The Saudi Stock Exchange Announces The Publication Of The Weekly Stock Market...
The total value of shares traded for the week ending 18 February 2016 amounted to SAR 28.86 billion, increasing by 1.10% over the previous week; while total stock market capitalization reached SAR...
View ArticleQuantile Cross-Spectral Measures of Dependence between Economic Variables....
In this paper we introduce quantile cross-spectral analysis of multiple time series which is designed to detect general dependence structures emerging in quantiles of the joint distribution in the...
View ArticleHousehold Income Distribution in the USA. (arXiv:1602.06234v1 [q-fin.GN])
In this article we present an alternative model for the distribution of household incomes in the United States. We provide arguments from two differing perspectives which both yield the proposed income...
View ArticleModeling Stock Price Dynamics with Fuzzy Opinion Networks....
We propose a mathematical model for the word-of-mouth communications among stock investors through social networks and explore how the changes of the investors' social networks influence the stock...
View ArticleAccrual valuation and mark to market adjustment. (arXiv:1602.06189v1 [q-fin.PR])
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation...
View ArticleBlunt Honesty, Incentives, and Knowledge Exchange. (arXiv:1602.06188v1...
We propose a simple mechanism to facilitate the buying and selling of useful, bluntly honest information. The for-profit, arm's length knowledge exchange this mechanism enables may dramatically...
View ArticleNoise Fit, Estimation Error and a Sharpe Information Criterion....
When optimizing the Sharpe ratio over a k-dimensional parameter space the thus obtained in-sample Sharpe ratio tends to be higher than what will be captured out-of-sample. For two reasons: the...
View ArticleDuality formulas for robust pricing and hedging in discrete time....
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed...
View ArticleDensity analysis of non-Markovian BSDEs and applications to biology and...
In this paper, we provide conditions which ensure that stochastic Lipschitz BSDEs admit Malliavin differentiable solutions. We investigate the problem of existence of densities for the first components...
View ArticleFunding, Repo and Credit Inclusion in Option Pricing via Dividends....
This paper specializes a number of earlier contributions to the theory of valuation of financial products in presence of credit risk, repurchase agreements and funding costs. Earlier works, including...
View ArticleIncome-comparison Attitudes in the US and the UK: Evidence from...
Economists have long been aware of utility externalities such as a tendency to compare own income with others'. If welfare losses from income comparisons are significant, any governmental interventions...
View ArticleCan You Have Too Much Grit?
Amy Morin writes in Forbes this week about an interesting new study about grit. The study, is titled "When the going gets tough: Grit predicts costly perseverance." The authors are Gale Lucas, Jonathan...
View ArticleFEDS 2016-013: Fiscal Stimulus and Firms: A Tale of Two Recessions
Christine L. Dobridge | In this paper, I examine the effects of a countercyclical fiscal policy that gave firms additional tax refunds--additional liquidity--at the end of the past two recessions. I...
View ArticleFEDS 2016-012: Heterogeneity and Unemployment Dynamics
Hie Joo Ahn and James D. Hamilton | This paper develops new estimates of flows into and out of unemployment that allow for unobserved heterogeneity across workers as well as direct effects of...
View ArticleCFTC Charges Florida-Based North American Asset Management, LLC, Alexi...
The U.S. Commodity Futures Trading Commission (CFTC) announced the filing of a civil injunctive enforcement action in the U.S. District Court for the Southern District of Florida against Defendants...
View ArticleTABB Group Identifies the Challenges Facing Blockchain In Disrupting The...
The interest in blockchain from the financial community has been tremendous. Ambitions for decentralizing trust, greater transactional transparency, an immutable record, compacting settlement periods,...
View ArticleShenzhen Stock Exchange Promulgates Guidelines For Bond Business And Answers...
Shenzhen Stock Exchange (“SZSE”) recently promulgated the Guidelines for Bond Business No.1 – Listing Pre-approval, Issuance and Listing Business of Public Offering Corporate Bonds, Guidelines for Bond...
View ArticleHometown Fund Management And Gateway Investment Management Services To Launch...
Hometown Fund Management Limited (Cayman Islands) and Gateway Investment Management Services are proud to announce the establishment of the Hometown Dubai Hospitality Fund II Limited. The fund is...
View ArticleHong Kong's Securities And Futures Commission Bans Alice Yim Ping For Three...
The Securities and Futures Commission (SFC) has banned Ms Alice Yim Ping from re-entering the industry for three years from 20 February 2016 to 19 February 2019 (Note 1).read more...
View ArticleU.S. Treasury Secretary Lew Travels To Shanghai, Beijing, Hong Kong
The U.S. Department of the Treasury today announced that Secretary Jacob J. Lew will travel to Shanghai, China for the G-20 Finance Ministers and Central Bank Governors Meeting, followed by visits to...
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