The Journey from Data to Intelligence
Examining the promises and challenges that the new era of dataâdriven decision making brings to the financial industry.
View ArticleAAD: Breaking the Primal Barrier
Dmitri Goloubentsev and Evgeny Lakshtanov present a new, speedier approach for AAD.
View ArticleCars
McLaren chops the roof off its 720S Super Series supercar to produce a Spider version in its everburgeoning catalog of exotica.
View ArticleReverse Knockout Pricing Case Study: Stochastic Local Volatility versus...
Two heavyweight vol models punch it out.
View ArticleIn Code We Trust
Financial institutions of all sizes recognize that it is expensive to meet the staffing and infrastructure levels required to efficiently manage data internally
View ArticleThat Old Black Magic
Unexpected emptiness rudely manifested just when you thought you had it all worked out.
View ArticleLinear credit risk models
Abstract We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default...
View ArticleHousing Prices and Investor Sentiment Dynamics: Evidence from China using a...
Publication date: Available online 3 October 2019Source: Finance Research LettersAuthor(s): Yun Hong, Yi LiAbstractThis paper investigates the multiscale relation between housing prices and investor...
View ArticleImpact of economic policy uncertainty shocks on China's financial conditions
Publication date: Available online 4 October 2019Source: Finance Research LettersAuthor(s): Zhenghui Li, Junhao ZhongAbstractThis study explores the effect of global economic policy uncertainty (EPU)...
View ArticleClik here to view.
How to Estimate the Number of Aliens in the Milky Way
Understanding the Drake equationContinue reading on Cantorâs Paradise »
View ArticleWhat causes the asymmetric correlation in stock returns?
Publication date: Available online 5 October 2019Source: Journal of Empirical FinanceAuthor(s): Y. Peter Chung, Hyun A Hong, S. Thomas KimAbstractThe literature indicates that the correlations between...
View ArticleLimits to arbitrage and CDS-bond dynamics around the financial crisis
Publication date: Available online 5 October 2019Source: Journal of Empirical FinanceAuthor(s): George Chalamandaris, Spyros PagratisAbstractAn ostensibly broken cointegrating relationship between CDS...
View ArticleLow Vol vs Option-Based Strategies
By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Some investment products and strategies can be considered toxic given their history on Wall Street. Portfolio insurance is rarely...
View ArticlePredicting Consumer Default: A Deep Learning Approach. (arXiv:1908.11498v2...
We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model is...
View ArticleA lending scheme for a system of interconnected banks with probabilistic...
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected...
View ArticleStatistical analysis and stochastic interest rate modelling for valuing the...
High future discounting rates favor inaction on present expending while lower rates advise for a more immediate political action. A possible approach to this key issue in global economy is to take...
View Article
