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Published / Preprint: The spatial component of R&D networks....
We study the role of geography in R&D networks by means of a quantitative, micro-geographic approach. Using a large database that covers international R&D collaborations from 1984 to 2009, we...
View ArticlePublished / Preprint: High-frequency limit of Nash equilibria in a market...
We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact model with...
View ArticlePublished / Preprint: Sticky processes, local and true martingales....
We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p$ norm. For continuous $S$,...
View ArticlePublished / Preprint: Representation and approximation of ambit fields in...
We lift ambit fields as introduced by Barndorff-Nielsen and Schmiegel to a class of Hilbert space-valued volatility modulated Volterra processes. We name this class Hambit fields, and show that they...
View ArticlePublished / Preprint: Correctness of Backtest Engines. (arXiv:1509.08248v1...
In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a...
View ArticlePublished / Preprint: Performance v. Turnover: A Story by 4,000 Alphas....
We analyze empirical data for 4,000 real-life trading portfolios (U.S. equities) with holding periods of about 0.7-19 trading days. We find a simple scaling C ~ 1/T, where C is cents-per-share, and T...
View ArticlePublished / Preprint: Asymmetry of cross correlations between intra-day and...
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is...
View ArticlePublished / Preprint: Optimal trading strategies - a time series approach....
Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach in the time domain. In...
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Published / Preprint: Maximum likelihood estimators for a jump-type Heston...
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part....
View ArticlePublished / Preprint: Volume Weighted Average Price Optimal Execution....
We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing...
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Blog Post: ThePracticalQuant: Hardcore Data Science, NYC 2015
Ben Recht and I hosted another great edition of Hardcore Data Science in NYC yesterday. From the very first talk, the room was full, the audience was attentive, and the energy in the room was high...
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Published / Preprint: 30Sep/Basel III implementation assessment of the...
Press release about Basel III implementation assessments of Saudi Arabia by the Basel Committee (30 September 2015)
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Published / Preprint: Dynamics of multivariate default system in random...
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of...
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Published / Preprint: 01Oct/Report on the regulatory consistency of...
Press release about the report on the regulatory consistency of risk-weighted assets for counterparty credit risk issued by the Basel Committee, October 2015
View ArticleEvent: Investor Behavior: The Psychology of Risk - Free Webinar from Victor...
Location: Online; Date: October 30th, 2015; Professor Ricciardi discusses behavioral finance, the psychology behind risk-taking, what makes individuals feel the way they do when making financial...
View ArticleBlog Post: iMFdirect: Emerging Market Corporate Debt in Foreign Currencies
By Selim Elekdag and Gaston Gelosread more...
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