Results 171 to 180 of about 2,240,235 (392)
Empirical Crypto Asset Pricing [PDF]
arXivWe motivate the study of the crypto asset class with eleven empirical facts, and study the drivers of crypto asset returns through the lens of univariate factors. We argue crypto assets are a new, attractive, and independent asset class. In a novel and rigorously built panel of crypto assets, we examine pricing ability of sixty three asset ...
arxiv
Asset pricing during pandemic lockdown. [PDF]
Res Int Bus Finance, 2021 Saito Y, Sakamoto J.
europepmc +1 more source
Jump risk, time-varying risk premia, and technical trading profits [PDF]
In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia.
Chenyang Feng, Stephen D. Smith
core
Agribusiness, EarlyView.Abstract Straw returning is important for rural ecological management and sustainable agricultural development. Using farm survey data for Anhui Province, China, in 2020, we applied the double‐hurdle model to investigate the impact of agricultural machinery services and land fragmentation on farmers' straw‐returning behavior, and to explore the ...
Xin Wang, Yanping Song, Wei Huang
wiley +1 more source
G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty [PDF]
arXiv, 2013 The target of this paper is to consider model the risky asset price on the financial market under the Knightian uncertainty, and pricing the ask and bid prices of the uncertain risk. We use the nonlinear analysis tool, i.e., G-frame work [26], to construct the model of the risky asset price and bid-ask pricing for the European contingent claims under ...
arxiv
Supply chain risk in grain trading: Inventories as real options for shipping grain
Agribusiness, EarlyView.Abstract Integrating trading and logistics is an important challenge in commodity trading. Trading and logistics are strategic decisions and are integral to most commodities including grain shipping by rail, in addition to other modes (barges, ocean shipping). There are substantial risks, such as the ordering and placement of rail cars.
William W. Wilson, Jesse Klebe
wiley +1 more source
Multi-asset and generalised Local Volatility. An efficient implementation [PDF]
arXivThis article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local volatility.
arxiv
Agribusiness, EarlyView.Abstract Futures markets are critical to price discovery and often dominate spot markets. We analyze the linkages between daily corn futures and spot prices in the United States using dynamic time warping. This nonparametric pattern recognition technique has several advantages over traditional time series methods.
Dragan Miljkovic +2 more
wiley +1 more source
Heat Kernel Framework for Asset Pricing in Finite Time [PDF]
arXiv, 2012 A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by weighted heat kernels which are driven by multivariate Markov processes and which provide enough degrees of ...
arxiv
Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data [PDF]
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple
Dirk Krueger +2 more
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