Brownian trading excursions and avalanches. (arXiv:1701.00993v1 [q-fin.MF])
We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-between best bid and...
View ArticlePricing European Options by Stable Fourier-cosine series Expansions....
The COS method proposed in Fang and Oosterlee (2008), although highly efficient, may lack robustness for a number of cases. In this paper, we present a Stable pricing of call options based on Fourier...
View ArticleOptimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach....
We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we analyze three different...
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View ArticleMSc Investment Management - Postgraduate Programs - Marketplace.MoneyScience
Info: MSc Investment Management at the ICMA Centre - Marketplace.MoneyScience - @icmacentre #financialeducation https://t.co/UQEn1hcde7 — moneyscience…
View ArticleJapanese company replaces office workers with artificial intelligence
Japanese insurance firm replaces office workers with artificial intelligencehttps://t.co/xrlDq35vrS — moneyscience (@moneyscience) January 5, 2017
View ArticleMiFID II Not Just for EU: New Buyside Survey Finds North American Asset...
NEW YORK, Jan. 05, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today released a survey of North American institutional investors about the...
View ArticleDo Technical Experts Make Better Leaders? Part 2
Someone read yesterday's blog post about technical experts as leaders, and they asked me if I had done a similar analysis for NFL coaches. Â In yesterday's blog post, I showed that most NBA...
View ArticleThe Golden Era of Hedge Funds Draws to a Close With Clients in Revolt
The Golden Era of Hedge Funds Draws to a Close With Clients in Revolt https://t.co/BBU2bLcC7E — moneyscience (@moneyscience) January 5, 2017
View ArticleChebyshev Reduced Basis Function applied to Option Valuation....
This paper concerns the design of a Reduced basis function approach to mitigate the impact of the "Curse of Dimensionality" which appears when we deal with multidimensional interpolation, in...
View ArticlePredicting Economic Recessions Using Machine Learning Algorithms....
Even at the beginning of 2008, the economic recession of 2008/09 was not being predicted. The failure to predict recessions is a persistent theme in economic forecasting. The Survey of Professional...
View ArticleRational Decision-Making Under Uncertainty: Observed Betting Patterns on a...
What would you do if you were invited to play a game where you were given \$25 and allowed to place bets for 30 minutes on a coin that you were told was biased to come up heads 60% of the time? This is...
View ArticleOptimal liquidation in a Level-I limit order book for large tick stocks....
We propose a framework to study the optimal liquidation strategy in a limit order book for large-tick stocks, with spread equal to one tick. All order book events (market orders, limit orders and...
View ArticleBurst and inter-burst duration statistics as empirical test of long-range...
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian...
View ArticleEfficient asymptotic variance reduction when estimating volatility in high...
This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK)...
View ArticleGasoline Price Uncertainty and the Design of Fuel Economy Standards -- by...
What are the implications of gasoline price volatility for the design of fuel economy policies? I show that this problem has a strong parallel to Weitzman's (1974) classic model of using price or...
View ArticleMaximizing the Impact of Climate Finance: Funding Projects or Pilot Projects?...
This paper contributes to the understanding of how to maximize the impact of publicly provided climate finance to leverage the private sector. Agencies seeking to promote private investment in support...
View ArticleExpectation, Disappointment, and Exit: Reference Point Formation in a...
We study expectation-based reference point formation using data from an online auction marketplace. We hypothesize that exit from the marketplace is affected by disappointment from abruptly losing an...
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