Pricing Derivatives in Hermite Markets. (arXiv:1612.07016v1 [q-fin.MF])
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by...
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LME Clear and LME announce the appointment of James Proudlock as Deputy Chief...
LME Clear and the London Metal Exchange (LME) are pleased to announce the appointment of James Proudlock as Deputy Chief Executive for LME Clear. James will join in April 2017 and he will report to the...
View ArticleRethinking How You Set Your Goals (and form New Year's Resolutions)
Duke's Dorie Clark has some good advice in her HBR blog post regarding goal setting strategies. Clark first cites some interesting research on the ineffectiveness of to-do lists:Indeed, one indication...
View ArticleWeekly Top 5 Papers – December 19, 2016
1. Sensation Seeking, Sports Cars, and Hedge Funds by Stephen Brown (New York University (NYU) – Leonard N. Stern School of Business) and Yan Lu (University of Central Florida-Department of Finance)...
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Understanding Donor Dynamics: The Organizational Side of Charitable Giving:...
This issue explores the approaches of organizations and outlines the approaches that donors take today and how organizations can respond to them. The authors document the ways in which philanthropy...
View ArticleCross-impact and no-dynamic-arbitrage. (arXiv:1612.07742v1 [q-fin.TR])
We extend the "No-dynamic-arbitrage and market impact"-framework of Jim Gatheral [Quantitative Finance, 10(7): 749-759 (2010)] to the multi-dimensional case where trading in one asset has a...
View ArticlePointwise Arbitrage Pricing Theory in Discrete Time. (arXiv:1612.07618v1...
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make...
View ArticlePublic Sector Personnel Economics: Wages, Promotions, and the...
We model personnel policies in public agencies, examining how wages and promotion standards can partially offset a fundamental contracting problem: the inability of public sector workers to contract on...
View ArticleDisaggregating the Matching Function -- by Peter A. Diamond, Ayseguel sahin
The aggregate matching (hiring) function relates gross hires to labor market tightness. Decompositions of aggregate hires show how the hiring process differs across different groups of workers and of...
View ArticleAn Energy-centric Theory of Agglomeration -- by Juan Moreno-Cruz, M. Scott...
This paper sets out a simple spatial model of energy exploitation to ask how the location and productivity of energy resources affects the distribution of economic activity across geographic space. By...
View ArticleEmpowering Mothers and Enhancing Early Childhood Investment: Effect on Adults...
Empowering women and enhancing children's early development are two important goals that are often pursued via independent policy initiatives in developing countries. In this paper we study a unique...
View ArticleIndustrial Productivity in a Hotter World: The Aggregate Implications of...
How will a nation's aggregate urban productivity be affected by climate change? The joint distribution of climate conditions and economic activity across a nation's cities will together determine...
View ArticleKnowing When to Ask: The Cost of Leaning In -- by Christine L. Exley, Muriel...
Gender differences in the propensity to negotiate are often used to explain the gender wage gap, popularizing the push for women to "lean-in." We use a laboratory experiment to examine the effect of...
View ArticleThe Economic Structure of International Trade-in-Services Agreements -- by...
The existing economics literature on international trade agreements focuses on tariff agreements covering trade in goods, and offers an explanation for core features of the GATT. Tariffs play almost no...
View ArticleBox Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty...
Substantial excitement currently exists in industry regarding the potential of using analytic tools to measure sentiment in social media messages to help predict individual reactions to a new product,...
View ArticleRegional Distribution and Dynamics of Human Capital in China 1985-2014:...
Given the challenges in quantifying the role of human capital on economic development, measuring human capital itself becomes an important issue. It is desirable to have a comprehensive human capital...
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Look Inside the Disruptive Digital Transformation in China
Latest overview of China’s macro economy and important government policy drivers behind the digital economy growth. Read More...
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Speculation and Power Law. (arXiv:1612.08705v1 [q-fin.ST])
It is now well established empirically that financial price changes are distributed according to a power law, with cubic exponent. This is a fascinating regularity, as it holds for various classes of...
View ArticleCrisis' Heritage Management - New Business Opportunities Out of the Financial...
This paper intends to present the opportunities emerging for the national economy, out of the financial crisis. In particular the management of those, which arise from the commercial real estate owned...
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