Related papers: Trends and Risk Premia: Update and Additional Plot…
Based on a faithful representation of the heavy tail multivariate distribution of asset returns introduced previously (Sornette et al., 1998, 1999) that we extend to the case of asymmetric return distributions, we generalize the return-risk…
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an…
We extend the class of tempered stable distributions first introduced in Rosinski 2007. Our new class allows for more structure and more variety of tail behaviors. We discuss various subclasses and the relation between them. To characterize…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
The key concepts (calibration, discrimination, and discordance) important in understanding and comparing risk models are best conveyed graphically. To illustrate this, models predicting death and acute kidney injury in a large cohort of PCI…
This study conducted a comprehensive review of 71 papers published between 2000 and 2021 that employed various measures of investor sentiment to model returns. The analysis indicates that higher complexity of sentiment measures and models…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…
The exponentially growing number of scientific papers stimulates a discussion on the interplay between quantity and quality in science. In particular, one may wonder which publication strategy may offer more chances of success: publishing…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation…
Fifty North Sea oil & gas investment transactions were analysed using traditional spreadsheet based financial modelling methods. The purpose of the analysis was to determine if there was a statistically significant relationship between the…
Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directional moves to short-term momentum signals that thrive in…
The time value of money is a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of set-valued risk statistics by introducing the time value of money. In…
Nowadays all industrial sectors are increasingly faced with the explosion in the amount of data. Therefore, it raises the question of the efficient use of this large amount of data. In this research work, we are concerned with process and…
Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions,…
Recent highly cited research uses time-series evidence to argue the decline in interest rates led to a large rise in economic profits and markups. We show the size of these estimates is sensitive to the sample start date: The rise in…
We study expert advice under reputational incentives, with sell-side equity research as the lead application. A long-lived analyst receives a continuous private signal about a binary payoff and recommends a risky (Buy) or safe action.…
Scientific and technological progress is largely driven by firms in many domains, including artificial intelligence and vaccine development. However, we do not know yet whether the success of firms' research activities exhibits dynamic…
The risk premia of traded factors are the sum of factor means and a parameter vector we denote by {\phi} which is identified from the cross section regression of alpha of individual securities on the vector of factor loadings. If phi is…
We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information filtering networks we device a new tool for forecasting the…