Multi-scale analysis of lead-lag relationships in high-frequency financial...
We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at a high-frequency in a non-synchronous manner. The proposed estimation procedure does...
View ArticleCFTC Orders Aruba-based Copersucar Trading A.V.V. to Pay a $300,000 Penalty...
The U.S. Commodity Futures Trading Commission (CFTC) today issued an Order filing and settling charges against Copersucar Trading A.V.V. (Copersucar), an Aruban corporation and a subsidiary of...
View ArticleBrian Quintenz Sworn In as a Commissioner of the U.S. Commodity Futures...
Brian Quintenz was officially sworn in today, after being unanimously confirmed by the U.S. Senate on August 3, to serve as a Commissioner of the U.S. Commodity Futures Trading Commission (CFTC), the...
View ArticleSome stylized facts of the Bitcoin market. (arXiv:1708.04532v1 [q-fin.ST])
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical...
View ArticleDynamics of Investor Spanning Trees Around Dot-Com Bubble....
We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. We...
View ArticleOptimum thresholding using mean and conditional mean square error....
We consider a univariate semimartingale model for (the logarithm of) an asset price, containing jumps having possibly infinite activity (IA). The nonparametric threshold estimator of the integrated...
View ArticleOptimal placement of a small order in a diffusive limit order book....
We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon t, by using a limit order or a market order. For a diffusive market, we...
View ArticleValuation of a Bermudan DB underpin hybrid pension benefit....
In this paper we consider three types of embedded options in pension benefit design. read more...
View ArticleReframing Organizations: Artistry, Choice, and Leadership, 6th Edition
Reframing Organizations provides time-tested guidance for more effective organizational leadership. Rooted in decades of social science research across multiple disciplines, Bolman and Deal's...
View ArticleProspect Theory and Energy Efficiency -- by Garth Heutel
Investments in energy efficiency entail uncertainty, and when faced with uncertainty consumers have been shown to behave according to prospect theory: preferences are reference-dependent and exhibit...
View ArticleCollective Action, White Flight, and the Origins of Formal Segregation Laws...
This paper develops and tests a simple model to explain the origins of municipal segregation ordinances. Passed by cities between 1909 and 1917, these ordinances prohibited members of the majority...
View ArticleOn the Relationship Between Quality and Productivity: Evidence from China's...
This paper presents an analysis of the effect of China's entry into the WTO on the quality choices of Chinese exporters in terms of their outputs and their inputs. Using highly disaggregated firm-level...
View ArticleWhat Information Drives Asset Prices? -- by Anisha Ghosh, George M....
The market price-dividend ratio is highly correlated with several macroeconomic variables, particularly inflation and labor market variables, but not with aggregate consumption and GDP. We incorporate...
View ArticleThe Employment and Output Effects of Short-Time Work in Germany -- by Russell...
We study the employment and output effects of the short-time work (STW) policy in Germany between 2009 and 2010. This intervention facilitated reductions in hours worked per employee with the goal of...
View ArticleThe Rise of Market Power and the Macroeconomic Implications -- by Jan De...
We document the evolution of markups based on firm-level data for the US economy since 1950. Initially, markups are stable, even slightly decreasing. In 1980, average markups start to rise from 18%...
View ArticleThe Political Economy of Transportation Investment -- by Edward L. Glaeser,...
Will politics lead to over-building or under-building of transportation projects? In this paper, we develop a model of infrastructure policy in which politicians overdo things that have hidden costs...
View ArticleCommodity Connectedness -- by Francis X. Diebold, Laura Liu, Kamil Yilmaz
We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and...
View ArticleDigital Economics -- by Avi Goldfarb, Catherine Tucker
Digital technology is the representation of information in bits. This technology has reduced the cost of storage, computation, and transmission of data. Research on digital economics examines whether...
View ArticleFundamental Errors in the Voting Booth -- by Edward L. Glaeser, Giacomo A.M....
Psychologists have long documented that we over-attribute people's actions to innate characteristics, rather than to luck or circumstances. Similarly, economists have found that both politicians and...
View ArticleThe Medical Care Costs of Youth Obesity: An Instrumental Variables Approach...
This paper is the first to use the method of instrumental variables to estimate the causal impact of youth obesity on U.S. medical care costs. We examine data from the Medical Expenditure Panel Survey...
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