The Local Economic and Welfare Consequences of Hydraulic Fracturing -- by...
Exploiting geological variation within shale deposits and timing in the initiation of hydraulic fracturing, this paper finds that allowing fracing leads to sharp increases in oil and gas recovery and...
View ArticleHires and Separations in Equilibrium -- by Edward P. Lazear, Kristin McCue
Hiring is positively correlated with separation, both across firms and over time. A theory of hiring and separation based on shifts in demand implies the opposite. One firm or industry hires and grows...
View ArticleWill Ad Blocking Break the Internet? -- by Ben Shiller, Joel Waldfogel,...
Ad blockers allow Internet users to obtain information without generating ad revenue for site owners; and by 2016 they were used by roughly a quarter of site visitors. Given the ad-supported nature of...
View Article[1701.05632] The Internet as Quantitative Social Science Platform: Insights...
Research: The Internet as Quantitative Social Science Platform: Insights from a Trillion Observations. (arXiv:17... https://t.co/D2iYKbqxN5 â moneyscienceâ¦
View Article‘Barclays took my £440,000 and put me through hell’
Customers are getting caught up as banks de-risk due to money laundering laws. https://t.co/Ov95Pvxl2w â moneyscience (@moneyscience) January 23, 2017
View ArticleEconomics cannot isolate itself from political theory: a mathematical...
The purpose of this paper is to provide a confession of sorts from an economist to political science and philosophy. A confession of the weaknesses of the political position of the economist. It is...
View ArticleEconomic Growth Model with Constant Pace and Dynamic Memory....
The article discusses a generalization of model of economic growth with constant pace, which takes into account the effects of dynamic memory. Memory means that endogenous or exogenous variable at a...
View ArticleA Dual Method For Backward Stochastic Differential Equations with Application...
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic...
View ArticleTopology data analysis of critical transitions in financial networks....
We develop a topology data analysis-based method to detect early signs for critical transitions in financial data. From the time-series of multiple stock prices, we build time-dependent correlation...
View ArticleAsymptotic efficiency of the proportional compensation scheme for a large...
We consider a manager, who allocates some fixed total payment amount between $N$ rational agents in order to maximize the aggregate production. The profit of $i$-th agent is the difference between the...
View ArticleCalibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a...
We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the particle method introduced...
View ArticleFatou Property, representations, and extensions of law-invariant risk...
We provide a variety of results for (quasi)convex, law-invariant functionals defined on a general Orlicz space, which extend well-known results in the setting of bounded random variables. First, we...
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January 2017 Data Update 4: Country Risk Update
In my last post, I pointed to currency confusion as one of the side effects of globalization. In this one, I will argue that as companies and investors globalize, investors and analysts have no choice...
View ArticleITG Launches POSIT & POSIT Alert for Thailand
Expands Block Crossing Network to 37 Countries Worldwide NEW YORK, Jan. 24, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today announced the...
View ArticleMultichannel Contagion vs Stabilisation in Multiple Interconnected Financial...
The theory of multilayer networks is in its early stages, and its development provides powerful and vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have...
View ArticleMonotone Martingale Transport Plans and Skorohod Embedding....
We show that the left-monotone martingale coupling is optimal for any given performance function satisfying the martingale version of the Spence-Mirrlees condition, without assuming additional...
View ArticleEconophysics Macroeconomic Model. (arXiv:1701.06625v1 [q-fin.EC])
This paper presents macroeconomic model that is based on parallels between macroeconomic multi-agent systems and multi-particle systems. We use risk ratings of economic agents as their coordinates on...
View ArticleRevenue Forecasting for Enterprise Products. (arXiv:1701.06624v1 [q-fin.GN])
For any business, planning is a continuous process, and typically business-owners focus on making both long-term planning aligned with a particular strategy as well as short-term planning that...
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Handbook of Basel III Capital: Enhancing Bank Capital in Practice
The Handbook of Basel III Capital – Enhancing Bank Capital in Practice delves deep into the principles underpinning the capital dimension of Basel III to provide a more advanced understanding of...
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