Declining Competition and Investment in the U.S. -- by German Gutierrez,...
The U.S. business sector has under-invested relative to Tobin's Q since the early 2000's. We argue that declining competition is partly responsible for this phenomenon. We use a combination of natural...
View ArticleThe Arrival of Fast Internet and Employment in Africa -- by Jonas Hjort,...
To show how fast Internet affects employment in Africa, we exploit the gradual arrival of submarine Internet cables and maps of the terrestrial cable network. Robust difference-in-differences estimates...
View ArticleGeography, Search Frictions and Endogenous Trade Costs -- by Giulia...
We leverage detailed data on vessel movements and shipping contracts to shed new light on world trade costs and trade flows. The data reveal new facts about shipping patterns, and motivate us to build...
View ArticleThe Cyclical Sensitivity in Estimates of Potential Output -- by Olivier...
The fact that most of the persistent declines in output since the Great Recession have parlayed into equivalent declines in measures of potential output is commonly interpreted as implying that output...
View ArticleNetwork analysis of Japanese global business using quasi-exhaustive...
Network analysis techniques remain rarely used for understanding international management strategies. Our paper highlights their value as research tool in this field of social science using a large set...
View ArticleSequence Classification of the Limit Order Book using Recurrent Neural...
Recurrent neural networks (RNNs) are types of artificial neural networks (ANNs) that are well suited to forecasting and sequence classification. They have been applied extensively to forecasting...
View ArticleLinear and nonlinear correlations in order aggressiveness of Chinese stocks....
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of...
View ArticleSurplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets...
The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be surplus-invariant, i.e.,...
View ArticleImpact and Recovery Process of Mini Flash Crashes: An Empirical Study....
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock...
View ArticleWax and wane of the cross-sectional momentum and contrarian effects: Evidence...
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing...
View ArticlePower-law tails in the distribution of order imbalance. (arXiv:1707.05550v1...
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are...
View ArticlePlunges in the Bombay stock exchange: Characteristics and indicators....
We study the various sectors of the Bombay Stock Exchange (BSE) for a period of eight years from January 2006 to March 2014. Using the data of the daily returns of a period of eight years we...
View ArticleSecond order stochastic differential models for financial markets....
Using agent-based modelling, empirical evidence and physical ideas, such as the energy function and the fact that the phase space must have twice the dimension of the configuration space, we argue that...
View ArticleWhat's the "Optimal" Failure Rate at Netflix?
When Orange is the New Black, House of Cards, and Crown became mega-hits for Netflix, many people credited the analytics capabilities of the company. Mining the customer data had enabled the firm to...
View ArticleStarting Your Own Business: Become an Entrepreneur!
Do you have a budding entrepreneur on your hands who's anxious to bring the next great business idea to life? Make their dream come true with the accessible, expert help in Starting Your Own Business....
View ArticleMorgan Stanley Picks Frankfurt for Its New EU Trading Hub
Morgan Stanley Picks Frankfurt for Its New EU Trading Hub #Brexit https://t.co/TFp8oijpUL â Yves Hilpisch (@dyjh) July 19, 2017
View ArticleIBM Data Science on Twitter
Do you know which #machinelearning language is the most popular? @JFPuget does. Read his blog for the answer: https://t.co/SGK9curi1j #MLâ¦
View ArticleEnterprise Ethereum Alliance Becomes Worldâs Largest Open-source...
Enterprise Ethereum Alliance Becomes Worldâs Largest Open-source Blockchain Initiative https://t.co/eEhan4N8gy @EntEthAlliance â moneyscience (@moneyscience)â¦
View ArticleSome Countries Like 'Nudges' More Than Others
Do some nations respond less to nudging? Do some nations like nudges better than others? Some early evidence.https://t.co/mWJoJGOw43 â Cass Sunsteinâ¦
View ArticleAmerican Options with Discontinuous Two-Level Caps. (arXiv:1707.06138v1...
This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with...
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