Why Long-Term Debt Instruments Cannot Be Deposit Substitutes....
The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if...
View ArticleDe Facto Control: Applying Game Theory to the Law on Corporate Nationality....
One unexamined assumption in foreign ownership regulation is the notion that majority voting rights translate to 'effective control'. This assumption is so deeply entrenched in foreign investments law...
View ArticleNo arbitrage and lead-lag relationships. (arXiv:1712.09854v1 [q-fin.MF])
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently...
View ArticleAccelerators in macroeconomics: Comparison of discrete and continuous...
We prove that the standard discrete-time accelerator equation cannot be considered as an exact discrete analog of the continuous-time accelerator equation. This leads to fact that the standard...
View ArticleAn Artificial Neural Network-based Stock Trading System Using Technical...
In this paper, a neural network-based stock price prediction and trading system using technical analysis indicators is presented. The model developed first converts the financial time series data into...
View ArticleEconomic interpretation of fractional derivatives. (arXiv:1712.09575v1...
An economic interpretation of the Caputo derivatives of non-integer orders is proposed. The suggested economic interpretation of the fractional derivatives is based on a generalization of average and...
View ArticleBitcoin Average Dormancy: A Measure of Turnover and Trading Activity....
Attempts to accurately measure the monetary velocity or related properties of bitcoin used in transactions have often attempted to either directly apply definitions from traditional macroeconomic...
View ArticleForeign Portfolio Investment and Economy: The Network Perspective....
The European Union and Eurozone present an inquisitive case of strongly interconnected network with high degree of dependence among nodes. This research focused on investment network of European Union...
View ArticlePricing variance swaps under Levy process with stochastic volatility and CIR...
This study focuses on the pricing of the variance swap in the financial market where the stochastic interest rate and the volatility of the stock are driven by Cox-Ingersoll-Ross model and Heston model...
View ArticleA novel improved fuzzy support vector machine based stock price trend...
Application of fuzzy support vector machine in stock price forecast. Support vector machine is a new type of machine learning method proposed in 1990s. It can deal with classification and regression...
View ArticleExploiting Investors Social Network for Stock Prediction in China's Market....
Recent works have shown that social media platforms are able to influence the trends of stock price movements. However, existing works have majorly focused on the U.S. stock market and lacked attention...
View ArticleImproving Stock Market Prediction via Heterogeneous Information Fusion....
Traditional stock market prediction approaches commonly utilize the historical price-related data of the stocks to forecast their future trends. As the Web information grows, recently some works try to...
View ArticleOptimal Timing to Trade Along a Randomized Brownian Bridge....
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model...
View ArticleTransition probability of Brownian motion in the octant and its application...
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical...
View ArticleDouble continuation regions for American and Swing options with negative...
In this paper we study perpetual American call and put options in an exponential L\'evy model. We consider a negative effective discount rate which arises in a number of financial applications...
View ArticleCan higher savings moderate the income inequality?. (arXiv:1801.00253v1...
Societies should be ideally equitable. However, in reality the scenario is very different and the phenomena of socio-economic inequalities have plagued mankind from times immemorial. We now ask a...
View ArticleA dynamic network model with persistent links and node-specific latent...
We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent...
View ArticlePrivySense: $\underline{Pri}$ce $\underline{V}$olatilit$\underline{y}$ based...
As machine learning ascends the peak of computer science zeitgeist, the usage and experimentation with sentiment analysis using various forms of textual data seems pervasive. The effect is especially...
View ArticleA simple mathematical model for unemployment: a case study in Portugal with...
We propose a simple mathematical model for unemployment. Despite its simpleness, we claim that the model is more realistic and useful than recent models available in the literature. A case study with...
View ArticleComparing the Forecasting Performances of Linear Models for Electricity...
This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices,...
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