The paper presents a comparison of the two languages Python and R related to the classification tools and demonstrates the differences in their syntax and graphical output. It indicates the functionality of R and Python packages {dendextend} and scipy.cluster as effective tools for the...

In the real world, the theory of economic faces many obstacles in its analyses and interpretations. One of these problems is overlapping relationships between specific variables and difficulty of determining perfect formulation which contain all possible effect. Traditional statistics tools like...

The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and...

We consider a decentralized supply chain where a supplier sells goods to a retailer facing a general random demand over an infinite horizon. The retailer satisfies the demand to the extent of the inventory on hand. The retailer has private information about his inventory in each period and the...

Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often it is defined ambiguously through risk-based portfolio construction techniques. Recently it has been suggested to connect maximising diversification with minimising risk...

Cet article généralise l'approche de Bollerslev et Zhang (2003) qui consiste à utiliser des mesures et co-mesures de risque « réalisées » pour l'estimation des sensibilités dans les modèles d'évaluation des actifs financiers. Nous proposons ici d'étendre cette approche en introduisant...

A power law (PL) is the form taken by a large number of surprising empirical regularities in economics and finance. This review surveys well-documented empirical PLs regarding income and wealth, the size of cities and firms, stock market returns, trading volume, international trade, and...

This paper examines the effect of return dispersion on the dynamics of stock market liquidity, risk and return. Moreover, the importance of return dispersion in forecasting aggregate economic activity is rediscovered in the context of a regime switching model that accounts for stock market...

We investigate the co-movement of 13 Asia-Pacific stock market returns with that of European and US stock market returns using the wavelet coherence method. Our results show consistent co-movement between most of the Asia-Pacific stock markets and that of Europe and the US in the long run. We...