This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....

In this study, integration degrees of monthly logarithmic return series of ISE100 Index, interest rate, and exchange rate basket, are estimated for last 60 months by using monthly time series of 2002-2012. According to the results of the analysis, FI degrees at 24 month period between 2008-2009...

This is the transcription of the American Finance Association's Presidential Address of January 7, 2017. The address is based on the paper "'https://ssrn.com/abstract=2893930' The Scientific Outlook in Financial Economics"

Given the competition for top journal space, there is an incentive to produce “significant” results. With the combination of unreported tests, lack of adjustment for multiple tests, and direct and indirect p-hacking, many of the results being published will fail to hold up in the future. In...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

Benoit Mandelbrot (1924-2010), a pioneering mathematician, created a new awareness of the chaos of nature - its randomness, irregular shapes, sharp edges, corners, and gaps. He developed the theory of fractals to describe these phenomena, and he also applied his concepts to financial markets....

The disappointing performances of existing economic models are largely due to their reliance on physical calendar time, making them static and rigid. Ultimately, this means that they fail to respond to the disruptive events that characterize markets and the economy at large with sufficient...

Economic models are the tools of decision makers in governments and central banks. As such, they affect our everyday lives. But what is the actual track record of these models, and do they really work? Applying them in real time and validating them on a day-by-day basis leads to a clear...

This essay argues that the current global financial and political system was not designed for a technology-driven society and, as such, is unfit for purpose. In short, it is a “broken bicycle”; no matter how expert the rider, the result will always be failure. To fix the bicycle, we have to...