There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

We show how one can use deep neural networks with macro-economic data in conjunction with price-volume data in a walk-forward setting to do tactical asset allocation. Low cost publicly traded ETFs corresponding to major asset classes (equities, fixed income, real estate) and geographies (US,...

I will address eight common claims about bitcoin: 1. Physical bitcoins exist; 2. The founder of bitcoin is a person called Satoshi Nakamoto; 3. Bitcoin is mainly used for criminal activity; 4. A lack of security plagues bitcoin; 5. Mining is a waste of energy; 6. Bitcoin too small today to be an...

This paper will provide information on what happened in the financial crisis of 2008 and how to graph volatility outside of the option market. We will investigate the causes of the financial crisis, as well as some of the social inequalities that still exist today. We will explore household...

The description of the dynamics and fluctuations of macro variables remains one of the most exciting problems of financial economics. This paper models macro variables via the description of transactions between agents. We use risk ratings x of agents as their coordinates in the economic space....

Applied general and partial equilibrium models are widely used tools for ex ante analysis of trade policy changes. However, simulation results seem to exhibit significant variation across publications, and the often criticised 'black box' character of applied trade models makes meaningful...

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...

We develop a rational expectations model of financial bubbles and study ways in which a generic risk-return interplay is incorporated into prices. We retain the interpretation of the leading Johansen-Ledoit-Sornette model, namely, that the price must rise prior to a crash in order to compensate...

Cultural diversity - in various forms - has in recent years turned into a prominent and relevant research and policy issue. There is an avalanche of studies across many disciplines that measure and analyse cultural diversity and its impacts. Based on different perspectives and features of the...

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...