Related papers: Negative interest rates: why and how?
The inflation of Type I error rates is thought to be one of the causes of the replication crisis. Questionable research practices such as p-hacking are thought to inflate Type I error rates above their nominal level, leading to unexpectedly…
The differential event rate for direct detection of dark matter, both the time averaged and the modulated one due to the motion of the Earth, are discussed. The calculations focus on relatively light cold dark matter candidates (WIMP) and…
Negative probabilities emerged at intermediate steps in various attempts to predict the distributions of quantum interference. There is no consensus on their meaning yet. It has been suggested (Khrennikov, 1998) that negative probabilities…
First, dark matter is introduced. Next, the Dirac negative energy state is rediscussed. It is a negative matter with some new characteristics, which are mainly the gravitation each other, but the repulsion with all positive matter. Such the…
We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…
This paper examines the dynamic interaction between falling and rising markets for both the real and the financial sectors of the largest economy in the world using asymmetric causality tests. These tests require that each underlying…
We document the rise of negative earnings between 1980 and 2019: a secular increase in the percent of firms reporting losses, both among public firms and in the broader universe of US corporations, and a secular increase in the persistence…
From scientific experiments to online A/B testing, the previously observed data often affects how future experiments are performed, which in turn affects which data will be collected. Such adaptivity introduces complex correlations between…
Specially designed metal-dielectric composites can have a negative refractive index in the optical range. Specifically, it is shown that arrays of single and paired nanorods can provide such negative refraction. For pairs of metal rods, a…
In a discrete-time financial market model with instantaneous price impact, we find an asymptotically optimal strategy for an investor maximizing her expected wealth. The asset price is assumed to follow a process with negative memory. We…
In March 2020, the world was thrown into financial distress. This manifested itself in increased uncertainty in the financial markets. Many interest rates collapsed, and funding spreads surged significantly, which increased due to the…
We characterize decreasing impatience, a common behavioral phenomenon in intertemporal choice. Discount factors that display decreasing impatience are characterized through a convexit y axiom for investments at fixed interest rates. Then we…
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days,…
Many countries impose regulatory restrictions on lending rates known as interest rate caps. In most cases, these restrictions apply to the effective (rather than nominal) interest rate, a measure which incorporates all commissions and fees…
Market making refers to a form of trading in financial markets characterized by passive orders which add liquidity to limit order books. Market makers are important for the proper functioning of financial markets worldwide. Given the…
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of…
In this note we present a characterisation of all unary and binary patterns that do not only contain variables, but also reversals of their instances. These types of variables were studied recently in either more general or particular…
This paper identifies an important bias - termed dynamic bias - in fixed effects panel estimators that arises when dynamic feedback is ignored in the estimating equation. Dynamic feedback occurs if past outcomes impact current outcomes, a…
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields…
This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit…