Now showing items 1-4 of 4
Anticipating the financial crisis: evidence from insider trading in banks
(Oxford University Press, 2020-04)
Banking crises are recurrent phenomena, often induced by excessive bank risk-taking, which may be due to behavioural reasons (over-optimistic banks neglecting risks) and to conflicts of interest between bank shareholders/managers ...
On the numerical schemes for Langevin-type equations
(Karaganda University, 2020)
In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of ...
Corporate diversification and the cost of debt: evidence from REIT bank loans and mortgages
This paper investigates whether corporate diversification by property type and by geography reduces the costs of debt capital. It employs asset-level information on the portfolios of U.S. REITs to measure diversification ...
Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
(IOS Press, 2020)
Pairs trading is a widespread market-neutral trading strategy aiming to utilize the relationship between pairs of financial instruments in efficient markets, where predictability of separate asset movements is theoretically ...
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