N°15-56: Statistical Testing of DeMark Technical Indicators on Commodity Futures, D. Daly, M. Lissandrin, and D. Sornette, 2015.
D. Sornette, D. Daly, M. Lissandrin
Working Papers
15 June 2015
N°15-58: Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set, C. Sala, G. Barone-Adesi, 2015.
G. Barone-Adesi, C. Sala
Working Papers
13 June 2015
N°15-55: Informed Trading in the Stock Market and Option Price Discovery, P. Collin-Dufresne, V. Fos, and D. Muravyev, 2015.
P. Collin-Dufresne, V. Fos, and D. Muravyev
Working Papers
13 June 2015
N°15-54: A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing, W. Farkas, E. Gourier, R. Huitema, and C. Necula, 2015.
W. Farkas, E. Gourier, R. Huitema, and C. Necula
Working Papers
11 June 2015
N°15-53: A General Closed Form Option Pricing Formula, C. Necula, G. Drimus, and W. Farkas, 2015.
W. Farkas, C. Necula, G. Drimus
Working Papers
8 June 2015
N°15-52: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging, S. Hermann and J. Muhle-Karbe, 2015.
S. Hermann and J. Muhle-Karbe
Working Papers
7 June 2015
N°15-51: Liquidity Management in Banking: What is the Role of Leverage?, Q.-A. Vo, 2015.
Q.-A. Vo
Working Papers
4 June 2015
N°15-50: Conditioning the Information in Portfolio Optimization, G. Barone-Adesi and C. Sala, 2015.
G. Barone-Adesi, C. Sala
Working Papers
1 June 2015
N°15-49: Leverage and Risk Taking, S. Moreno-Bromberg and G. Roger, 2015.
S. Moreno-Bromberg and G. Roger
Working Papers
27 May 2015
N°15-48: Has the Pricing of Stocks Become More Global?, I. Petzev, A. Schrimpf, and A. F. Wagner, 2015.
A. Wagner, I. Petzev, A. Schrimpf
Working Papers
21 May 2015
N°15-47: Average Skewness Matters, E. Jondeau, Q. Zhang and X. Zhu, 2015.
E. Jondeau, Q. Zhang and X. Zhu
Working Papers
17 May 2015
N°15-46: The Impact of Treasury Supply on Financial Sector Lending and Stability, A. Krishnamurthy and A. Vissing-Jorgensen, 2015.
A. Krishnamurthy and A. Vissing-Jorgensen
Working Papers
14 May 2015
N°15-45: VaR and CVaR Implied in Option Prices, G. Barone-Adesi, 2015.
G. Barone-Adesi
Working Papers
12 May 2015
N°15-44: Optimal Rebalancing Frequencies for Multidimensional Portfolios, I. Erken, R. Liu and J. Muhle-Karbe, 2015.
I. Erken, R. Liu and J. Muhle-Karbe
Working Papers
10 May 2015
N°15-43: Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities, D. Sornette, Qun Zhang, and Qunzhi Zhang, 2015.
D. Sornette, Qun Zhang, and Qunzhi Zhang
Working Papers
8 May 2015