IOSCO stresses importance of implementation and disclosure related to new...
IOSCO/MR/29/2016read more...
View ArticleMarket intelligence gathering at Central Banks
'Market intelligence' (MI) refers to the information, primarily qualitative in nature, that central banks gather through direct interaction and dialogue with market participants. This descriptive paper...
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LME and LME Clear announce 2017 fee schedules
The London Metal Exchange (LME) and LME Clear today announce their 2017 fee schedules.
View ArticleStylized Facts and Simulating Long Range Financial Data. (arXiv:1612.05229v1...
We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the...
View ArticleEuropean banking supervision, the role of stress test. Some brief...
A quick review of European financial stability institutions and the role of stress tests in the current juridical system.
View ArticlePredictability Hidden by Anomalous Observations. (arXiv:1612.05072v1 [q-fin.ST])
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing...
View ArticleDynamic Modeling of Price Responsive Demand in Real-time Electricity Market:...
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show...
View ArticleA diagnostic criterion for approximate factor structure. (arXiv:1612.04990v1...
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether...
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Bank lending and loan quality: the case of India
This paper analyses how non-performing loans (NPLs) of Indian banks behave through the cycle. We find that a one-percentage point increase in loan growth is associated with an increase in NPLs over...
View ArticleEconomic resilience: a financial perspective
"Economic resilience: a financial perspective", note submitted to the G20 on 7 November 2016. One aspect of resilience that is often underappreciated concerns financial imbalances. A resilient economy...
View Article5 Tools to Organize Your Research in 2017
When I’m researching my desk looks like a tornado of pdfs hit my computer desktop and blew them clear onto my actual desktop. It’s a mess, but I can’t touch anything or else I won’t know where anything...
View ArticleHigh Returns from Low Risk: A Remarkable Stock Market Paradox
For generations investors have believed that risk and return are inseparable. But is this really true? In High Returns from Low Risk, Pim van Vliet, founder and fund manager of multi-billion...
View ArticleWiley: Plumbers and Visionaries by Peter Norman Selected as the Yearâs...
New book! Plumbers and Visionaries by Peter Norman Selected as the Yearâs Most Popular Financ... https://t.co/N5A9DYieDL via @wiley_finance â moneyscienceâ¦
View ArticleWhen Donald Trump Hate-Tweeted Lockheed Martin, Hedge Funds Were Ready
Sentiment, Donald Trump & Lockheed Martin https://t.co/aGptRZNJmN â moneyscience (@moneyscience) December 15, 2016
View ArticleForbes Welcome
Billionaire Dan Loeb's Quant Trading Effort Sparked Legal Battle Over 32-Year-Old Data Scientisthttps://t.co/rEHRLLpnBD â moneyscience (@moneyscience) Decemberâ¦
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A Failure of Insurance Regulation
Credit: Bloomberg || Graph of Penn Treaty’s stock price 2002-2009read more...
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Extreme prices in electricity balancing markets from an approach of...
An increase in energy production from renewable energy sources is viewed as a crucial achievement in most industrialized countries. read more...
View ArticleStratified regression-based variance reduction approach for weak...
In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. This modification is based on the stratification technique and allows...
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