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Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Series Clustering Approach
2012/9/14
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Distribution Of Wealth In A Network Model Of The Economy
Distribution Of Wealth A Network Model The Economy
2012/9/14
We show, analytically and numerically, that wealth distribution in the Bouchaud-Mezard network model of the economy is described by a three-parameter generalized inverse gamma distribution. In the mea...
Mathematical Definition, Mapping, and Detection of (Anti)Fragility
Mathematical Definition Mapping Detection
2012/9/14
We provide a mathematical definition of fragility and antifragility as negative or positive sensitivity to a semi - measure of dispersion and volatility (a variant of neg...
Evolutionary Model of the Growth and Size of Firms
firm size distribution firm growth Gibrat's law product growth size-variance relationship growth rate distribution Subbotin distribution Laplace distribution Pareto distribution price distribution human activity evolutionary economics product life cycle learning curve market size Hendersons law law of diminishing returns competitive markets
2012/9/14
The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explic...
Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust
integration correlation contagion house price returns
2012/9/14
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing,mortgages,and mortgage-related derivatives.To characterize diversification potential, we provid...
Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
nancial time series high-frequency returns generalized hyperbolic distributions Levy-stable distributions scaling laws tail behaviour
2012/9/14
Abstract.In this paper we perform a statistical analysis of the high-frequency re-turns of theIbex35Madrid stock exchange index. We nd that its probability distri-bution seems to be stable over di er...
Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation
Interval portfolio selection satisfaction index semiabsolute deviation risk parametric linear programming
2012/9/14
In this paper we consider an interval portfolio selection problem with uncertain returns and introduce an inclusive concept of satisfaction index for interval inequality relatio...
Global Inflation Dynamics: regularities & forecasts
global economic crisis the second wave inflation, US dollar consumer price index producer price index money supply M1 M2 US public debt crashes bubbles critical phenomena complexity power-law functions log-periodic oscillation
2012/9/14
The analysis of dollar inflation performed by the authors through the approximation of empirical data for 1913–2012 with a power-law function with an accelerating log-periodic osci...
A quantum mechanical model for the relationship between stock price and stock ownership
quantum mechanical model relationship between stock price stock ownership
2012/9/14
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is,...
How news affect the trading behavior of different categories of investors in a financial market
Firm-specific news News sentiment Trading Single investors
2012/9/14
We investigate the trading behavior of a large set of single investors trad-ing the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and ...
The Keynesian theory and the manufactured industry in Portugal
Verdoorn law panel data manufactured industries Portuguese regions.
2012/9/14
About the economic growth the Keynesian theorists defend circular and cumulative processes,benefiting the rich localities and harming the poorest, without external interventions. In these processes t...
A Utility Framework for Bounded-Loss Market Makers
Utility Framework Bounded-Loss Market Makers
2012/9/14
We introduce a class ofutility-based market makersthat always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We ...
A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
Government Bond (GB) model Corporate Bond (CB) model Term Structure of Default Probabilities (TSDP) Recovery Rate (RR) Credit Default Swap (CDS) business portfolio, credit risk management
2012/9/14
In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recov-ery rate (RR) for each pair of industry factor and credit r...
On-Line Portfolio Selection with Moving Average Reversion
Portfolio Selection Moving Average Reversion
2012/9/14
On-line portfolio selection has attracted in-creasing interests in machine learning and AI communities recently. Empirical evidence show that stock’s high and low prices are temporary and stock price ...
Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
Treasury Bonds risk-free valuation intrinsic value duration, convexity
2012/9/14
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determi...