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How To Count Cards

An Homage & Walk-Through Of The Infamous Hi-Lo System Continue reading on Cantor’s Paradise »

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University R&D Activities and Firm Innovations

Publication date: Available online 18 November 2019 Source: Finance Research Letters Author(s): Xiaoying Li, Ying Tan Abstract This paper combines firm R&D activities with local university R&D...

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Democratization Without Education

By Bill Kelly, CAIA Association CEO The American history buffs out there will know that we are just a few short weeks away from the 246th anniversary of the Boston Tea Party. Back in 1773, the British...

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Labor unions and loan contracts

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On the propensity to issue contingent convertible (CoCo) bonds

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Index tracking through deep latent representation learning

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A variation of Merton's corporate bond valuation model for firms with...

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Buy rough, sell smooth

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A PDE method for estimation of implied volatility

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Market or limit orders?

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Agent-based modelling in directional-change intrinsic time

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A coming out party for the world's most valuable company: Aramco's long...

In a year full of interesting initial public offerings, many of which I have looked at in this blog, it is fitting that the last IPO I value this year will be the most unique, a company that after its...

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Glued to the TV Distracted Noise Traders and Stock Market Liquidity

ABSTRACT In this paper we study the impact of noise traders’ limited attention on financial markets. Specifically we exploit episodes of sensational news (exogenous to the market) that distract...

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Enhancing Time Series Momentum Strategies Using Deep Neural Networks....

While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce...

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The Impact of Renewable Energy Forecasts on Intraday Electricity Prices....

In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves...

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Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial...

The paper examines the potential of deep learning to support decisions in financial risk management. We develop a deep learning model for predicting whether individual spread traders secure profits...

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Diffusion Approximations for Expert Opinions in a Financial Market with...

This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying drift, we also...

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Optimal Search and Awareness Expansion. (arXiv:1911.07773v1 [econ.TH])

This paper introduces a search problem where a consumer has to first become aware of an alternative, before being able to search it. Initially, the consumer is aware of only a few alternatives. During...

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The Laplace transform of the integrated Volterra Wishart process....

We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is...

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Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection....

For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually...

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Mathematical Modeling of Systemic Risk in Financial Networks: Managing...

As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements...

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Application of Principal Component Analysis in Chinese Sovereign Bond Market...

This paper analyses the Chinese Sovereign bond yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data...

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Imitation in the Imitation Game. (arXiv:1911.06893v1 [cs.CY])

We discuss the objectives of automation equipped with non-trivial decision making, or creating artificial intelligence, in the financial markets and provide a possible alternative. Intelligence might...

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Jeroen Tas: ‘If we don’t look at the big picture, we can tweak...

When he bought large orders of light bulbs for his Winter Palace, the Russian Tsar became a high-profile customer of Philips, the Dutch multinational corporation founded in 1891 to produce just that:...

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Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the...

Publication date: Available online 18 November 2019 Source: Finance Research Letters Author(s): Christina Christou, David Gabauer, Rangan Gupta Abstract In this paper, we analyse the impact of...

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When Bitcoin meets economic policy uncertainty (EPU): Measuring risk...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Gang-Jin Wang, Chi Xie, Danyan Wen, Longfeng Zhao Abstract Bitcoin was launched to solve the distrust and...

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Editorial Board

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s):

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CEO pay disparity, chaebol affiliations, and implied cost of equity capital

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Hong-min Chun Abstrac This paper examines CEO pay disparity and its effect on the implied cost of equity capital...

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Cryptocurrencies as financial bubbles: The case of Bitcoin

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Julian Geuder, Harald Kinateder, Niklas F. Wagner Abstract We study bubble behavior in Bitcoin prices during the...

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Patience in financial decisions and post-secondary education

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Na Young Park Abstract Using the survey data, this paper tests whether one's level of post-secondary education is...

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Determinants of within and cross-country economic policy uncertainty...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Yonghong Jiang, Zixuan Zhu, Gengyu Tian, He Nie Abstract We use a relatively novel TVP-VAR method to calculate...

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Linkages between crude oil and emerging Asian stock markets: New evidence...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Imran Yousaf, Arshad Hassan Abstract This study examines returns and volatility spillover between crude oil and...

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Seasonality in cryptocurrencies

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Lars Kaiser Abstract Considering a relatively large cross-section of ten cryptocurrencies, we test for the...

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Optimal margin requirement

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Edina Berlinger, Barbara Dömötör, Ferenc Illés Abstract We investigate the optimal level of margin requirement...

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Neighbors matter: Geographical distance and trade timing in the stock market

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Kȩstutis Baltakys, Margarita Baltakienė, Hannu Kärkkäinen, Juho Kanniainen Abstract The starting point of this...

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The day of the week effect in the cryptocurrency market

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Guglielmo Maria Caporale, Alex Plastun Abstract This paper examines the day of the week effect in the...

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Does government support promote SME tax payments? New evidence from Vietnam

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Vu Van Huong, Ly Kim Cuong Abstract This paper examines whether governments can benefit from their support for...

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The policy uncertainty and market volatility puzzle: Evidence from wavelet...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Aviral Kumar Tiwari, R.K. Jana, David Roubaud Abstract This article communicates a new dimension on the...

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Asset quality, debt maturity, and market liquidity

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Yaxian Gong, Xu Wei Abstract We construct a model that endogenizes both the debt maturity choices of financial...

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Short and long-term interest rate risk: The sovereign balance-sheet nexus

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): António Afonso, José Alves Abstract We compute stock-flow adjustments (SFA) using sovereign balance sheet...

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Does religion affect cross-border acquisitions? Tales from developed and...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): R. Shyaam Prasadh, M. Thenmozhi Abstract This article examines how religious distance and religious freedom...

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Financial flows, global interest rates, and political integration

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Jun Nagayasu Abstract This paper empirically analyzes international financial flows using data from 2000 to 2016....

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An empirical analysis of the Adaptive Market Hypothesis with calendar...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Xiong Xiong, Yongqiang Meng, Xiao Li, Dehua Shen Abstract Adaptive Market Hypothesis (AMH) claims that the degree...

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Does the shareholding network affect bank's risk-taking behavior? An...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Bing Li, Changhong Li, Li Wang Abstract The shareholding network provides a new paradigm to describe the relations...

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Institutional environment and financing costs: Evidence from venture capital...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Qing Liang, Christopher Gan, Zhaohua Li Abstract This study examines the financing cost enterprises confront when...

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Microfinance institutions and the provision of mobile financial services:...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Gregor Dorfleitner, Quynh Anh Nguyen, Michaela Röhe Abstract This study empirically investigates the factors...

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Haze, investor attention and China's stock markets: Evidence from internet...

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Yihao Zhang, Lingfeng Tao Abstract This paper investigates the impact of haze on China's stock markets and the...

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Operating leases, operating leverage, operational inflexibility and sticky costs

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Douglas O. Cook, Robert Kieschnick, Rabih Moussawi Abstract We show that a firm's operating lease expenses are the...

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Bitcoin price–volume: A multifractal cross-correlation approach

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Marwane El Alaoui, Elie Bouri, David Roubaud Abstract We study the price–volume cross-correlation in the Bitcoin...

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Effect of bifurcation on the interaction between Bitcoin and Litecoin

Publication date: December 2019 Source: Finance Research Letters, Volume 31 Author(s): Zhiyong Tu, Changyong Xue Abstract This paper studied the effect of the bifurcation of Bitcoin on its interactions...

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