Testing the causality of Hawkes processes with time reversal....
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation...
View ArticleCounterparty credit limits: An effective tool for mitigating counterparty...
A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions...
View ArticleThe Aggregation Property and its Applications to Realised Higher Moments....
We develop a general multivariate aggregation property which encompasses the distinct versions of the property that were introduced by Neuberger [2012] and Bondarenko [2014] independently. This way, we...
View ArticleOption Pricing with Greed and Fear Factor: The Rational Finance Approach....
We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory. We derive option pricing formulas when asset returns are...
View ArticleThe inefficiency of Bitcoin revisited: a dynamic approach....
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using...
View ArticleLocal Volatility Calibration by Optimal Transport. (arXiv:1709.08075v1...
The calibration of local volatility models from observable option prices has always been an important problem in quantitative finance. The classical formula by Dupire, despite being heavily used by...
View ArticleOwnership Cost Calculations for Distributed Energy Resources Using...
Ownership cost calculation plays an important role in optimal operation of distributed energy resources (DERs) and microgrids (MGs) in the future power system, known as smart grid. In this paper, a...
View ArticleDecomposition of the Inequality of Income Distribution by Income Types -...
This paper identifies the salient factors that characterize the inequality income distribution for Romania. Data analysis is rigorously carried out using sophisticated techniques borrowed from...
View ArticleInequality is getting so bad it's threatening the very foundation of economic...
Inequality is getting so bad itâs threatening the very foundation of economic growth https://t.co/tp2sosXXt9 http://pic.twitter.com/JkjkULc3hX â BI Marketsâ¦
View ArticleRenegade Inc. on Twitter
"BitCoin has been overrun by charming sociopaths, attract a lot of 'dumb money'," says @ummjackson. https://t.co/2F2O2hsy68 http://pic.twitter.com/xLjLqTdILB ââ¦
View ArticleSatellites the size of a shoebox
US firm Planet Labs makes satellites you could hold in your hands, and has more in orbit than anyone else. https://t.co/so3yYrmHtw â moneyscienceâ¦
View ArticleThe most important finance jobs you never even knew existed
The most important finance jobs you never even knew existed. Top technologistâs date night https://t.co/AR4k6ZJMX1 http://pic.twitter.com/WkbY9NSJE6 ââ¦
View ArticleHow biotechnology will soon give almost anyone the power to destroy humanity
Genetic Engineering Holds the Power to Save Humanity or Kill It https://t.co/rCJFX94Trv â moneyscience (@moneyscience) September 26, 2017
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The Role of Student Organizations in Developing Leadership: New Directions...
How can formal student organizations in secondary and post-secondary education leverage the development of student leadership capacities? After describing the historical and current significance of...
View ArticleBig Data
Proceedings of the IFC Satellite Seminar at the ISI Regional Statistics Conference 2017 on "Big Data", Bali, Indonesia, 21 March 2017.
View ArticleCFTC Approves Delegated Authority Provisions for Designated Contract Markets
The U.S. Commodity Futures Trading Commission (CFTC) today adopted final rules delegating authority to CFTC staff, under the agencyâs system safeguards rules, to notify each designated contract...
View ArticlePressure for Directors to Sit on Fewer Boards
The Wall Street Journal's Sarah Krouse and Joann S. Lublin report today that several major institutional investors have been pressuring companies to reduce the number of directors that simultaneously...
View ArticlePricing derivatives in Hermite markets. (arXiv:1709.09068v1 [q-fin.MF])
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we...
View ArticleAnalytic approach to variance optimization under an $\ell_1$ constraint....
The optimization of the variance supplemented by a budget constraint and an asymmetric L1 regularizer is carried out analytically by the replica method borrowed from the theory of disordered systems....
View ArticleA sentiment-based model for the BitCoin: theory, estimation and option...
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system...
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