Intensity estimation of transaction arrivals in the intraday electricity...
In the following paper, we examine the problem of the intensity estimation of transaction arrivals in the intraday electricity markets. Assuming the inter-arrival times distribution and considering...
View ArticleA Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and...
We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of that the structure of...
View ArticleDeep Hedging: Learning to Simulate Equity Option Markets. (arXiv:1911.01700v1...
We construct realistic equity option market simulators based on generative adversarial networks (GANs). We consider recurrent and temporal convolutional architectures, and assess the impact of state...
View ArticleEngel's law in the commodity composition of exports. (arXiv:1911.01568v1...
Different shares of distinct commodity sectors in production, trade, and consumption illustrate how resources and capital are allocated and invested. Economic progress has been claimed to change the...
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Crowdfunding: the importance of people’s search for higher meaning
Have you ever stopped to think why people participate in philanthropic activities â willing to give from their own time and money, make efforts, and receive nothing in return? Crowdfunding is an...
View ArticlePenetrating the real performance of SSE STAR enterprises: A double-market...
Publication date: Available online 6 November 2019Source: Finance Research LettersAuthor(s): Wei Zhou, Ruitao Gu, Shuai LuAbstractA significant innovative board called the SSE Sci-Tech innovation board...
View ArticleMarket stability analysis after the circuit breaker for the CSI 300 energy index
Publication date: Available online 6 November 2019Source: Finance Research LettersAuthor(s): Wei Zhou, Wanying Rao, Shuai LuAbstractIn order to deal with the herd effect and the risk contagions in the...
View ArticleHow do sovereign credit default swap spreads behave under extreme oil price...
Publication date: Available online 6 November 2019Source: Finance Research LettersAuthor(s): Jun Wang, Xiaolei Sun, Jianping LiAbstractBased on the GARCH-Copula-CoVaR model, this paper explores the...
View ArticleRisk-Neutral Momentum and Market Fear
Publication date: Available online 6 November 2019Source: Finance Research LettersAuthor(s): Wolfgang SchadnerAbstractThis study models a link between ex-ante autocorrelation in expected returns and...
View ArticleIFTTT / Incompatible Browser
He really needed to jump out of that metaphor a lot sooner than he did - but he didnât, and it died. â Tom Lowcock (@supertom124) November 4, 2019
View ArticleGeneral managerial skills and corporate social responsibility
Publication date: Available online 5 November 2019Source: Journal of Empirical FinanceAuthor(s): Jie Chen, Xicheng Liu, Wei Song, Si ZhouAbstractWe show that a CEOâs general managerial skills are...
View ArticleSEC Division of Enforcement Publishes Annual Report for Fiscal Year 2019
The Securities and Exchange Commissionâs Division of Enforcement today issued its annual report for fiscal year 2019. The report details the divisionâs efforts and initiatives on behalf of...
View ArticleSEC Charges Adviser for Running Ponzi Scheme Targeting Haitian Community
The Securities and Exchange Commission today filed charges against a New York investment adviser for operating a multimillion-dollar investment club that was actually a fraudulent Ponzi scheme...
View ArticleWhat You Don’t Know Can Hurt You
What You Donât Know Can Hurt You Keynote Remarks at the 2019 SEC Regulation Outside the United States Conference London, England November 5, 2019 Division of Enforcement Co-Director Stephanie Avakian
View ArticleSEC Issues Agenda for Nov. 12 Meeting of Small Business Capital Formation...
The Securities and Exchange Commission today released the agenda for the Tuesday, Nov. 12 meeting of its Small Business Capital Formation Advisory Committee. The committee provides the Commission with...
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