How Important is the Global Financial Cycle? Evidence from Capital Flows --...
This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use capital flow data dis-aggregated by direction and type between 1990Q1 and 2015Q5 for 85 countries, and...
View ArticleWeekly Top 5 Papers – September 4th 2017
1. Congressional Control of Presidential Pardons by Glenn Reynolds (University of Tennessee College of Law)read more...
View ArticleAdditive energy forward curves in a Heath-Jarrow-Morton framework....
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the...
View ArticlePredictive Modeling: An Optimized and Dynamic Solution Framework for...
This paper defines systematic value investing as an empirical optimization problem. Predictive modeling is introduced as a systematic value investing methodology with dynamic and optimization features....
View ArticleOn portfolios generated by optimal transport. (arXiv:1709.03169v1 [q-fin.MF])
First introduced by Fernholz, functionally generated portfolio allows its investment performance to be attributed to directly observable and easily interpretable market quantities. In previous works we...
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Basel III Monitoring Report
This report is the 12th publication of results from the periodic Basel III monitoring exercise and summarises the aggregate results using data as of 31 December 2016.
View ArticleBasel III monitoring results published by the Basel Committee
Press release about the Basel Committee publishing Basel III monitoring results (12 September 2017)
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CFDs For Dummies, Australian Edition
Take advantage of the bestfeatures of these versatilederivativesread more...
View ArticleWill Amazon Buy Nordstrom Next?
Back on May 11th, NYU Professor Scott Galloway appeared on Kara Swisher's Recode Decode podcast. During that conversation, he predicted that Amazon would acquire Whole Foods. One month later, Jeff...
View ArticleA Workout in Computational Finance, with Website - Quantitative Methods -...
A Workout in Computational Finance, with Website @wiley_finance https://t.co/gTH1Nsc2aR â moneyscience (@moneyscience) September 12, 2017
View ArticleBreaking: An Entirely New Type of Quantum Computing Has Been Invented
A new blueprint for Quantum Computing: https://t.co/cd9ijLKZtK #quantumcomputing â moneyscience (@moneyscience) September 12, 2017
View ArticleChairman J. Christopher Giancarlo Remarks at the Global Forum for Derivatives...
Chairman J. Christopher Giancarlo Remarks at the Global Forum for Derivatives Markets 38th Annual Bürgenstock Conference
View ArticleSupport Spinor Machine. (arXiv:1709.03943v1 [cs.LG])
We generalize a support vector machine to a support spinor machine by using the mathematical structure of wedge product over vector machine in order to extend field from vector field to spinor field....
View ArticleDeep Stock Representation Learning: From Candlestick Charts to Investment...
We propose a novel investment decision strategy based on deep learning. Many conventional algorithmic strategies are based on raw time-series analysis of historical prices. In contrast many human...
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