Early Childhood Health Shocks and Adult Wellbeing: Evidence from Wartime...
A growing literature argues that early environments affecting childhood health may influence significantly later-life health and financial wellbeing. We present new evidence on the relationship between...
View ArticleHow Extensive is Inter-State Diversion of Recreational Marijuana? -- by...
Despite federal prohibition, recreational marijuana is available to 21% of the United States population. A chief concern among policy makers across multiple levels of government and political parties...
View ArticleSocial Capital and Prosocial Behaviour as Sources of Well-Being -- by John F....
This paper surveys evidence documenting positive linkages among social capital, prosocial behaviour, and subjective well-being. Whether in the workplace, at home, in the community, or among nations,...
View ArticlePublic Insurance and Psychotropic Prescription Medications for Mental Illness...
Mental illnesses are prevalent in the United States and globally, and cost is a critical barrier to treatment receipt for many afflicted individuals. Affordable insurance coverage can permit access to...
View ArticleThe U.S. Treasury Premium -- by Wenxin Du, Joanne Im, Jesse Schreger
We quantify the difference in the convenience yield of U.S. Treasuries and the bonds of near default-free sovereigns by measuring the gap between the FX swap-implied dollar yield paid by foreign...
View ArticleEstimating Cost Savings from Early Cancer Diagnosis. (arXiv:1709.01484v1...
We estimate treatment cost-savings from early cancer diagnosis. For breast, lung, prostate and colorectal cancers and melanoma, which account for more than 50% of new incidences projected in 2017, we...
View ArticleBacktesting Expected Shortfall: is it really that hard?. (arXiv:1709.01337v1...
In this short note we propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realized cash-flow...
View ArticleA Scaling Limit for Limit Order Books Driven by Hawkes Processes....
In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current...
View ArticleTensor Representation in High-Frequency Financial Data for Price Change...
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take...
View ArticleTime-Varying Extreme Value Dependence with Application to Leading European...
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily...
View ArticleRisk-Minimizing Hedging of Counterparty Risk. (arXiv:1709.01115v1 [q-fin.RM])
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after...
View ArticleChecklists and Illustrative Financial Statements 2017: Defined Contribution...
This edition covers plan types, such as 401(k) plans, 403(b) plans, and 11Ks. It contains the most comprehensive U.S. GAAP disclosure guidance available, and identifies the reporting requirements that...
View ArticleClik here to view.
The Profession of Modeling and Simulation: Discipline, Ethics, Education,...
The definite guide to the theory, knowledge, technical expertise, and ethical considerations that define the M&S professionread more...
View ArticleClik here to view.
We Dwell on the Negative
New research from Stanford Professor Zakary Tormala and graduate student Aaron Snyder examines how individuals weigh the pros and cons when making a decision. They found that people tend to dwell on...
View ArticleConcurring Statement of Commissioner Sharon Y. Bowen with Respect to the...
Concurring Statement of Commissioner Sharon Y. Bowen with Respect to the Commissionâs Action Filing Civil Complaint Against Monex Deposit Company, its Affiliates, and Their Principals
View ArticleCFTC Charges Monex Deposit Company, its Affiliates, and their Principals in...
The U.S. Commodity Futures Trading Commission (CFTC) announced the filing of a civil injunctive enforcement action in the U.S. District Court for the Northern District of Illinois against three...
View ArticleRostin Behnam Sworn In as a Commissioner of the CFTC
Rostin Behnam was officially sworn in today to serve as a Commissioner of the U.S. Commodity Futures Trading Commission (CFTC), the federal agency that oversees the commodity futures, options and swaps...
View Article
