We tasted science and it was….delicious!
You know what’s great? Science. You know what’s even better? Having the chance to share it with others. All you have to do is look at the back of an SSRN mug to know that we like to share new ideas. We...
View ArticleMegalomaniac
Many of us wonder what drives President Trump. Or more uncharitably, what is the nature of his mental instability. The natural place to turn is the psychiatric community, but they have walled...
View Articlehttps://t.co/8WS35YWB0J
How the Father of Arbitrage Pricing Theory Influenced Wall Street. Interview with the late Stephen A. Ross https://t.co/8WS35YWB0J â moneyscienceâ¦
View ArticleValue-at-Risk and Expected Shortfall for the major digital currencies....
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected...
View ArticleSpontaneous Segregation of Agents Across Double Auction Markets....
In this paper we investigate the possibility of spontaneous segregation into groups of traders that have to choose among several markets. Even in the simplest case of two markets and Zero Intelligence...
View ArticleThe Joy of Leadership: How Positive Psychology Can Maximize Your Impact (and...
The difference between flourishing and floundering is 10X. The difference between quantity and quality is a factor of 10. The difference in levels of engagement is exponential. People functioning at...
View ArticleEffects of capital controls on foreign exchange liquidity
The literature on capital controls has focused on their use as tools to manage capital and improve macroeconomic and financial stability. However, there is a lack of analysis of their effect on foreign...
View ArticleInformal one-sided target zone model and the Swiss franc
This paper develops a new theoretical model with an asymmetric informal one-sided exchange rate target zone, with an application to the Swiss franc following the removal of the minimum exchange rate of...
View ArticleConsultative document on the implications of fintech for banks and...
Press release about the Basel Committee issuing a consultative document on the implications of fintech for banks and supervisors (31 August 2017)
View ArticleImplications of fintech developments for banks and bank supervisors -...
Base Committee document on "Implications of fintech developments for banks and bank supervisors - consultative document", August 2017.
View ArticleHow can financial modelling predict economic crises?
Profile: Nobel Laureate Robert F. Engle III - Can we avoid financial crises in the future? https://t.co/VHBhskcDzT â moneyscience (@moneyscience) August 31,â¦
View ArticleDay Trading in Wall Street’s Complex ‘Fear Gauge’ Proliferates
Day Trading in Wall Streetâs Complex âFear Gaugeâ Proliferates https://t.co/VG2eBRC9EY â moneyscience (@moneyscience) August 31, 2017
View ArticleHow important is the Global Financial Cycle? Evidence from capital flows
This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use capital flow data disaggregated by direction and type between Q1 1990 and Q4 2015 for 85 countries, and...
View ArticleASA on Twitter
The Journal of Business & Economic #Statistics special issue looks at regime switching and threshold models. https://t.co/J9WtRuY5gOâ¦
View ArticleCFTC Orders Ikon Global Markets, Inc. to Pay $200,000 for Recordkeeping...
The U.S. Commodity Futures Trading Commission (CFTC) issued an Order filing and simultaneously settling charges against Ikon Global Markets, Inc. for failing to keep and promptly produce documentation...
View ArticleMultilayer Aggregation of Investor Trading Networks. (arXiv:1708.09850v1...
Investor trading networks are gaining rapid interest in financial market studies. In this paper, we propose three improvements for investor trading network analyses: investor categorization,...
View ArticleExtending Yagil exchange ratio determination model to the case of stochastic...
This article extends, in a stochastic environment, the Yagil (1987) model which establishes, in a deterministic dividend discount model, a range for the exchange ratio in a stock-for-stock merger...
View ArticleComplementary Bias: A Model of Two-Sided Statistical Discrimination -- by...
We introduce a model of two-sided statistical discrimination in which worker and firm beliefs are complementary. Firms try to infer whether workers have made investments required for them to be...
View ArticleMulti-generational Impacts of Childhood Access to the Safety Net: Early Life...
We examine multi-generational impacts of positive in utero and early life health interventions. We focus on the 1980s Medicaid expansions, which targeted low-income pregnant women, and were adopted...
View ArticleAnomalies Abroad: Beyond Data Mining -- by Xiaomeng Lu, Robert F. Stambaugh,...
A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France, Germany, Japan, and the U.K. All of the anomalies are consistently significant across...
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