Government Intervention and Strategic Trading in the U.S. Treasury Market
We study the impact of permanent open market operations (POMOs) by the Federal Reserve on U.S. Treasury market liquidity. Using a parsimonious model of speculative trading, we conjecture that i)Â this...
View ArticleShort Selling and Price Discovery in Corporate Bonds
We show short selling in corporate bonds forecasts future bond returns. Short selling predicts bond returns where private information is more likely, in high-yield bonds, particularly after Lehman...
View ArticleSignaling in OTC Markets: Benefits and Costs of Transparency
We provide a theoretical rationale for dealer objections to ex post transparency in over-the-counter markets. Disclosure of the terms of a transaction conveys information possessed by the dealer about...
View ArticleA Survey of the Microstructure of Fixed-Income Markets
In this article, we survey the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products. We compare...
View ArticleSEC Proposes Improvements to Governance of Market Data Plans
The Securities and Exchange Commission is seeking public comment on a proposed order to modernize the governance of National Market System (NMS) plans that produce public consolidated equity market...
View ArticleMoneyScience: Financial Conduct Authority Guidance - Transition from LIBOR
Resource: Financial Conduct Authority Guidance - Transition from LIBOR https://t.co/zWPynVXNaE â moneyscience (@moneyscience) January 8, 2020
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The Mathematical Center of the Universe
The University of Göttingen (1800–1933)Continue reading on Cantorâs Paradise »
View ArticleShorting NMC Health: The Waters are Muddy
NMC Health, an Abu Dhabi-based firm listed on the London Stock Exchange, has suffered a sharp loss in value as a consequence of its dispute with a forensic short seller, Carson Block, the man behind...
View ArticleWhos Ditching the Bus?. (arXiv:2001.02200v1 [physics.soc-ph])
This paper uses stop-level passenger count data in four cities to understand the nation-wide bus ridership decline between 2012 and 2018. The local characteristics associated with ridership decline are...
View ArticleUnderstanding the Great Recession Using Machine Learning Algorithms....
Nyman and Ormerod (2017) show that the machine learning technique of random forests has the potential to give early warning of recessions. Applying the approach to a small set of financial variables...
View ArticleOptimal insurance contract with benefits in kind under adverse selection....
A significant loss of income can have a negative impact on households who are forced to reduce their consumption of some particular staple goods. This can lead to health issues and consequently...
View ArticleA note on the worst case approach for a market with a stochastic interest...
We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest rate is determined by...
View ArticleA simple microstructural explanation of concave pice impact....
This article describes a simple model of market microstructure which explains a concave price impact. In the proposed model, the local relationship between the order flow and the fundamental price...
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