[1612.06244] The Blockchain: A Gentle Four Page Introduction
Research: The Blockchain: A Gentle Four Page Introduction. (arXiv:1612.06244v1 [q-fin.GN]) https://t.co/pFmxpwYc65 — moneyscience (@moneyscience) December 20,…
View ArticleBank networks: contagion, systemic risk and prudential policy
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process...
View ArticlePrédire qui mourra d'ici un an : Google investit dans Aspire Health
"Prédire qui mourra d'ici un an..." https://t.co/P3RofNha5v http://pic.twitter.com/dpgBJ1IiSQ — Arthur Charpentier (@freakonometrics) December 20, 2016
View ArticleResearch Funding and Regional Economies -- by Nathan Goldschlag, Stefano...
Public support of research typically relies on the notion that universities are engines of economic development and that university research is a primary driver of high wage localized economic...
View ArticleChildhood Circumstances and Adult Outcomes: Act II -- by Douglas Almond,...
That prenatal events can have life-long consequences is now well established. Nevertheless, research on the Fetal Origins Hypothesis is flourishing and has expanded to include the early childhood...
View ArticleThe Factory-Free Economy: Outsourcing, Servitization and the Future of...
The shift towards a "factory-free" economy has drawn the attention of policy makers in North America and Europe. Some politicians have articulated alarming views, initiating mercantilist or...
View ArticleCommodity Price Forecasts, Futures Prices and Pricing Models -- by Gonzalo...
Even though commodity pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper...
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January 2017 Data Update 1: The Promise and Perils of "Big Data"!
Each year, for the last 25 years, I have spent the first week playing Moneyball, with financial data. I gather accounting and market data on all publicly traded companies, listed globally, and then try...
View ArticleCorzine Reaches $5 Million Settlement With Regulators in MF Global Case
Corzine Reaches $5 Million Settlement With Regulators in MF Global Case https://t.co/bwa6rdWp6u — John Lothian (@JohnLothian) January 6, 2017
View ArticleDerivatives Analytics with Python: Data Analysis, Models, Simulation,...
Book - Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration & Hedging- Y Hilpisch https://t.co/jxoGya6gz5 @dyjh — moneyscience…
View ArticleTrumponomics 'will not work', say Nobel-winning economists
Trumponomics gets the thumbs down from Nobel-winning economists at AFA Annual Meeting https://t.co/QQf8GnTnVT — moneyscience (@moneyscience) January 9, 2017
View ArticleProperty Safety Stock Policy for Correlated Commodities Based on Probability...
Deriving the optimal safety stock quantity with which to meet customer satisfaction is one of the most important topics in stock management. However, it is difficult to control the stock management of...
View ArticleSerially Nested CES General Equilibrium. (arXiv:1701.02216v1 [q-fin.EC])
We model production based upon a serially nested function, as we take into account the sequential processing nature of production activities. The sequence of intra-industrial processing is emulated...
View ArticlePolitical elections and uncertainty -Are BRICS markets equally exposed to...
There certainly is little or no doubt that politicians, sometimes consciously and sometimes not, exert a significant impact on stock markets. The evolving volatility over the Republican Donald Trump's...
View ArticleStability for gains from large investors' strategies in M1/J1 topologies....
We prove continuity of a controlled SDE solution in Skorokhod's $J_1$ and $M_1$ topologies and also uniformly, in probability, as a non-linear functional of the control strategy. The functional comes...
View ArticleAsset correlation estimation for inhomogeneous exposure pools....
Asset correlations play an important role in credit portfolio modelling. One possible data source for their estimation are default time series. This study investigates the systematic error that is made...
View ArticleFunctional Analytic (Ir-)Regularity Properties of SABR-type Processes....
The SABR model is a benchmark stochastic volatility model in interest rate markets, which has received much attention in the past decade. Its popularity arose from a tractable asymptotic expansion for...
View ArticlePricing insurance drawdown-type contracts with underlying L\'evy assets....
In this paper we consider some insurance policies related with drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric L\'evy process. We consider...
View ArticleMultiplex interbank networks and systemic importance - An application to...
Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks' balance sheets is more complex than the single-layer-of-exposure approach...
View ArticleITG Releases December 2016 U.S. Trading Volume
Market Share Rises to Highest Level Since July 2015 NEW YORK, Jan. 10, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today announced that...
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