We analyse cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility and correlation in the context of our spot price...

This study provides an overview of the model evolution and research trends in the field of financial and risk modelling by applying a bibliometric approach from 2008–2019 and an overall citation network analysis. We present a content analysis of contributing authors, countries, journals, main...

Financial markets face occasional shocks, which may come from geopolitical, economic, financial or other sources. In this paper, we consider the reaction of financial markets to the onset of severe conditions in the aftermath of Feb. 15, 2020. In particular, we analyze the primary and derivative...

This paper argues that the subsistence of the fundamental theorem of contemporary financial mathematics is the ethical concept `reciprocity'. The argument is based on identifying an equivalence between the contemporary, and ostensibly 'value neutral', Fundamental Theory of Asset Pricing with...

I take a new approach to measuring world inequality and welfare over time by constructing robust bounds for these series instead of imposing parametric assumptions to compute point estimates. I derive sharp bounds on the Atkinson inequality index that are valid for any underlying distribution of...

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...

Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume imbalance and trade intensity (the VPIN toxicity metric). VPIN is updated in volume-time, making it...

This paper studies how the structure of the International Trade Network (ITN) changes in geographical space and along time. We employ geographical distance between countries in the world to filter the links in the ITN, building a sequence of sub-networks, each one featuring trade links occurring...

This paper presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in a data set, namely major financial market indices converted to financial return series. The general problem concerns the inference of a change in the distribution...