Purpose – The main purpose of this paper is to analyze the trends of various types of data breaches and their compromised records in the USA using a new model recently developed by the authors. Design/methodology/approach – The 2,280 data breaches and over 512 million related compromised...

Purpose To explain the fraud schemes known as business email compromise (BEC) and executive impersonation that are growing in popularity, and the threat they pose to financial institutions. Design/methodology/approach This article explains BEC and executive impersonation and how they are carried...

In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of parametric kernels to high-frequency trade data that...

We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price...