Linear and nonlinear correlations in order aggressiveness of Chinese stocks....
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of...
View ArticleSurplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets...
The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be surplus-invariant, i.e.,...
View ArticleImpact and Recovery Process of Mini Flash Crashes: An Empirical Study....
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock...
View ArticleWax and wane of the cross-sectional momentum and contrarian effects: Evidence...
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing...
View ArticlePower-law tails in the distribution of order imbalance. (arXiv:1707.05550v1...
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are...
View ArticlePlunges in the Bombay stock exchange: Characteristics and indicators....
We study the various sectors of the Bombay Stock Exchange (BSE) for a period of eight years from January 2006 to March 2014. Using the data of the daily returns of a period of eight years we...
View ArticleSecond order stochastic differential models for financial markets....
Using agent-based modelling, empirical evidence and physical ideas, such as the energy function and the fact that the phase space must have twice the dimension of the configuration space, we argue that...
View ArticleWhat's the "Optimal" Failure Rate at Netflix?
When Orange is the New Black, House of Cards, and Crown became mega-hits for Netflix, many people credited the analytics capabilities of the company. Mining the customer data had enabled the firm to...
View ArticleStarting Your Own Business: Become an Entrepreneur!
Do you have a budding entrepreneur on your hands who's anxious to bring the next great business idea to life? Make their dream come true with the accessible, expert help in Starting Your Own Business....
View ArticleMorgan Stanley Picks Frankfurt for Its New EU Trading Hub
Morgan Stanley Picks Frankfurt for Its New EU Trading Hub #Brexit https://t.co/TFp8oijpUL â Yves Hilpisch (@dyjh) July 19, 2017
View ArticleIBM Data Science on Twitter
Do you know which #machinelearning language is the most popular? @JFPuget does. Read his blog for the answer: https://t.co/SGK9curi1j #MLâ¦
View ArticleEnterprise Ethereum Alliance Becomes Worldâs Largest Open-source...
Enterprise Ethereum Alliance Becomes Worldâs Largest Open-source Blockchain Initiative https://t.co/eEhan4N8gy @EntEthAlliance â moneyscience (@moneyscience)â¦
View ArticleSome Countries Like 'Nudges' More Than Others
Do some nations respond less to nudging? Do some nations like nudges better than others? Some early evidence.https://t.co/mWJoJGOw43 â Cass Sunsteinâ¦
View ArticleAmerican Options with Discontinuous Two-Level Caps. (arXiv:1707.06138v1...
This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with...
View ArticleContagious disruptions and complexity traps in economic development....
Poor economies not only produce less; they typically produce things that involve fewer inputs and fewer intermediate steps. Yet the supply chains of poor countries face more frequent...
View ArticleThe Medieval Roots of Inclusive Institutions: From the Norman Conquest of...
The representation of merchant interests in parliaments played a crucial role in constraining monarchs' power and expanding the protection of property rights. We study the process that led to the...
View ArticleThe Dire Effects of the Lack of Monetary and Fiscal Coordination -- by...
What happens if the government's willingness to stabilize a large stock of debt is waning, while the central bank is adamant about preventing a rise in inflation? The large fiscal imbalance brings...
View ArticleAge of Marriage, Weather Shocks, and the Direction of Marriage Payments -- by...
This paper studies how aggregate economic conditions affect marriage markets in developing countries where marriage is regulated by traditional customary norms. We examine how local economic shocks...
View ArticleIndividual Results May Vary: Elementary Analytics of Inequality-Probability...
While many results from the treatment-effect and related literatures are familiar and have been applied productively in health economics evaluations, other potentially useful results from those...
View ArticleRegression Discontinuity in Time: Considerations for Empirical Applications...
Recent empirical work in several economic fields, particularly environmental and energy economics, has adapted the regression discontinuity framework to applications where time is the running variable...
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