This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

In this paper, a continuous-time, structural model of a dealer-bank is presented to derive fair value equations for credit-risky financial products that are not perfectly hedged. The impact these contracts have on the dealer-bank's earnings volatility, and consequently, their solvency and...

Algorithmic Differentiation (AD), also known as automatic differentiation, computes the derivative(s) of computer code. It was pioneered by (Giles and Glasserman, 2006) and produces exact derivatives with low latency. AD is well presented in finance, see (Capriotti, 2010), (NAG, n.d.) and...

We present Algorithmic Adjoint Differentiation (AAD), also known as Automatic Adjoint Differentiation, which computes the derivative(s) of computer code. In finance this leads to a relatively new and novel approach, pioneered by (Giles and Glasserman, 2006), to compute financial risks. When...

An "explosion moment" is a large movement in the market that can be caused by fundamental changes or the normal dynamic of some assets. These movements can be difficult to navigate and can lead to poor investment decisions. There are two types of events that can cause explosion moments:...

This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

Impact of chosen behavioural factors on imprecision risk burdening present value is discussed here. The formal model of behavioural present value is offered as a result of this discussion. Behavioural present value is described here by fuzzy set. These considerations were illustrated by means of...

Ordering alternatives by their degree of ambiguity is a crucial element in decision-making processes in general and in asset pricing in particular. Thus far the literature has not provided an applicable measure of ambiguity allowing for such ordering. The current paper addresses this need by...

Assuming that probabilities (capacities) of events are random, this paper introduces a novel model of decision making under ambiguity, called Shadow probability theory, a generalization of the Choquet expected utility. In this model, probabilities of observable events in a subordinated...