Financial Services Industryâs Confidence In The UKâs Economic...
The financial services industry’s confidence in the UK’s economic prospects has fallen to its lowest level since 2012, the latest Chartered Institute for Securities & Investment (CISI) survey has...
View ArticleBoat Services Strengthens Fast Growing Team, Carl Nilsen Joins As Director Of...
With business gaining momentum and more clients continuously committing to the Pan-European MiFID II multi-asset trade reporting service TRADEcho, Boat have appointed Carl Nilsen, former Head of...
View ArticleAl Mawared Brokerage: Amman Stock Exchange Weekly Report For Week November 20...
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View ArticleA Primer on Portfolio Choice with Small Transaction Costs....
This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify...
View ArticleWavelet-based methods for high-frequency lead-lag analysis....
We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing...
View ArticleA Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade....
Peru's abundant natural resources and friendly trade policies has made the country a major economic player in both South America and the global community. Consequently, exports are playing an...
View ArticleA Model of Synchronization for Self-Organized Crowding Behavior....
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in...
View ArticleLong-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale...
This paper studies the long-term growth rate of expected utility from holding a leveraged exchanged-traded fund (LETF), which is a constant proportion portfolio of the reference asset. Working with the...
View ArticleHow many market makers does a market need?. (arXiv:1612.00981v1 [q-fin.MF])
We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequency of buy limit orders below a given...
View ArticleThe countercyclical capital buffer and the composition of bank lending
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the...
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The Beauty of Old Ideas
Photo Credit: Daniele Dalledonne || Ever been to a place where everything was a little past its prime, but showed that it was a beautiful place in its time?read more...
View ArticleWeekly Top 5 Papers â December 5, 2016
1. Searching for Justice Scalia: Measuring the âScalia-nessâ of the Next Potential Member of the U.S. Supreme Court by Jeremy Kidd (Mercer University â Walter F. George School of Law) and...
View ArticleMulti-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric...
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian...
View ArticleStability of calibration procedures: fractals in the Black-Scholes model....
Usually, in the Black-Scholes pricing theory the volatility is a positive real parameter. Here we explore what happens if it is allowed to be a complex number. The function for pricing a European...
View ArticleUniversal Exponential Structure of Income Inequality: Evidence from 60...
Economic competition between humans leads to income inequality, but, so far, there has been little understanding of underlying quantitative mechanisms governing such a collective behavior. We analyze...
View ArticleZara: Can Competitors Match Its Fast Fashion Model?
Patricia Kowsmann wrote a terrific article about Zara today. Zara, as many of you know, is a highly successful Spanish apparel retailer. In the article Kowsmann explains how quickly Zara can bring a...
View ArticleSocGen's 'Most Worrying Chart' Shows Markets Still Shrugging Off Political Risk
2016's Political upheaval & policy uncertainty have left little impression on corp. bond market & SocGen is nervous https://t.co/nmjf0hJuhJ â moneyscienceâ¦
View ArticleAn Effective Fix for Bored, Disengaged Employees
Chief Learning Officer magazine reported this week on a study by Udemy about boredom and disengagement in the workplace. The study found that 43% of respondents were bored at work. 80% believed...
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