Long-term issues for central banks
The 15th BIS Annual Conference took place in Lucerne, Switzerland, on 24 June 2016. The event brought together a distinguished group of central bank Governors, leading academics and former public...
View ArticleDollar pricing redux
A country's exchange rate is at the center of economic and political debates on currency wars and trade competitiveness. The real consequences of exchange rate fluctuations depend critically on how...
View ArticleWorld changes in inequality: an overview of facts, causes, consequences and...
This paper reviews various issues linked to the rise of inequality observed particularly in developed countries over the last quarter century. Various data on the time profile of inequality are...
View ArticleThe FinTech Opportunity
This paper assesses the potential impact of FinTech on the finance industry. I document first that financial services remain surprisingly expensive, which explains the emergence of new entrants. I then...
View ArticleDemographics will reverse three multi-decade global trends
Between the 1980s and the 2000s, the largest ever positive labour supply shock occurred, resulting from demographic trends and from the inclusion of China and eastern Europe into the World Trade...
View ArticleSympathy for the Diligent and the Demand for Workfare -- by Andres Drenik,...
We study the role of fairness concerns in the demand for redistribution through workfare. In the first part of the paper, we present new evidence from a survey experiment. We show that individuals are...
View ArticleThe Tradeoffs in Leaning Against the Wind -- by Francois Gourio, Anil K...
Credit booms sometimes lead to financial crises which are accompanied with severe and persistent economic slumps. Does this imply that monetary policy should "lean against the wind" and counteract...
View ArticleThe Emergence of Weak, Despotic and Inclusive States -- by Daron Acemoglu,...
Societies under similar geographic and economic conditions and subject to similar external influences nonetheless develop very different types of states. At one extreme are weak states with little...
View ArticleThe Uptick in Income Segregation: Real Trend or Random Sampling Variance --...
Recent studies have reported a reversal of an earlier trend in income segregation in metropolitan regions, from a decline in the 1990s to an increase in the 2000-2010 decade. This finding reinforces...
View ArticleSequential testing for structural stability in approximate factor models....
We develop a monitoring procedure to detect a change in a large approximate factor model. Our statistics are based on a well-known property of the $% \left( r+1\right) $-th eigenvalue of the sample...
View ArticleOrder Flows and Limit Order Book Resiliency on the Meso-Scale....
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit...
View ArticleRisk Constrained Trading Strategies for Stochastic Generation with a...
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and...
View ArticleExact probability distribution function for the volatility of cumulative...
In this paper we study the volatility and its probability distribution function for the cumulative production based on the experience curve hypothesis. This work presents a generalization of the study...
View ArticleInside Real Estate: Buy, Sell and Profit in any Property Market
Inside Real Estate is a down-to-earth consumer guide for anyone navigating the property market in the digital age. Written by industry veteran Peter O'Malley, this book exposes the truth about modern...
View ArticleWhy the Scariest Nuclear Threat May Be Coming from Inside the White House
Terrifying long read about the current state of play at the US Dept of Energy. https://t.co/B9mczrc3ej â moneyscience (@moneyscience) August 10, 2017
View ArticleCFTC Staff Grants Relief to Market Participants from Certain Position...
The U.S. Commodity Futures Trading Commissionâs (CFTC) Division of Market Oversight (DMO) today granted relief to market participants in complying with certain position aggregation requirements. This...
View ArticleConditional-Mean Hedging Under Transaction Costs in Gaussian Models....
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed...
View ArticleSure profits via flash strategies and the impossibility of predictable jumps....
In an arbitrage-free financial market, asset prices should not exhibit jumps of a predictable magnitude at predictable times. We provide a rigorous formulation of this result in a fully general...
View ArticleDecoding Stock Market with Quant Alphas. (arXiv:1708.02984v1 [q-fin.PM])
We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into "alpha...
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