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The choice between corporate and structured financing: evidence from new...

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Does money supply shape corporate capital structure? International evidence...

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Marketisation, Information Transparency and the Cost of Equity for Family Firms

Publication date: Available online 5 December 2019Source: Finance Research LettersAuthor(s): Jiaqi Guo, Changhong Li, Wenting Jiao, Zhan WangAbstractFrom the agency theory perspective, this study...

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Does Chinese Investor Sentiment Predict Asia-Pacific Stock Markets? Evidence...

Publication date: Available online 6 December 2019Source: Finance Research LettersAuthor(s): Xiao LiAbstractUnlike existing literature mainly focuses on the impacts of local investor sentiment on local...

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MoneyScience: MoneyScience's event: MathFinance Conference 2020

Head's up! The Mathfinance Conference is coming to London next March! https://t.co/lAheBR4DAv #quantfinance #quant @MathFinance — moneyscience (@moneyscience)…

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MoneyScience: Preparing for 2022: What you need to know about LIBOR...

Resource: Preparing for 2022: What you need to know about LIBOR transition (PDF) https://t.co/ljbNtao50i — moneyscience (@moneyscience) December 6, 2019

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SEC Charges Multinational Telecommunications Company With FCPA Violations

The Securities and Exchange Commission today announced that Sweden-based Telefonaktiebolaget LM Ericsson was charged with engaging in a large-scale bribery scheme involving the use of sham consultants...

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Most party manifestos have taken women’s interests seriously

Half of the electorate are women. Research has consistently shown that women are more likely to be floating voters and to make their minds up on how to vote later than men. Securing women’s votes is...

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Effects of retirement on the health of elderly people in São Paulo,...

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Impact of R&D expenditures, rainfall and temperature variations in...

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Uncertainty and crude oil market volatility: new evidence

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Diamonds and precious metals for reduction of portfolio tail risk

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Extrinsic psychosocial stressors and workers’ productivity: impact of...

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Estimating the gravity model when zero trade flows are frequent and...

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A portfolio approach to the optimal mix of funded and unfunded pensions

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Conic quantization: stochastic volatility and market implied liquidity

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Technical trading rules in the cryptocurrency market

Publication date: Available online 6 December 2019Source: Finance Research LettersAuthor(s): Klaus Grobys, Shaker Ahmed, Niranjan SapkotaAbstractThis paper studies simple moving average trading...

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Time-Varying Price Discovery in Sovereign Credit Markets

Publication date: Available online 7 December 2019Source: Finance Research LettersAuthor(s): Massimo Guidolin, Manuela Pedio, Alessandra TosiAbstractWe analyze time-variation of the price discovery...

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Taking the Floor: Models, Morals and Management in a Wall Street Trading Room...

Taking the Floor: Models, Morals and Management in a Wall Street Trading Room. Daniel Beunza. Princeton University Press. 2019. Find this book:  In Taking the Floor: Models, Morals and Management in...

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Credit valuation adjustment wrong-way risk in a Gaussian copula model

In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.

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Basel risk weight functions and forward-looking expected credit losses

The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and...

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Costs of capital under credit risk

In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer...

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The Geometry of Pitch Class Sets

Strange Spaces in Music TheoryContinue reading on Cantor’s Paradise »

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Cyber risk management: an actuarial point of view

This paper points out the peculiarities of cyber insurance contracts compared with the classical nonlife insurance contracts from both the insurer’s and the insured’s perspectives. The main...

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Estimation of value-at-risk for conduct risk losses using pseudo-marginal...

The authors propose a model for conduct risk losses, in which conduct risk losses are characterized by having a small number of extremely large losses (perhaps only one) with more numerous smaller losses.

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Brent crude oil spot and futures prices: structural break insights

This study focuses on the analysis of long-run and short-run relationships between Brent crude oil spot and futures prices during the first Gulf War (1990–91) and the global financial crisis.

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How to Evaluate Smart Beta ETFs

By Nicolas Rabener of FactorResearch (@FactorResearch) Beta is like ice cream and comes in many flavors. Broadly we can categorize it into the following four types: Plain beta: Market...

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Analysis of the Risk-Sharing Principal-Agent problem through the...

In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution...

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BitMEX Funding Correlation with Bitcoin Exchange Rate. (arXiv:1912.03270v1...

This paper examines the relationship between Inverse Perpetual Swap contracts, a Bitcoin derivative akin to futures and the margin funding interest rates levied on BitMEX. This paper proves the...

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The international effects of central bank information shocks....

We explore the international transmission of monetary policy and central bank information shocks by the Federal Reserve and the European Central Bank. Identification of these shocks is achieved by...

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The Choice of When to Buy and When To Sell. (arXiv:1912.02869v1 [econ.GN])

A consumer who wants to consume a good at a particular period may nevertheless attempt to buy it earlier if he is concerned that the good will otherwise be sold. We analyze the behavior of consumers in...

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From workers to capitalists in less than two generations: the Chinese urban...

The transformation of China from a poor and egalitarian country to an upper middle-income country with the level of income inequality greater than in the United States has been the subject of...

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MoneyScience: Collected Investopedia Guides to Quants - The Rocket Scientists...

Resource: Collected Investopedia Guides to Quants - The Rocket Scientists of Wall Street https://t.co/XvTfBNtYeo — moneyscience (@moneyscience) December 9,…

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Eight AI and Machine Learning Practices Defined and Explained.

Eight AI and Machine Learning Practices Defined and Explained. https://t.co/fc4W5R8X2c — Towards Data Science (@TDataScience) December 9, 2019

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MoneyScience: Blog - Finance and Philosophy

Resource: Blog - Finance and Philosophy https://t.co/QHWAJP43xs — moneyscience (@moneyscience) December 9, 2019

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One-dimensional Markov-functional models driven by a non-Gaussian driver

The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional...

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The Chebyshev method for the implied volatility

In this paper, the authors propose a bivariate interpolation of the implied volatility surface based on Chebyshev polynomials. This yields a closed-form approximation of the implied volatility, which...

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Currency risk in foreign currency accounts for small and medium-sized businesses

This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.

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The impact of the cross-shareholding network on extreme price movements:...

By using information about the ownership structure of listed companies from 2004 to 2016, the authors construct the cross-shareholding network for each year and examine the effects of the network...

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A simulation-based model for optimal demand response load shifting: a case...

This paper describes a case study of analyzing DR load-shifting strategies for a retail electric provider for the Texas (ERCOT) market using a Monte Carlo simulation with stochastic loads and...

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Validation of index and benchmark assignment: adequacy of capturing tail risk

This paper provides practical recommendations for the validation of risk models under the Targeted Review of Internal Models (TRIM).

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Value-at-risk in the European energy market: a comparison of parametric,...

This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.

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US nonfarm employment prediction using RIWI Corp. alternative data

IntroductionThe monthly US nonfarm payroll (NFP) announcement by the United States Bureau of Labor Statistics (BLS) is one of the most closely watched economic indicators, for economists and investors...

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Statement in Connection with the 2019 AICPA Conference on Current SEC and...

Statement in Connection with the 2019 AICPA Conference on Current SEC and PCAOB Developments Sagar Teotia, Chief Accountant Washington D.C. Dec. 9, 2019

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Remarks before the 2019 AICPA Conference on Current SEC and PCAOB Developments

Remarks before the 2019 AICPA Conference on Current SEC and PCAOB Developments Aaron Shaw, Professional Accounting Fellow, Office of the Chief Accountant Washington D.C. Dec. 9, 2019

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SEC Obtains Touting and Fraud Judgment Against Colorado Cannabis Stock Promoter

A Colorado stock promoter and two of his companies agreed to pay $4.2 million to settle the U.S. Securities and Exchange Commission's charges for fraudulently promoting and trading a cannabis stock.Â...

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Jefferies to Pay Nearly $4 Million for Improper Handling of ADRs

The Securities and Exchange Commission today announced that broker-dealer Jefferies LLC will pay nearly $4 million to settle charges of improper handling of “pre-released” American Depositary...

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A non-expected utility model and its application in practical auctions

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Does economic policy uncertainty matter for commodity market in China?...

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