The Why of the Applicability of Statistical Physics to Economics....
We analyze the relationships between game theory and quantum mechanics and the extensions to statistical physics and information theory. We use certain quantization relationships to assign quantum...
View ArticleParameter uncertainty and reserve risk under Solvency II. (arXiv:1612.03066v1...
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. read more...
View ArticleEarly exercise decision in American options with dividends, stochastic...
Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The...
View ArticleRisk averse fractional trading using the current drawdown....
In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the...
View ArticleA hot new hedge fund is based on smart computers picking off dumb ones
Manoj Narang on his new $1bn hedge fund "I think we're at the cusp of a new renaissance in statistical arbitrage" https://t.co/3jdmMIHJ3l — moneyscience…
View ArticleDeutsche Bank suspends interest-rate trader for using WhatsApp
A Deutsche Bank rates trader has been suspended after asking a trading counterparty to join a WhatsApp group https://t.co/nO7sONaczB — moneyscience…
View ArticleProf. Steve Keen on private debt and his solution people’s QE
I’ve had some tough interviews over the years (such as the BBC HARDtalk! interview earlier this year with Stephen Sackur), but I’d have to credit the student interviewers at the University of...
View ArticleElections, Ideology, and Turnover in the U.S. Federal Government -- by...
A defining feature of public sector employment is the regular change in elected leadership. Yet, we know little about how elections influence public sector careers. We describe how elections alter...
View ArticleStatistics on payment, clearing and settlement systems in the CPMI countries...
Statistics on payment, clearing and settlement systems in the CPMI countries - Figures for 2015, published by the Committee on Payments and Market Infrastructures (CPMI), December 2016.
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Estimating Future Stock Returns, September 2016 Update Redux
Idea Credit: Philosophical Economics Blog || I get implementation credit, which is less…read more...
View ArticleIOSCO stresses importance of implementation and disclosure related to new...
IOSCO/MR/29/2016read more...
View ArticleMarket intelligence gathering at Central Banks
'Market intelligence' (MI) refers to the information, primarily qualitative in nature, that central banks gather through direct interaction and dialogue with market participants. This descriptive paper...
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LME and LME Clear announce 2017 fee schedules
The London Metal Exchange (LME) and LME Clear today announce their 2017 fee schedules.
View ArticleStylized Facts and Simulating Long Range Financial Data. (arXiv:1612.05229v1...
We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the...
View ArticleEuropean banking supervision, the role of stress test. Some brief...
A quick review of European financial stability institutions and the role of stress tests in the current juridical system.
View ArticlePredictability Hidden by Anomalous Observations. (arXiv:1612.05072v1 [q-fin.ST])
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing...
View ArticleDynamic Modeling of Price Responsive Demand in Real-time Electricity Market:...
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show...
View ArticleA diagnostic criterion for approximate factor structure. (arXiv:1612.04990v1...
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether...
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Bank lending and loan quality: the case of India
This paper analyses how non-performing loans (NPLs) of Indian banks behave through the cycle. We find that a one-percentage point increase in loan growth is associated with an increase in NPLs over...
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