6 Fresh Horrors From the Equifax CEO's Congressional Hearing
It's hard to see how #equifax can possibly survive. https://t.co/gliAhO0Jxd â Financial Technology (@fin_tech) October 4, 2017
View ArticleBasel III liquidity monitoring tools
Basel III liquidity monitoring tools - Occasional Paper No 14, October 2017. While the introduction of the Liquidity Coverage Ratio and Net Stable Funding Ratio have made the measurement of liquidity...
View ArticleBoards of Directors Assessing Corporate Culture: It's About Time!
The Board of Directors bears responsibility for oversight and control of the management of an enterprise. Their duty to monitor management actions and performance includes assessing the risks that the...
View ArticleKeynote Remarks of Commissioner Brian Quintenz before the Symphony Innovate...
Keynote Remarks of Commissioner Brian Quintenz before the Symphony Innovate 2017 Conference
View ArticleThe Computational Complexity of Clearing Financial Networks with Credit...
We consider the problem of clearing a system of interconnected banks. Prior work has shown that when banks can only enter into simple debt contracts with each other, then a clearing vector of payments...
View ArticleOn Drawdown-Modulated Feedback Control in Stock Trading. (arXiv:1710.01503v1...
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal...
View ArticleOn Inefficiency of Markowitz-Style Investment Strategies When Drawdown is...
The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops...
View ArticleTransform Analysis for Hawkes Processes with Applications in Dark Pool...
Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers...
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Management Accounting and Control: Tools and Concepts in a Central European...
Management accounting has been the basic toolbox in business administration for decades. Today it is an integral part of all curricula in business education and no student can afford not to be...
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The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides) by...
"The 7 Reasons Most #MachineLearning Funds Fail" (Slides) by Lopez de Prado https://t.co/MB5bTRFLPP Presents some really interesting ideas. â Thomas Wieckiâ¦
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Does the Investment Model Explain Value and Momentum Simultaneously? -- by...
Two innovations in the structural investment model go a long way in explaining value and momentum jointly. Firm-level investment returns are constructed from firm-level accounting variables, and are...
View ArticleAre There Too Many Farms in the World? Labor-Market Transaction Costs,...
This paper seeks to explain the U-shaped relationship between farm productivity and farm scale - the initial fall in productivity as farm size increases from its lowest levels and the continuous upward...
View ArticleMachine Learning from Schools about Energy Efficiency -- by Fiona Burlig,...
In the United States, consumers invest billions of dollars annually in energy efficiency, often on the assumption that these investments will pay for themselves via future energy cost reductions. We...
View ArticleDo Americans Want to Tax Capital? Evidence from Online Surveys -- by Raymond...
A vast theoretical literature in public finance has studied the question of the desirability of capital taxation. Distinct from questions of the optimality of taxing wealth is whether it is politically...
View ArticleLabor Supply and the Value of Non-Work Time: Experimental Estimates from the...
We use a field experiment to estimate the marginal value of non-work time (MVT). During a national application process for phone survey and data entry positions, we randomly offered applicants...
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