We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on past price levels and the "probability...

The different locations of the equipment in urban distribution substations (DSSs) and the location of inlet holes and outlet holes usually result in different ventilation effect, which means the power consumed by any ventilating devices present is different. In this paper the temperature field...

In Markowitz portfolio optimization problems, the estimation of the inverse covariance matrix is not trivial and could even be intractable when the dimension is very high. In this article, we propose a linear portfolio optimizer (LPO) to solve Markowitz optimization problems in both...

This research studies the market value impact of operational risk events on both announcing and non-announcing firms in the U.S. Financial sectors and provides models to quantify operational risk. I begin by conducting an event study analysis of the impact of operational loss events on the...

Advances in telecommunications technologies such as the online voice and video calling, smart phones, and micro messaging service have not only made life easier for millions of users, they also strengthened their social ties and improved their psychological well-being. On the other hand,...