Estimation and model-based combination of causality networks among large US...
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Giovanni Bonaccolto, Massimiliano Caporin, Roberto PanzicaAbstractCausality is a widely-used concept in...
View ArticlePerceived information, short interest, and institutional demand
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Chune Young Chung, Luke DeVault, Kainan WangAbstractWe test whether institutional investorsâ demand relates to...
View ArticleInvestor target prices
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Shiyang Huang, Xin Liu, Chengxi YinAbstractWe argue that investors have target prices as anchors for the stocks...
View ArticleRange-based DCC models for covariance and value-at-risk forecasting
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Piotr Fiszeder, Marcin FaÅdziÅski, Peter MolnárAbstractThe dynamic conditional correlation (DCC) model by...
View ArticleInformation uncertainty and the pricing of liquidity
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Wenjin Kang, Nan Li, Huiping ZhangAbstractThis study shows that, to obtain a precise measure of the liquidity...
View ArticleBalanced predictive regressions
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Yu Ren, Yundong Tu, Yanping YiAbstractIn a predictive regression, a less persistent return series is regressed...
View ArticleMedia Attention and the Low Volatility Effect
The low volatility factor is a well-known example of a stock trading strategy that contradicts the classical CAPM model. A lot of researchers are trying to come up with an explanation for driving...
View ArticleUPDATE – Quantpedia’s Site Maintenance
Hello, Weâve launched our new website with the updated core back-end technology. Therefore it's required for all users to change their password (your previous will not work anymore). It's really...
View ArticleWhat Affects the Correlation Between Stocks and Bonds
The correlation between bonds and stocks is essential information for asset allocation decisions; therefore understanding its macro-economic drivers is very valuable for all investors. Stocks-bonds...
View ArticleQuantpedia Premium Update – 29th August 2019
Two new strategies have been added: #443 - Taylor Rule and FX Returns #444 - Value Factor After Negative Market Return One new related research paper has been included into existing strategy reviews....
View ArticleQuantpedia in August 2019
Dear readers, The biggest story in August was our successful migration to a new core back-end system. But we have accomplished much more – four new Quantpedia Premium strategies have been added into...
View ArticleRetail Day Trading is an Uphill Battle
Do retail day traders have a chance in current financial markets? They often lack proper trading research and infrastructure; they are facing high fees and stiff competition from professionals. But...
View ArticleOn the Concavity of Expected Shortfall. (arXiv:1910.00640v1 [q-fin.RM])
It is well known that Expected Shortfall (also called Average Value-at-Risk) is a convex risk measure, i. e. Expected Shortfall of a convex linear combination of arbitrary risk positions is not greater...
View ArticleJP Morgan has created an index to track the effect of Trump's tweets on...
JP Morgan has created an index to track the effect of Trumpâs tweets on financial markets: âVolfefe indexâ - https://t.co/NQvBal97QV â moneyscienceâ¦
View ArticleA Decades-Old Computer Science Puzzle Was Solved in Two Pages
With a stunningly simple proof, a researcher has finally cracked the sensitivity conjecture, "one of the most frustrating and embarrassing open problems" inâ¦
View ArticleCryptAssets: type
#Bitcoin News and Resources at CryptAssets https://t.co/g8xTwcLBdv #BTC #Blockchain â moneyscience (@moneyscience) September 16, 2019
View Articlehttps://t.co/WyZINvJ7QH
It's back - Luigi Ballabio's Introduction to #QuantLib Development Course. Intensive 3-day Training in London. Dec 2-4th. Group Discounts are Available. Furtherâ¦
View ArticleThe mystery of the disappearing 'Cryptoqueen'
The mystery of the disappearing 'Cryptoqueen' https://t.co/CXuo1fw2sW â CryptAssets (@CryptAssets) September 26, 2019
View Articlehttps://t.co/9FjGLn9tAL
It took a while but we finally got there! MoneyScience is delighted to announce our brand new, mobile friendly website at https://t.co/9FjGLn9tAL. Check itâ¦
View ArticleCardano’s Shelly Goes Live after a Successful Test Run in London...
#Cardano, the distributed ledger technology project, has moved a step towards its complete decentralization, after the launch of its long-awaited Shellyâ¦
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