ways Amazon and Others Could Storm the Gates of Finance
The Many Ways Amazon and Others Could Storm the Gates of Finance https://t.co/m1JoIMVv1j â moneyscience (@moneyscience) November 13, 2017
View ArticleRemarks of CFTC Chairman J. Christopher Giancarlo to the ISDA Regulators and...
Remarks of CFTC Chairman J. Christopher Giancarlo to the ISDA Regulators and Industry Forum, Singapore
View ArticleOn the Economics of Audit Partner Tenure and Rotation: Evidence from PCAOB...
This paper provides the first partner tenure and rotation analysis for a large cross-section of U.S. publicly listed firms over an extended period. We analyze the effects on audit quality as well as...
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