N°17-19: High-Frequency Jump Analysis of the Bitcoin Market, O. Scaillet, A. Treccani, and C. Trevisan, 2017.
O. Scaillet, A. Treccani , and C. Trevisan
Working Papers
19. Jan. 2017
N°17-18: Anticipating Critical Transitions of Chinese Housing Markets, Z. Qun, D. Sornette, and H. Zhang, 2017.
D. Sornette, E. Dautovic, and Y. Huang
Working Papers
18. Jan. 2017
N°17-17: Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets, S. Belkov, I. V. Evstigneev, T. Hens, and L. Xu, 2017.
T. Hens, S. Belkov, I. V. Evstigneev, and L. Xu
Working Papers
17. Jan. 2017
N°17-16: Unspanned Stochastic Volatility in the Multi-Factor CIR Model, D. Filipovic, M. Larsson, and F. Statti , 2017.
D. Filipović, E. Dautovic, and Y. Huang
Working Papers
16. Jan. 2017
N°17-15: Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns, P. Bacchetta and E. Van Wincoop, 2017.
P. Bacchetta, E. Van Wincoop
Working Papers
15. Jan. 2017
N°17-14: Democratic Development and Credit “Democracy Doesn`t Come Cheap” But At Least Credit to Its Corporations Will Be, M.D. Delis, H. Iftekhar, and S. Ongena, 2017.
S. Ongena, M. D. Delis, and I. Hasan
Working Papers
14. Jan. 2017
N°17-12: The British Pound on Brexit Night: a Natural Experiment of Market Efficiency and Real-Time Predictability, K. Wu, S. Wheatley, and D. Sornette, 2017.
D. Sornette, K. Wu, and S. Wheatley
Working Papers
12. Jan. 2017
N°17-11: Closing Down the Shop: Optimal Health and Wealth Dynamics near the End of Life, J. Hugonnier, F. Pelgrin, and P. St-Amour, 2017.
J. Hugonnier, F. Pelgrin, and P. St-Amour
Working Papers
11. Jan. 2017
N°17-10: Front-running and Market Quality: An Evolutionary Perspective on High Frequency Trading, T. Hens, T. Lensberg, and K. R. Schenk-Hoppé, 2017.
T. Hens, T. Lensberg, and K. R. Schenk-Hoppé
Working Papers
10. Jan. 2017
N°17-09: Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking, S. Kolaric, F. Kiesel, and S. Ongena, 2017.
S. Ongena, S. Kolaric, and F. Kiesel
Working Papers
9. Jan. 2017
N°17-07: Product Market Competition and Option Prices, E. Morellec and A. Zhdanov, 2017.
E. Morellec, and A. Zhdanov
Working Papers
7. Jan. 2017
N°17-06: Company Stock Price Reactions to the 2016 Election Shock: Trump, Taxes and Trade, A.F. Wagner, R. J. Zeckhauser, and A. Ziegler, 2017.
A. Wagner, R. J. Zeckhauser, and A. Ziegler
Working Papers
6. Jan. 2017
N°17-05: The Sustainability Footprint of Institutional Investors: ESG Driven Price Pressure and Performance
P. Krüger, R. Gibson Brandon, S. F. Mitali
Working Papers
5. Jan. 2017
N°17-04: Re-use of Collateral: Leverage, Volatility, and Welfare, J. Brumm, F. Kübler, M. Grill, and K. Schmedders, 2017.
F. Kübler, K. Schmedders, J. Brumm, and M. Grill
Working Papers
4. Jan. 2017