Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio...
Sequential portfolio selection has attracted increasing interests in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning...
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...
View ArticleNetwork-Mediated Knowledge Spillovers: A Cross-Country Comparative Analysis...
A large and growing literature has used patent and patent citation data to measure knowledge spillovers across inventions and organizations, but relatively few papers in this literature have explicitly...
View ArticleWater, Health and Wealth -- by Nava Ashraf, Edward Glaeser, Abraham Holland,...
Providing clean water requires maintenance, as well as the initial connections that are typically measured. Frequently, the water supply fails in the developing world, especially when users don't pay...
View ArticleCuriosity Affects the Brain, Enhances Learning
Several years ago, Daisy Yuhas wrote an interesting article about new neuroscience research regarding curiosity and leanring. I came across the article today, and I thought it was worth sharing the key...
View ArticleWeekly Top 5 Papers – September 18th, 2017
1. Misconceptions About Nudges by Cass Sunstein (Harvard Law School; Harvard University – Harvard Kennedy School (HKS))read more...
View ArticleCommissioner Quintenz Named Sponsor of the Technology Advisory Committee
The U.S. Commodity Futures Trading Commission (CFTC) today announced that Commissioner Brian Quintenz will sponsor the CFTCâs Technology Advisory Committee (TAC).
View ArticleOptimal Liquidation Problems in a Randomly-Terminated Horizon....
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of...
View ArticleA new approach to the modeling of financial volumes. (arXiv:1709.05823v1...
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is...
View ArticleGDP growth rates as confined L\'evy flights. (arXiv:1709.05594v1 [q-fin.GN])
A new model that combines economic growth rate fluctuations at the microscopic and macroscopic level is presented. At the microscopic level, firms are growing at different rates while also being...
View ArticleExplicit Solution for Constrained Stochastic Linear-Quadratic Control with...
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various...
View ArticleSemi-Static Variance-Optimal Hedging in Stochastic Volatility Models with...
In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula...
View ArticleSemi-Static and Sparse Variance-Optimal Hedging. (arXiv:1709.05519v1 [q-fin.MF])
We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give general representations of...
View ArticleRelatedness, Knowledge Diffusion, and the Evolution of Bilateral Trade....
During the last decades two important contributions have reshaped our understanding of international trade. First, countries trade more with those with whom they share history, language, and culture,...
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Central bankers warn of $13 trillion hole in global debt calculations
Trillions of $s of FX derivatives may be âmissingâ from calculations of the amount of debt in the global economy https://t.co/lj9W5nrXxz â moneyscienceâ¦
View ArticleBasel III definition of capital - Frequently asked questions
Basel III definition of capital - Frequently asked questions published by the Basel Committee, September 2017. These aim to promote consistent global implementation of Basel III.
View ArticleFAQs on Basel III definition of capital published by the Basel Committee
Press release about the Basel Committee publishing FAQs on Basel III definition of capital (19 September 2017)
View ArticleHas the UFC Jumped the Shark?
Now, in the middle of hurricanes, Trump, and a (possibly) overheated stock market, here's a blog about something different and somewhat inconsequential: The mixed martial arts world, which pretty much...
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