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This book teaches financial engineering in an innovative way: by providing tools and a point of view to quickly and easily solve real front-office problems. Projects and simulations are not just exercises in this book, but its heart and soul. You will not only learn how to do state-of-the-art...
Persistent link: https://www.econbiz.de/10011156403
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper shows that government intervention and propping up are...
Persistent link: https://www.econbiz.de/10011206146
Popular music may presage market conditions because people contemplating complex future economic behavior prefer simpler music, and vice versa. In comparing the annual average beat variance of the songs in the U.S. Billboard Top 100 since its inception in 1958 through 2007 to the standard...
Persistent link: https://www.econbiz.de/10010886095
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Persistent link: https://www.econbiz.de/10010840413
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken by those financial entities than would otherwise be the case. Furthermore, the risks taken by the regulated financial entities are far more...
Persistent link: https://www.econbiz.de/10010863278
I prove that if markets are efficient, meaning current prices fully reflect all information available in past prices, then P=NP, meaning every computational problem whose solution can be verified in polynomial time can also be solved in polynomial time. I also prove the converse by showing how...
Persistent link: https://www.econbiz.de/10010991428
Interview with Andrei Kirilenko
Persistent link: https://www.econbiz.de/10010961765
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Persistent link: https://www.econbiz.de/10010933496
A representative investor generates realistic and complex security price paths by following this trading strategy: if, a few ticks ago, the market asset had two consecutive upticks or two consecutive downticks, then sell, and otherwise buy. This simple, unique, and robust model is the smallest...
Persistent link: https://www.econbiz.de/10005098478
We analyze a large and comprehensive play-by-play dataset of professional games in the National Basketball Association using tools from financial economics to explore the optimality of strategically idling resources in the face of uncertain future demand. We find that starters ought to be idled...
Persistent link: https://www.econbiz.de/10010593098