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Frittelli, Marco; Mancini, Loriano; Peri, Ilaria - 2014 - This version: Feb. 2014

The evaluation of scientific research is crucial for both the academic community and society as a whole. Numerous … bibliometric indices have been proposed for the ranking of research performance, mainly on an ad hoc basis. We now introduce the … novel class of Scientific Research Measures (SRMs) to rank scientists' research performance and provide a rigorous …

Persistent link: https://www.econbiz.de/10010256260

CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing Counter-parties (CCPs). Large CCPs are now designated as 'Global Systemically Important Institutions' (GSIIs), whose unlikely-but-plausible failure threatens global financial market...

Persistent link: https://www.econbiz.de/10012419635

The questionable benefits of mutual clearing agreements for derivatives

Tywoniuk, Magdalena - 2020

Recently, for standard asset classes, the first mutual clearing agreements between Central Coun- terparties (CCPs) have come into existence. There are already global concerns over the unique threats and benefits which arise from these situations, and further concern for an extension of agree-...

Persistent link: https://www.econbiz.de/10012271216

Real estate research in Europe

Hoesli, Martin - 2016

We investigate the evolution from 2000 to 2015 in the proportion of papers published by authors with a European affiliation in the three main international real estate journals. Then, we analyze papers with at least one European author and/or concentrating on Europe published from 2008 to 2015...

Persistent link: https://www.econbiz.de/10011514254

The sentiment of the Fed

Fuksa, Michel; Sornette, Didier - 2013

Sentiment analysis is applied to the Federal Reserve's documents relating to the Federal Open Market Committee (FOMC). A new method of rating the sentiment of texts is developed through the creation of a 100 000 word sentiment dictionary, and is used to estimate the sentiment of the Beige Book...

Persistent link: https://www.econbiz.de/10009721378

Rational belief bubbles

Sohn, Hyun-U; Sornette, Didier - 2020

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

Persistent link: https://www.econbiz.de/10012181099

Bank restructuring without government intervention

Lucchetta, Marcella; Parigi, Bruno; Rochet, Jean-Charles - 2019

When a bank is burdened with Non Performing Loans, an underinvestment problem may arise. Banking Authorities often take the initiative to segregate these Non Performing Loans into a Bad Bank (BB), so that the remaining part of the bank, the Good Bank, finds it profitable to make new loans. These...

Persistent link: https://www.econbiz.de/10012134870

Machine Learning and the Implementable Efficient Frontier

Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022

We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...

Persistent link: https://www.econbiz.de/10013492674

The war puzzle : contradictory effects of international conflicts on stock markets

Brune, Amelie; Hens, Thorsten; Rieger, Marc Oliver; … - 2011

We study a number of large international military conflicts since World War II where we establish a news analysis as a proxy for the estimated likelihood that the conflict will result in a war. We find that in cases when there is a pre-war phase, an increase in the war likelihood tends to...

Persistent link: https://www.econbiz.de/10009273181

A consistent model of "explosive" financial bubbles with mean-reversing residuals

Lin, Li; Ren, Ruoen; Sornette, Didier - 2009

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...

Persistent link: https://www.econbiz.de/10003970340

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