Review on efficiency and anomalies in stock markets
The efficient-market hypothesis (EMH) is one of the most important economic and financial
hypotheses that have been tested over the past century. Due to many abnormal phenomena …
hypotheses that have been tested over the past century. Due to many abnormal phenomena …
Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China
This paper aims to compare Bitcoin with gold in the diversification of Chinese portfolios
using daily data over the 2010–2020 period. We propose a new development of copula …
using daily data over the 2010–2020 period. We propose a new development of copula …
Bayesian decision-making under misspecified priors with applications to meta-learning
Thompson sampling and other Bayesian sequential decision-making algorithms are among
the most popular approaches to tackle explore/exploit trade-offs in (contextual) bandits. The …
the most popular approaches to tackle explore/exploit trade-offs in (contextual) bandits. The …
Big data, computational science, economics, finance, marketing, management, and psychology: connections
The paper provides a review of the literature that connects Big Data, Computational Science,
Economics, Finance, Marketing, Management, and Psychology, and discusses research …
Economics, Finance, Marketing, Management, and Psychology, and discusses research …
Optimal auction design with common values: An informationally robust approach
A profit‐maximizing seller has a single unit of a good to sell. The bidders have a pure
common value that is drawn from a distribution that is commonly known. The seller does not …
common value that is drawn from a distribution that is commonly known. The seller does not …
Hybrid similarity measure for case retrieval in CBR and its application to emergency response towards gas explosion
Case retrieval is a primary step in case-based reasoning (CBR). It is important to measure
the similarity between each historical case and the target case during the case retrieval …
the similarity between each historical case and the target case during the case retrieval …
Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach
This paper examines the market efficiency of oil spot and futures prices by using both mean-
variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas …
variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas …
Multivariate linear and nonlinear causality tests
The traditional linear Granger test has been widely used to examine the linear causality
among several time series in bivariate settings as well as multivariate settings. Hiemstra and …
among several time series in bivariate settings as well as multivariate settings. Hiemstra and …
[LIVRE][B] Econometric analysis of stochastic dominance: Concepts, methods, tools, and applications
YJ Whang - 2019 - books.google.com
This book offers an up-to-date, comprehensive coverage of stochastic dominance and its
related concepts in a unified framework. A method for ordering probability distributions …
related concepts in a unified framework. A method for ordering probability distributions …
[LIVRE][B] Financial markets theory
E Barucci, C Fontana - 2003 - Springer
Springer Finance is a programme of books addressing students, academics and
practitioners working on increasingly technical approaches to the analysis of financial …
practitioners working on increasingly technical approaches to the analysis of financial …