Results 121 to 130 of about 106,023 (221)
Tackling nonlinear price impact with linear strategies
Mathematical Finance, Volume 35, Issue 2, Page 422-440, April 2025.Abstract Empirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear ...
Xavier Brokmann +3 more
wiley +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Discount factors ex post and ex ante, and discounted utility anomalies [PDF]
The real options approach is used to explain discounted utility anomalies as artifacts of the optimizing behavior of an individual with standard preferences, who perceives the utility from consumption in the future as uncertain.
Sergei Levendorskii +1 more
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Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, EarlyView.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley +1 more source
Rising indebtedness and temptation: a welfare analysis [PDF]
Is the observed large increase in consumer indebtedness since 1970 beneficial for U.S. consumers? This paper quantitatively investigates the macroeconomic and welfare implications of relaxing borrowing constraints using a model with preferences featuring
Makoto Nakajima
core
Mathematical Finance, EarlyView.ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer +2 more
wiley +1 more source
A mathematical framework for modelling the dynamic nature of ADHD symptoms. [PDF]
Front PsychiatryAdamou M, Kehagias A, Antoniou G.
europepmc +1 more source
Modern Theology, EarlyView.Abstract This essay, designed as a complement to opinions expressed by Rowan Williams and some speakers at the conference in his honour, explores features of early Christianity which suggest a positive evaluation of artificial intelligence. Noting that the fear of reducing humans to machines has been joined in the modern age by the fear that machines ...
Mark J. Edwards
wiley +1 more source
Adults with more severe psychopathy in the community show increased social discounting. [PDF]
Commun PsycholNero N +8 more
europepmc +1 more source
Trade Unions and Sociotechnical Change: Examining Legal Mobilisation in the Retail Sector in Chile
New Technology, Work and Employment, EarlyView.ABSTRACT This article examines how trade unions in Chile adopted legal mobilisation to address a sociotechnical transformation agenda that triggered wage decline and work intensification. The proposed change involved the implementation of a Functional Flexibility Plan by a multinational retailer, facilitated by in‐store logistics and supermarket front ...
Alejandro Castillo +2 more
wiley +1 more source