Investing in the Presence of Massive Flows: The Case of MSCI Country...
Almost $10 trillion is benchmarked to Morgan Stanley Capital International's Developed, Emerging, Frontier, and standalone market indexes. Reclassifications from one index to another require thousands...
View ArticleSegmented money markets and covered interest parity arbitrage
This paper studies the violation of the most basic no-arbitrage condition in international finance - Covered Interest Parity (CIP). To understand the CIP conundrum, it is key to (i) account for funding...
View ArticleWeekly Top 5 Papers â July 10th 2017
1. Why Not Taxation and Representation? A Note on the American Revolution by Sebastian Galiani (University of Maryland – Department of Economics) and Gustavo Torrens (Indiana University)read more...
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Preparing for FRTB â what you need to know
As the deadline to Fundamental Review of the Trading Book (FRTB) approaches, banks must be ready to prove regulatory compliance. Numerix, an industry leader in derivatives technology, has developed an...
View ArticleThe Wealth of Nations: Complexity Science for an Interdisciplinary Approach...
Classic economic science is reaching the limits of its explanatory powers. Complexity science uses an increasingly larger set of different methods to analyze physical, biological, cultural, social, and...
View ArticleResidual Value Forecasting Using Asymmetric Cost Functions....
Leasing is a popular channel to market new cars. Pricing a leasing contract is complicated because the leasing rate embodies an expectation of the residual value of the car after contract expiration....
View ArticleDynamic Quantile Function Models. (arXiv:1707.02587v1 [stat.ME])
We offer a novel way of thinking about the modelling of the time-varying distributions of financial asset returns. Borrowing ideas from symbolic data analysis, we consider data representations beyond...
View ArticleConsistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull...
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their...
View ArticleThe LIVING Supply Chain: The Evolving Imperative of Operating in Real Time
Creates a managerial compass for entering into the LIVING (Live, Intelligent, Velocity, Interactive, Networked, and Good) era of supply chain management and defines the imperative for creating Velocity...
View ArticleViability and Arbitrage under Knightian Uncertainty. (arXiv:1707.03335v1...
We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its relation to economic viability, and the...
View ArticleThe discontinuation of the EUR/CHF minimum exchange rate in January 2015: was...
We derive risk-neutral probability densities for future euro/Swiss franc exchange rates as implied by option prices. We find that the credibility of the Swiss franc floor somewhat decreased as the spot...
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Perceived Versus Real Risk Tolerance
Picture Credit: Denise Krebs || What RFK said is not applicable to investing. Â Safety First! Â Don’t lose money!read more...
View ArticleItâs not you â solving a Rubikâs cube quickly is officially...
The question of whether a scrambled Rubikâs cube of any size can be solved in a given number of moves is NP-complete https://t.co/G2MMphhhZ4 â moneyscienceâ¦
View ArticleBiased Algorithms Are Everywhere, and No One Seems to Care
"Biased Algorithms Are Everywhere, and No One Seems to Care" https://t.co/AccY2Mb9xx â JC Kommer (@Alea_) July 12, 2017
View ArticleGrooming Future Leaders
Retired Brigadier General Bernard Banks, now teaching at Kellogg, offers some interesting insights on developing future leaders. Banks explains that companies need to begin grooming future leaders...
View ArticleModeling the price of Bitcoin with fractional Brownian motion: a Monte Carlo...
The long-term dependence of Bitcoin (BTC), manifesting itself through a Hurst exponent $H>0.5$, is exploited in order to predict future BTC/USD price. A Monte Carlo simulation with $10^5$ fractional...
View ArticleBayesian Realized-GARCH Models for Financial Tail Risk Forecasting...
The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized...
View ArticleA Model of Interbank Flows, Borrowing, and Investing. (arXiv:1707.03542v1...
We consider a model when private banks with interbank cash flows as in (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and...
View ArticlePortfolio Risk Assessment using Copula Models. (arXiv:1707.03516v1 [q-fin.RM])
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the...
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