Quantitative and mathematical finance
Modeling of interest rates, stochastic or rough volatility, no-arbitrage and pricing theory, maximization of standard and non-standard expected utility, operational and credit risk, risk management and model uncertainty.
Fintech
Vast array of technologies from blockchain to cryptocurrencies.
Financial Economics
Financial aspects of the qualitative changes required to ensure sustainable economic growth as well as responsible investment, which has acquired an important place in the current financial landscape.
Corporate Finance: corporate venture capital and debt structure, namely the performance analysis of distressed debt investments, M&A and corporate strategy.
EMLV and ESILV’s professors and researchers of the Finance Group :
Publication of the professors and researchers of the Finance Group :
Benkraiem, Ramzi; Gaaya, Safa; Lakhal, Faten
Corporate tax avoidance, economic policy uncertainty, and the value of excess cash: International evidence Journal Article
In: Economic Modelling, vol. 108, pp. 105738, 2022.
@article{benkraiem_1751,
title = {Corporate tax avoidance, economic policy uncertainty, and the value of excess cash: International evidence},
author = {Ramzi Benkraiem and Safa Gaaya and Faten Lakhal},
url = {https://doi.org/10.1016/j.econmod.2021.105738},
year = {2022},
date = {2022-03-01},
journal = {Economic Modelling},
volume = {108},
pages = {105738},
abstract = {This paper presents new evidence on the links between corporate tax avoidance, economic policy uncertainty, and the value of excess cash. Based on an international sample of 41,535 firm-year observations from 2005 to 2018, the results show that tax avoidance negatively affects the value of excess cash. This negative effect is only prevalent for firms operating in countries with strong investor protection. This study also explores the role of economic policy uncertainty and shows that tax avoidance lowers the discount on the value of excess cash in uncertain times because investors may underestimate any negative reputational and risky practices. These findings have important implications for investors, policymakers and the welfare of the overall economy.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Mhedhbi, Karim; Essid, Moez
National Cultural Dimensions and Adoption of the International Financial Reporting Standard (IFRS) for Small and Medium-Sized Entities (SMEs) Journal Article
In: International Journal of Accounting, 2022.
@article{mhedhbi_1205,
title = {National Cultural Dimensions and Adoption of the International Financial Reporting Standard (IFRS) for Small and Medium-Sized Entities (SMEs)},
author = {Karim Mhedhbi and Moez Essid},
url = {https://www.worldscientific.com/doi/10.1142/S1094406022500044},
year = {2022},
date = {2022-03-01},
journal = {International Journal of Accounting},
keywords = {},
pubstate = {online},
tppubtype = {article}
}
Shuwaikh, Fatima; Dubocage, Emmanuelle
Access to the Corporate Investors' Complementary Resources: A Leverage for Innovation in Biotech Venture Capital-Backed Companies Journal Article
In: Technological Forecasting And Social Change, vol. 175, pp. 121374, 2022.
@article{shuwaikh_1742,
title = {Access to the Corporate Investors' Complementary Resources: A Leverage for Innovation in Biotech Venture Capital-Backed Companies},
author = {Fatima Shuwaikh and Emmanuelle Dubocage},
url = {https://www.sciencedirect.com/science/article/pii/S0040162521008052},
year = {2022},
date = {2022-02-01},
journal = {Technological Forecasting And Social Change},
volume = {175},
pages = {121374},
abstract = {Entrepreneurial companies are a vital source of innovation and are financed by investors with different profiles. We examine whether the innovative outputs of entrepreneurial companies are responsive to access to complementary resources from different types of venture capital (VC) funds: ?independent venture capital (IVC) and corporate venture capital (CVC)?. We then delve deeper and examine the mechanisms by which we measure if access to investors' complementary resources has an influence on the innovation performance of the companies they fund. Our sample consists of 1547 U.S. biotechnology companies founded between 1998 and 2013 and financed by IVC or CVC funds. We find that CVC-backed companies display higher rates of innovation output, as measured by their patenting outcomes, than their IVC-backed counterparts. We specify three mechanisms that affect the influence of complementary resources of corporate investors compared to those of IVC: (1) absorptive capacity enhances the ability of the company to grasp and utilize investor knowledge; (2) business similarity helps nurture the technologies of innovative companies, and (3) geographic proximity enables approachability.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Carassus, Laurence; Lépinette, Emmanuel
Pricing without no-arbitrage condition in discrete time Journal Article
In: Journal Of Mathematical Analysis And Applications, vol. 505, no. 1, pp. 125441, 2022.
@article{carassus_1540,
title = {Pricing without no-arbitrage condition in discrete time},
author = {Laurence Carassus and Emmanuel Lépinette},
url = {https://www.sciencedirect.com/science/article/pii/S0022247X21005205},
year = {2022},
date = {2022-01-01},
journal = {Journal Of Mathematical Analysis And Applications},
volume = {505},
number = {1},
pages = {125441},
abstract = {In a discrete time setting, we study the central problem of giving a fair price to some financial product. This problem has been mostly treated using martingale measures and no-arbitrage conditions. We propose a different approach based on convex duality instead of martingale measures duality: The prices are expressed using Fenchel conjugate and bi-conjugate without using any no-arbitrage condition. The super-hedging problem resolution leads endogenously to a weak no-arbitrage condition called Absence of Instantaneous Profit (AIP) under which prices are finite. We study this condition in detail, propose several characterizations and compare it to the usual no-arbitrage condition NA.},
note = {https://www.sciencedirect.com/science/article/pii/S0022247X21005205},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Grunspan, Cyril; Cretarola, Alessandra; Figà-Talamanca, Gianna
Blockchain and cryptocurrencies: economic and financial research Journal Article
In: Decisions in Economics and Finance, vol. 44, pp. 781-78, 2021.
@article{grunspan_1762,
title = {Blockchain and cryptocurrencies: economic and financial research},
author = {Cyril Grunspan and Alessandra Cretarola and Gianna Figà-Talamanca},
url = {https://doi.org/10.1007/s10203-021-00366-3},
year = {2021},
date = {2021-12-01},
journal = {Decisions in Economics and Finance},
volume = {44},
pages = {781-78},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Figà-Talamanca, Gianna; Focardi, Sergio
Common dynamic factors for cryptocurrencies and multiple pair trading statistical arbitrages Journal Article
In: Decisions in Economics and Finance, vol. 44, pp. 863-882, 2021.
@article{figa-talamanca_1403,
title = {Common dynamic factors for cryptocurrencies and multiple pair trading statistical arbitrages},
author = {Gianna Figà-Talamanca and Sergio Focardi},
url = {https://link.springer.com/article/10.1007/s10203-021-00318-x},
year = {2021},
date = {2021-12-01},
journal = {Decisions in Economics and Finance},
volume = {44},
pages = {863-882},
abstract = {In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset class. The empirical results suggest that the basket price is suitably described by a model with two dynamic factors. More precisely, we detect one integrated and one stationary factor until the end of August 2019 and two integrated factors afterwards. Based on this evidence, we define a multiple long-short trading strategy which proves profitable when the second factor is stationary.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Bosi, Stefano; Fontaine, Patrice; Van, Cuong Le
Long-run equilibrium in international asssets and goods markets: Why is the law of one price required? Journal Article
In: Journal Of Economic Behavior & Organization, vol. 190, no. september, pp. 891-904, 2021.
@article{bosi_1593,
title = {Long-run equilibrium in international asssets and goods markets: Why is the law of one price required?},
author = {Stefano Bosi and Patrice Fontaine and Cuong Le Van},
url = {https://doi.org/10.1016/j.jebo.2021.08.023},
year = {2021},
date = {2021-10-01},
journal = {Journal Of Economic Behavior & Organization},
volume = {190},
number = {september},
pages = {891-904},
abstract = {Globalization is a complex phenomenon, best represented by a general framework in which all financial markets and some goods markets adjust quickly, while for the other goods markets prices vary across countries. We consider a two-period financial model. In the first period, agents consume, buy and sell financial assets to diversify their portfolios. In the second period, they spend their endowments and financial gains to purchase con- sumption goods. We define the concept equilibrium ?, in which the total nominal value of trade is balanced and, for any non-negative individualized system of prices, the total nom- inal value of demand does not exceed the total value of supply. This equilibrium ?coincides with the standard concept of equilibrium when the Law of One Price (LOP) is satisfied for any country. In this model, we introduce imperfect international trade. Assuming that Un- covered Interest (rate) Parity (UIP) holds in all financial markets and the LOP does not hold in some goods markets, we prove that an equilibrium ?does exist; for markets in which the LOP fails, however, the equilibrium becomes autarkic. This result explains why finan- cial markets and some goods markets are globally integrated, while trade fails in other markets. The world economy is fully globalized only if the LOP holds everywhere.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Benkraiem, Ramzi; Depoers, Florence; Guizani, Assil; Lakhal, Faten
How do powerful decision-makers affect firm's stock price crash risk? Journal Article
In: Economics Bulletin, vol. 41, no. 3, pp. 1876-1886, 2021.
@article{benkraiem_1674,
title = {How do powerful decision-makers affect firm's stock price crash risk?},
author = {Ramzi Benkraiem and Florence Depoers and Assil Guizani and Faten Lakhal},
url = {http://www.accessecon.com/Pubs/EB/2021/Volume41/EB-21-V41-I3-P159.pdf (application/pdf)},
year = {2021},
date = {2021-10-01},
journal = {Economics Bulletin},
volume = {41},
number = {3},
pages = {1876-1886},
abstract = {This paper investigates the effect of decision-makers' power on the stock price crash risk (SPCR). Using a sample ofFrench listed companies, the results show that SPCR increases with the power of decision-makers in widely held andmore concentrated ownership structures. This result suggests that for expropriation purposes, powerful managers andcontrolling shareholders conceal bad news for extended periods. Up to a threshold, bad news is released to investorsall at once, leading to a drop in the stock prices. We also find that analysts' coverage mitigates the effect of powerfulmanagers on SPCR in widely held firms. However, the relationship between the power of controlling shareholders andSPCR is less prevalent in companies with independent boards. These findings highlight the importance of efficientgovernance devices to curb opportunistic decision-makers and protect the interests of external shareholders. However,the effectiveness of these mechanisms depends on the identity of the decision-maker and the nature of agencyproblems.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Jedda, Nour; Lakhal, Faten; Ghenima, Riadh
Family Control and Investment Efficiency: Does financial analyst coverage matter? Journal Article
In: Management International, vol. 25, no. 3, pp. 91-115, 2021.
@article{jedda_1242,
title = {Family Control and Investment Efficiency: Does financial analyst coverage matter?},
author = {Nour Jedda and Faten Lakhal and Riadh Ghenima},
url = {https://www.erudit.org/en/journals/mi/1900-v1-n1-mi06183/1079215ar/abstract/},
year = {2021},
date = {2021-07-01},
journal = {Management International},
volume = {25},
number = {3},
pages = {91-115},
abstract = {The purpose of this paper is to investigate the effect of
family control on investment efficiency and to highlight the
moderating effect of analyst coverage. Based on a sample
of French-listed companies, the results show a negative
effect of family excess control and successive generational
stage on investment efficiency. This negative effect is
mainly driven by the underinvestment problem. These
findings suggest that family firms are associated with
exacerbated information asymmetry issues leading them
to miss investment opportunities. However, analyst
coverage, as an external corporate governance device,
helps mitigating information asymmetry and the problem
of inefficient investments in family firms.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Shuwaikh, Fatima
Corporate Investors' Financial Performance: Does Dynamic Ambidexterity Matter? Inproceedings
In: Journal of Economic Behavioral & Organization: SI: ?Financial Crisis and Investors Behavior, Virtual, 2021.
@inproceedings{shuwaikh_1669,
title = {Corporate Investors' Financial Performance: Does Dynamic Ambidexterity Matter?},
author = {Fatima Shuwaikh},
url = {https://www.edcparis.edu/fr/financial-economics-meeting-crisis-challenges-fem-2021},
year = {2021},
date = {2021-07-01},
booktitle = {Journal of Economic Behavioral & Organization: SI: ?Financial Crisis and Investors Behavior},
address = {Virtual},
abstract = {The purpose of this paper is to investigate the impact of ambidexterity on corporate investor financial performance. We present the dynamic ambidexterity concept, which describes a firm's capability to adjust to how it balances exploitation and exploration. A longitudinal dataset of 12,895 corporate venture capital (CVC) investments made by 274 firms from North America throughout the period 1993-2017, supports our hypotheses. We reconceptualize ambidexterity as the sequential pursuit of exploitation and exploration with capability-shifting processes to adjust between exploration and exploitation over time. We contribute to the literature by extending the dynamic knowledge of sequential ambidexterity and by clarifying how sequential ambidexterity promotes higher firm performance than balanced or simultaneous forms of ambidexterity do. The results show that firms develop additional expertise at pursuing both exploitation and exploration activities over time. We contribute also to the continuous change literature, by finding that a higher frequency of change in fluctuation between activities positively impacts financial performance. This study builds a bridge between ambidexterity and the corporate venturing literature by examining the CVC context in a changing environmental condition.},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
Shuwaikh, Fatima
Venture Capital Activities under Uncertainty: US and UK Investors behavior Inproceedings
In: Annals of Operations Research: SI: ?Risk And Uncertainty Modelling In Financial And Economic Systems: Evidence From Advanced Operational Research Methods?, Virtual, 2021.
@inproceedings{shuwaikh_1670,
title = {Venture Capital Activities under Uncertainty: US and UK Investors behavior},
author = {Fatima Shuwaikh},
url = {https://www.edcparis.edu/fr/financial-economics-meeting-crisis-challenges-fem-2021},
year = {2021},
date = {2021-07-01},
booktitle = {Annals of Operations Research: SI: ?Risk And Uncertainty Modelling In Financial And Economic Systems: Evidence From Advanced Operational Research Methods?},
address = {Virtual},
abstract = {Investors making venture capital (VC) investments face partner uncertainty which is exogenous and beyond the control of the investors. This study estimates the response of investment decisions to changes in uncertainty using venture capital data. Although the context of corporate venture capital (CVC) investment has stimulated much scholarly interest, the mechanisms used to reduce uncertainty related to the investment decisions have not been adequately examined, especially compared to independent venture capital (IVC) across the United States (US) and the United Kingdom (UK). Through a set of 6189 US and UK formerly VC-backed ventures with first investment date between 1999 and 2014, strong evidence of differences between CVC and IVC one is found. Results show that CVC-backed ventures receive larger funding amounts and the positive impact of CVC financing on funding is stronger for the UK, when compared to US. US CVC-backed firms host shorter durations before exit, whereas UK CVC-backed start-ups lean towards longer durations than IVC-backed ones. Additionally, CVC-funding decreases duration in US ventures. Lastly, funding amount is positively correlated with the likelihood of an initial public offering (IPO) exit, yet the impact of duration is ambiguous, in line with the conflicting existing literature. CVC-financing has a positive impact on the probability of an IPO exit and this effect is stronger in the UK, when compared to the US. Results suggest that the English and American VC markets are yet to be perfectly integrated and that theoretical models are more likely to hold in the US rather than in the UK.},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
Bazgour, Tarik; Heuchenne, Cédric; Hübner, Georges; Sougné, Danielle
How do Volatility Regimes Affect the Pricing of Quality and Liquidity in the Stock Market? Journal Article
In: Studies In Nonlinear Dynamics And Econometrics, vol. 25, no. 1, pp. 20180127, 2021.
@article{bazgour_1190,
title = {How do Volatility Regimes Affect the Pricing of Quality and Liquidity in the Stock Market?},
author = {Tarik Bazgour and Cédric Heuchenne and Georges Hübner and Danielle Sougné},
url = {https://www.degruyter.com/view/journals/snde/ahead-of-print/article-10.1515-snde-2018-0127/article-10.1515-snde-2018-0127.xml},
year = {2021},
date = {2021-06-01},
journal = {Studies In Nonlinear Dynamics And Econometrics},
volume = {25},
number = {1},
pages = {20180127},
abstract = {This paper shows how stock market volatility regimes affect the cross-section of stock returns along quality and liquidity dimensions. We find that, during crisis periods, low quality and low liquidity stocks experience relatively higher losses than predicted in normal times, while high quality and high liquidity stocks experience rather relatively lower losses. These findings lend strong support to the presence of cross-market and within-market flight-to-quality and to-liquidity episodes during crisis periods. During low volatility periods, however, low quality and low liquidity stocks earn relatively larger returns, while high quality and high liquidity stocks yield lower returns; suggesting that low volatility conditions benefit junk and illiquid stocks but not quality and liquid stocks. Finally, our results reveal that liquidity level dominates liquidity beta in explaining stock returns across the different market volatility regimes.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Essid, Moez
Comptabilité « verte » : l'UE fait un pas en direction d'une harmonisation des normes Miscellaneous
The Conversation, 2021.
@misc{essid_1502,
title = {Comptabilité « verte » : l'UE fait un pas en direction d'une harmonisation des normes},
author = {Moez Essid},
url = {https://theconversation.com/comptabilite-verte-lue-fait-un-pas-en-direction-dune-harmonisation-des-normes-161919},
year = {2021},
date = {2021-06-01},
howpublished = {The Conversation},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Garcin, Matthieu
Forecasting with fractional Brownian motion: a financial perspective Conference
10th General AMaMeF, virtual, 2021.
@conference{garcin_1659,
title = {Forecasting with fractional Brownian motion: a financial perspective},
author = {Matthieu Garcin},
url = {x},
year = {2021},
date = {2021-06-01},
booktitle = {10th General AMaMeF},
address = {virtual},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
Garcin, Matthieu
From non-parametric estimation of tail dependence coefficients to portfolio diversification Conference
4th International Conference on Econometrics and Statistics, Virtual, 2021.
@conference{garcin_1660,
title = {From non-parametric estimation of tail dependence coefficients to portfolio diversification},
author = {Matthieu Garcin},
url = {x},
year = {2021},
date = {2021-06-01},
booktitle = {4th International Conference on Econometrics and Statistics},
address = {Virtual},
abstract = {x},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
Shuwaikh, Fatima
The Power of Syndicates: Evidence from Venture Capital Investments in the United States Conference
Reshaping capitalism for a sustainable world, Virtual, 2021.
@conference{shuwaikh_1668,
title = {The Power of Syndicates: Evidence from Venture Capital Investments in the United States},
author = {Fatima Shuwaikh},
url = {https://conferences.euram.academy/2021conference/},
year = {2021},
date = {2021-06-01},
booktitle = {Reshaping capitalism for a sustainable world},
address = {Virtual},
abstract = {This paper demonstrates the impact of the participation of CVC, IVC, and CVC-IVC syndicated investments on the overall concentration of investors involved in syndications. We examine the dynamics of the impact of these syndications and the channels (industry fit and location fit) that improve innovation effectiveness. Based on the main sample of 1017 ventures between 2010 and 2019, there is strong evidence of an existing superiority of CVC engagement in syndications that can further boost the innovation output contribution. Additionally, the results show that industry and location fit augment the innovation output of the venture.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
Waxin, Timothée; Belot, François
Family control, stock price levels and stock split activity Journal Article
In: Finance, vol. 42, no. 1, pp. 155-219, 2021.
@article{waxin_1267,
title = {Family control, stock price levels and stock split activity},
author = {Timothée Waxin and François Belot},
url = {https://www.cairn.info/revue-finance-2021-1-page-155.htm},
year = {2021},
date = {2021-05-01},
journal = {Finance},
volume = {42},
number = {1},
pages = {155-219},
abstract = {We investigate the impact of family control on both the share price level and the decision to split the firm's stock. Low stock prices are associated with higher volatility and have been shown to attract more speculative trading, which may force managers to excessively focus on short-term earnings. Moreover, a reduction in the stock price level can hurt the firm's reputational capital. We hypothesize that family owners, who are typically long-term investors and are especially concerned about corporate reputation, prefer to set higher stock prices to mitigate short-termism, focus on long-term planning, and reinforce the firm's image. Using a comprehensive sample of firms in the Société des Bourses Françaises (SBF) 120 Index from 1998 to 2016, we find a positive correlation between share prices and family control. Our investigations also indicate that family firms are less likely to conduct price reductions through stock splits. These findings suggest that a high stock price is a distinctive feature of family firms and that family owners have a specific norm in mind with respect to prices.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Lakhal, Faten; Depoers, Florence; Brahem, Emna
Family control and corporate social responsibility: The moderating effect of the board of directors Journal Article
In: Management International, vol. 25, no. 2, pp. 218 - 238, 2021.
@article{lakhal_1344,
title = {Family control and corporate social responsibility: The moderating effect of the board of directors},
author = {Faten Lakhal and Florence Depoers and Emna Brahem},
url = {https://www.erudit.org/en/journals/mi/1900-v1-n1-mi06083/1077793ar/abstract/},
year = {2021},
date = {2021-05-01},
journal = {Management International},
volume = {25},
number = {2},
pages = {218 - 238},
abstract = {This paper examines the effect of family control on corporate social responsibility (CSR) in French-listed companies. Based on quantile regressions, our results show that family identity and involvement in capital and management positively influence CSR performance, particularly for low-CSR firms. These findings support the socio-emotional perspective of family firms. However, families with excess control engage less in CSR activities for expropriation purposes. Additional analysis shows that board size and gender diversity attenuate the negative effect of excess family control on CSR performance and help then mitigating the expropriation risk by family-controlled firms.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
?apina, Matej; Karmakar, Chandan; Kramari?, Karolina; Kosmider, Marcin; Garcin, Matthieu; Brdari?, Dario; Milas, Kre?imir; Yearwood, John
Lempel-Ziv complexity of the pNNx statistics - an application to neonatal stress Journal Article
In: Chaos Solitons & Fractals, vol. 146, no. 1, pp. 110703, 2021.
@article{sapina_1658,
title = {Lempel-Ziv complexity of the pNNx statistics - an application to neonatal stress},
author = {Matej ?apina and Chandan Karmakar and Karolina Kramari? and Marcin Kosmider and Matthieu Garcin and Dario Brdari? and Kre?imir Milas and John Yearwood},
url = {https://www.sciencedirect.com/science/article/abs/pii/S0960077921000564},
year = {2021},
date = {2021-05-01},
journal = {Chaos Solitons & Fractals},
volume = {146},
number = {1},
pages = {110703},
abstract = {Among the existing measures of heart rate variability (HRV), the pNN50 statistics is one of the most commonly reported. However, it is only a single member of a much larger family of HRV measures - the pNN statistics. In this research pNN was further extended, combining it with the Lempel-Ziv complexity (LZ76) in a controlled neonatal stress framework. Two different types of stress stimuli on forty healthy newborns - a routine heel stick blood sampling, and a dull heel pressure stimulation - were considered by recording time intervals between heartbeats. Instead of relying on a single value, the entire spectrum from pNN1 to pNN100 was calculated, along with LZ76 derived from binarized sequences for each NN. The results of this study show a downward shift of the pNN curves when newborns are stressed, with reduced LZ76 complexity when stressed. When ROC curves were utilized for the pNN statistics and LZ76, however, the highest AUC values were observed when both measures were combined, with the highest AUC values of 0.88 (0.80-0.94) and 0.85 (0.74-0.91) for discriminating resting states from stress phases. Combining the widely used pNN statistics with LZ76 extends the existing HRV toolbox, and shows a promising application in recognizing acute neonatal stress.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Garcin, Matthieu
Fractional models: estimation, forecast, and market efficiency Conference
Financial modelling seminar, Université Paris 1 Panthéon-Sorbonne, Virtual, 2021.
@conference{garcin_1661,
title = {Fractional models: estimation, forecast, and market efficiency},
author = {Matthieu Garcin},
url = {x},
year = {2021},
date = {2021-04-01},
booktitle = {Financial modelling seminar, Université Paris 1 Panthéon-Sorbonne},
address = {Virtual},
abstract = {x},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
Fontaine, Patrice; Zhao, Sujiao
Suppliers as Financial Intermediaries: Trade Credit for Undervalued Firms Journal Article
In: Journal Of Banking & Finance, vol. 124, pp. 106043, 2021.
@article{fontaine_1382,
title = {Suppliers as Financial Intermediaries: Trade Credit for Undervalued Firms},
author = {Patrice Fontaine and Sujiao Zhao},
url = {https://www.sciencedirect.com/science/article/abs/pii/S0378426621000017},
year = {2021},
date = {2021-03-01},
journal = {Journal Of Banking & Finance},
volume = {124},
pages = {106043},
abstract = {We examine the impact of undervaluation on a firm's use of trade credit. To address potential endogeneity bias, we construct our instrumental variable based on mutual fund outflow-driven price pressure, and our undervaluation measure allows us to distinguish misvaluation from fair valuation. We find that a firm's suppliers play an important role in providing temporary bridge financing when the firm is undervalued. The effect varies with the firm's information environment and with its dependence on external finance. In addition, based on a manually matched supplier-customer sample, we show that small customers in long-term relationships with their suppliers are more likely to obtain trade credit when facing stock market undervaluation, while small suppliers with a smaller customer pool extend more trade credit to their undervalued customers.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Callegaro, Gorgia; Grasselli, Martino; Pagès, Gilles
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Journal Article
In: Mathematics Of Operations Research, vol. 46, no. 1, pp. 221-254, 2021.
@article{callegaro_1138,
title = {Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)},
author = {Gorgia Callegaro and Martino Grasselli and Gilles Pagès},
url = {https://pubsonline.informs.org/doi/10.1287/moor.2020.1054},
year = {2021},
date = {2021-02-01},
journal = {Mathematics Of Operations Research},
volume = {46},
number = {1},
pages = {221-254},
abstract = {We solve a family of fractional Riccati equations with constant (possibly complex) coefficients. These equations arise, for example, in fractional Heston stochastic volatility models, which have received great attention in the recent financial literature because of their ability to reproduce a rough volatility behavior. We first consider the case of a zero initial value corresponding to the characteristic function of the log-price. Then we investigate the case of a general starting value associated to a transform also involving the volatility process. The solution to the fractional Riccati equation takes the form of power series, whose convergence domain is typically finite. This naturally suggests a hybrid numerical algorithm to explicitly obtain the solution also beyond the convergence domain of the power series. Numerical tests show that the hybrid algorithm is extremely fast and stable. When applied to option pricing, our method largely outperforms the only available alternative, based on the Adams method.},
keywords = {},
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Ouadghiri, Imane El; Guesmi, Khaled; Peillex, Jonathan; Ziegler, Andreas
Public attention to environmental issues and stock market returns Journal Article
In: Ecological Economics, vol. 180, pp. 106836, 2021.
@article{el_ouadghiri_1343,
title = {Public attention to environmental issues and stock market returns},
author = {Imane El Ouadghiri and Khaled Guesmi and Jonathan Peillex and Andreas Ziegler},
url = {https://www.sciencedirect.com/science/article/abs/pii/S0921800919315617},
year = {2021},
date = {2021-02-01},
journal = {Ecological Economics},
volume = {180},
pages = {106836},
abstract = {/},
keywords = {},
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tppubtype = {article}
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Grunspan, Cyril; Pérez-Marco, Ricardo
On Profitability of Nakamoto double spend Journal Article
In: Probability In The Engineering And Informational Sciences, 2021.
@article{grunspan_1423,
title = {On Profitability of Nakamoto double spend},
author = {Cyril Grunspan and Ricardo Pérez-Marco},
url = {https://www.cambridge.org/core/journals/probability-in-the-engineering-and-informational-sciences/article/abs/on-profitability-of-nakamoto-double-spend/4DF05998AA2F76EAB5D3AF2D181AE584},
year = {2021},
date = {2021-02-01},
journal = {Probability In The Engineering And Informational Sciences},
abstract = {x},
keywords = {},
pubstate = {online},
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Ouadghiri, Imane El; Ziegler, Andreas; Peillex, Jonathan; Guesmi, Khaled
Les menaces écologiques affectent-elles les décisions des investisseurs ? Miscellaneous
The Conversation, 2021.
@misc{el_ouadghiri_1480,
title = {Les menaces écologiques affectent-elles les décisions des investisseurs ?},
author = {Imane El Ouadghiri and Andreas Ziegler and Jonathan Peillex and Khaled Guesmi},
url = {https://theconversation.com/les-menaces-ecologiques-affectent-elles-les-decisions-des-investisseurs-154659},
year = {2021},
date = {2021-02-01},
howpublished = {The Conversation},
keywords = {},
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tppubtype = {misc}
}
Belot, François; Waxin, Timothée
Family control, stock prices, and stock splits Miscellaneous
Magazine des Professions Financières et de l'Économie », 2021.
@misc{belot_1488,
title = {Family control, stock prices, and stock splits},
author = {François Belot and Timothée Waxin},
url = {https://www.professionsfinancieres.com/Page/magazine-21-quels-financements-pour-une-sante-innovante},
year = {2021},
date = {2021-02-01},
volume = {21},
howpublished = {Magazine des Professions Financières et de l'Économie »},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Blanchard, Romain; Carassus, Laurence
Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Journal Article
In: Mathematical Finance, vol. 31, no. 1, pp. 366-398, 2021.
@article{blanchard_1262,
title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},
author = {Romain Blanchard and Laurence Carassus},
url = {https://onlinelibrary.wiley.com/doi/10.1111/mafi.12288},
year = {2021},
date = {2021-01-01},
journal = {Mathematical Finance},
volume = {31},
number = {1},
pages = {366-398},
abstract = {This paper formulates a utility indifference pricing model for investors trading in a discrete time financial market under nondominated model uncertainty. Investor preferences are described by possibly random utility functions defined on the positive axis. We prove that when the investors's absolute risk aversion tends to infinity, the multiple?priors utility indifference prices of a contingent claim converge to its multiple?priors superreplication price. We also revisit the notion of certainty equivalent for multiple?priors and establish its relation with risk aversion.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Peillex, Jonathan; Ouadghiri, Imane El; Gomes, Mathieu; Jaballah, Jamil
Extreme Heat and Stock Market Activity Journal Article
In: Ecological Economics, vol. 179, pp. 106810, 2021.
@article{peillex_1306,
title = {Extreme Heat and Stock Market Activity},
author = {Jonathan Peillex and Imane El Ouadghiri and Mathieu Gomes and Jamil Jaballah},
url = {https://www.sciencedirect.com/science/article/pii/S092180092030015X},
year = {2021},
date = {2021-01-01},
journal = {Ecological Economics},
volume = {179},
pages = {106810},
abstract = {We aim to advance our understanding of the adverse effects of extreme temperatures by examining the extent to which high temperatures affect stock market activity. We address this question by analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995-2019. Our empirical analyses show that, on average, trading volumes fall significantly (between 4% and 10%) when maximum daily temperatures exceed 30 °C (86 °F). The observed negative association is remarkably robust to a battery of alternative analyses such as bin tests, event studies, and time-series regressions controlling for any seasonal effects and financial market conditions. From a theoretical perspective, this study contributes to the literature on behavioral finance by demonstrating the existence of a ?hot weather? effect on financial markets. It also offers important managerial and public policy implications.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Francoeur, Claude; Lakhal, Faten; Gaaya, Safa; Saad, Itidel Ben
How Do Powerful CEOs Influence Corporate Environmental Performance? Journal Article
In: Economic Modelling, vol. 94, pp. 121-129, 2021.
@article{francoeur_1307,
title = {How Do Powerful CEOs Influence Corporate Environmental Performance?},
author = {Claude Francoeur and Faten Lakhal and Safa Gaaya and Itidel Ben Saad},
url = {https://www.sciencedirect.com/science/article/pii/S0264999320312086},
year = {2021},
date = {2021-01-01},
journal = {Economic Modelling},
volume = {94},
pages = {121-129},
abstract = {This study investigates how powerful chief executive officers (CEOs) affect their firm's environmental performance. Based on a sample of 5222 U.S. firm-year observations, we find that such CEOs positively influence environmental performance and that this effect is more prevalent in profitable firms. This result suggests that powerful CEOs are influential in creating sufficient resources to enhance their firms' environmental performance. They are also typically well established and enjoy the quiet life that predisposes them to prioritize environmental projects. Our results also show that, although firms in polluted industries have lower environmental performance, they are able to mitigate this negative effect when they have powerful CEOs or are more profitable. Our results are robust to a variety of econometric models, alternative measures of environmental performance, and controlling for endogeneity issues},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Benkraiem, Ramzi; Lakhal, Faten; Saad, Itidel Ben
New insights into IFRS and earnings quality: what conclusions to draw from the French experience? Journal Article
In: Journal of Applied Accounting Research, vol. 22, no. 2, pp. 307-333, 2021.
@article{benkraiem_1520,
title = {New insights into IFRS and earnings quality: what conclusions to draw from the French experience?},
author = {Ramzi Benkraiem and Faten Lakhal and Itidel Ben Saad},
url = {https://www.emerald.com/insight/content/doi/10.1108/JAAR-05-2020-0094/full/html},
year = {2021},
date = {2021-01-01},
journal = {Journal of Applied Accounting Research},
volume = {22},
number = {2},
pages = {307-333},
abstract = {Purpose
The purpose of this study is to examine the effect of International Financial Reporting Standards (IFRS) on earnings quality in a continental European context (i.e. France) more than a decade after their mandatory adoption. Furthermore, the authors investigate whether the IFRS effect depends on firm-specific incentives.
Design/methodology/approach
The authors construct an aggregated measure that considers the main qualitative information characteristics: reliability and relevance. They identify accruals quality, earnings smoothing and the degree of conditional conservatism as attributes of reliability and use earnings persistence, predictability, value relevance and timeliness to measure earnings relevance. To test the hypotheses, the authors use a sample of French listed companies. The analyses are based on ordinary least squares (OLS) fixed effects, the Newey-West estimator and the difference-in-difference approach. The authors also use cluster analysis to identify firms with high incentives for earnings quality.
Findings
The results reveal a decrease in earnings quality that persisted for a decade after IFRS adoption. This decrease is mainly due to a decline in earnings relevance, suggesting that the fair value principle worsened earnings volatility. However, the results show that there is an improvement in earnings reliability after IFRS adoption, suggesting that the international standards were able to constrain managerial opportunism. Additionally, the findings reveal that firm-specific incentives can enhance the positive effect of IFRS, but the incentives are not able to substitute for such effect.
Research limitations/implications
The IFRS effect depends on firm-specific incentives.
Practical implications
The authors prove that firm-specific incentives are important to accentuate the positive effect of IFRS on earnings reliability and to mitigate the impact of IFRS on earnings relevance.
Originality/value
This paper makes several contributions to the literature. First, it addresses the relative lack of attention to the main qualitative characteristics in measuring earnings quality, that is, earnings reliability and earning relevance, and uses an aggregate earnings quality measure. Second, this paper uses a cluster analysis to highlight the role of firm-specific incentives in shaping the effect of IFRS on earnings quality.},
keywords = {},
pubstate = {published},
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}
Ach, Yves-Alain; Said, Sandra Rmadi
Information financière et valeur des marques Book
ISTE Editions, 2021, ISBN: 978-1784057060.
@book{ach_1347,
title = {Information financière et valeur des marques},
author = {Yves-Alain Ach and Sandra Rmadi Said},
url = {https://www.istegroup.com/fr/produit/information-financiere-et-valeur-des-marques/},
issn = {978-1784057060},
year = {2021},
date = {2021-01-01},
pages = {152 pages},
publisher = {ISTE Editions},
abstract = {Face à la non-reconnaissance comptable des marques créées et à la prise en compte de la valeur des marques acquises dans les états financiers, cet ouvrage étudie la nature, les caractéristiques et les déterminants des informations liées aux marques publiées dans les rapports annuels et financiers des entreprises.},
keywords = {},
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Ach, Yves-Alain; Said, Sandra Rmadi
Financial Information and Brand Value: Reflections, Challenges and Limitations Book
Wiley-ISTE, 2021, ISBN: 978-1-786-30567-1.
@book{ach_1348,
title = {Financial Information and Brand Value: Reflections, Challenges and Limitations},
author = {Yves-Alain Ach and Sandra Rmadi Said},
url = {https://www.wiley.com/en-fr/Financial+Information+and+Brand+Value%3A+Reflections%2C+Challenges+and+Limitations-p-9781786305671},
issn = {978-1-786-30567-1},
year = {2021},
date = {2021-01-01},
pages = {192 pages},
publisher = {Wiley-ISTE},
abstract = {The brand is the company’s most important asset. In their financial statements, companies are faced with a lack of accounting recognition for the brands they have created, and value recognition for the brands they have acquired. This book studies the nature, characteristics and determinants of brand information published in companies’ annual and financial reports. It presents case studies on the methods of evaluating and developing brands, and analyzes annual reports published by listed companies, whose brands appear in international rankings. It reflects on the inadequacy of information and disclosed data to demonstrate the value of brands and the need to ensure that more reliable and relevant financial information is available to investors. Financial Information and Brand Value goes beyond the simple application of conceptual frameworks in order for the reader to master the practices related to brand valuation.},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
Anagnostidis, Panagiotis; Fontaine, Patrice; Varsakelis, Christos
Are high-frequency traders' informed? Journal Article
In: Economic Modelling, vol. 93, pp. 365-383, 2020.
@article{anagnostidis_1263,
title = {Are high-frequency traders' informed?},
author = {Panagiotis Anagnostidis and Patrice Fontaine and Christos Varsakelis},
url = {https://www.sciencedirect.com/science/article/pii/S0264999320311688#!},
year = {2020},
date = {2020-12-01},
journal = {Economic Modelling},
volume = {93},
pages = {365-383},
abstract = {Are high-frequency traders (HFTs) informed? To address this question, we examine HFTs' activity in the call auction environment, where speed-related trading is limited and signal processing capacity becomes more relevant. To model the call market, we consider the Kyle (1989) rational expectations framework for strategic trading. The test we propose for detecting informed HFTs in this market assesses potential deviations of the informativeness of HFTs' aggregate (net) demand, from the informativeness of the aggregate demand submitted by the rest of the traders. Data from the Euronext Paris preopening phase indicate that informed HFTs are present in the market just before the opening. Our results provide useful guidance for the assessment of the influence of HFTs' quotes on price quality, an important issue for market regulators and policy makers.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Ayed, Sabrine
Corporate Social Responsibility and Market efficiency PhD Thesis
Université Côte d'Azur, 2020.
@phdthesis{ayed_1550,
title = {Corporate Social Responsibility and Market efficiency},
author = {Sabrine Ayed},
url = {https://www.theses.fr/2020COAZ0021},
year = {2020},
date = {2020-12-01},
address = {5 rue du 22e B.C.A, 06300 Nice},
school = {Université Côte d'Azur},
keywords = {},
pubstate = {published},
tppubtype = {phdthesis}
}
Pu, Jiang; Crépey, Stéphane; Chataigner, Marc
Nowcasting networks Journal Article
In: Journal Of Computational Finance, vol. 24, no. 3, pp. 1-39, 2020.
@article{pu_1620,
title = {Nowcasting networks},
author = {Jiang Pu and Stéphane Crépey and Marc Chataigner},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3800945},
year = {2020},
date = {2020-12-01},
journal = {Journal Of Computational Finance},
volume = {24},
number = {3},
pages = {1-39},
abstract = {We devise a neural network-based compression/completion methodology for financial nowcasting. The latter is meant in a broad sense, encompassing completion of gridded values, interpolation and outlier detection, in the context of financial time series of curves or surfaces. (It is also applicable in higher dimensions, at least in theory.) In particular, we introduce an original architecture amenable to the treatment of data defined at variable grid nodes (by far the most common situation in financial nowcasting applications, where principal component analysis (PCA) and classical autoencoder methods are not applicable). This is illustrated by three case studies on real data sets. First, we introduce our approach on repurchase agreement curves data (with a moving time-to maturity as calendar time passes). Second, we show that our approach outperforms elementary interpolation benchmarks on an equity derivative surfaces data set (again, with a moving time-to-maturity). We also obtain a satisfying performance for outlier detection and surface completion. Third, we benchmark our approach against PCA on at-the-money swaption surfaces redefined at constant expiry/tenor grid nodes. Our approach is then shown to perform as well as (even if not obviously better than) the PCA (which, however, is not applicable to the native, raw data defined on a moving time-to-expiry grid).},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Zorgati, Imen; Lakhal, Faten
Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches Journal Article
In: Economic Modelling, vol. 92, pp. 162-169, 2020.
@article{zorgati_1089,
title = {Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches},
author = {Imen Zorgati and Faten Lakhal},
url = {https://www.sciencedirect.com/science/article/abs/pii/S026499931930286X},
year = {2020},
date = {2020-11-01},
journal = {Economic Modelling},
volume = {92},
pages = {162-169},
abstract = {This paper investigates the financial contagion phenomenon and its intensity in the context of the subprime crisis by adopting the copulas approach. The wavelet technique is used to predict the accurate occurrence of the subprime crisis. To estimate the parameters of the different copulas, we use the canonical maximum likelihood method (CML). Based on the daily returns of stock market indices of five American countries (Brazil, Argentina, Mexico, Canada and the USA) and nine Asian countries (Japan, Hong Kong, India, Australia, Indonesia, Malaysia, Korea, China and Singapore) from 01/01/2003 to 30/12/2011, our results show that the contagion effect exists for all American markets as well as the Indian, Australian, Indonesian, Malaysian, Chinese and Singaporean ones. The findings also show that American markets record high levels of contagion intensity in comparison to their Asian counterparts. This study also confirms the contagious nature of the subprime crisis between USA and both American and Asian countries.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Blanchard, Romain; Carassus, Laurence
No-arbitrage with multiple-priors in discrete time Journal Article
In: Stochastic Processes And Their Applications, vol. 130, no. 11, pp. 6657-6688, 2020.
@article{blanchard_1245,
title = {No-arbitrage with multiple-priors in discrete time},
author = {Romain Blanchard and Laurence Carassus},
url = {https://www.sciencedirect.com/science/article/abs/pii/S0304414920303069?via%3Dihub},
year = {2020},
date = {2020-11-01},
journal = {Stochastic Processes And Their Applications},
volume = {130},
number = {11},
pages = {6657-6688},
abstract = {x},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Lakhal, Faten; Boubaker, Sabri; Guizani, Assil
Does corporate innovation strategy influence stock price crash risk? French market evidence Journal Article
In: Bankers, Markets and Investors, vol. 162, pp. 35-52, 2020.
@article{lakhal_1309,
title = {Does corporate innovation strategy influence stock price crash risk? French market evidence},
author = {Faten Lakhal and Sabri Boubaker and Assil Guizani},
url = {https://journaleska.com/index.php/bmi/article/view/4639},
year = {2020},
date = {2020-11-01},
journal = {Bankers, Markets and Investors},
volume = {162},
pages = {35-52},
abstract = {The purpose of this paper is to examine the effect of corporate innovation strategy on firm-level stock price crash risk. Using a sample of French listed firms covering 2007-2016, we show that innovative firms are more prone to future stock price crash risk. Managers of these firms have optimistic expectations about growth prospects that encourage them to hide bad news, leading to higher stock price crash risk. This positive relationship is only prevalent in competitive product markets and with low analyst coverage suggesting that innovative firms are likely to experience stock price crashes when information asymmetry is exacerbated. Our results stand up to several robustness tests and remain unchanged after addressing endogeneity concerns.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Ouadghiri, Imane El; Gomes, Mathieu; Jaballah, Jamil; Peillex, Jonathan
Les marchés financiers souffrent-ils aussi du réchauffement climatique ? Miscellaneous
Harvard Business Review France, 2020.
@misc{el_ouadghiri_1339,
title = {Les marchés financiers souffrent-ils aussi du réchauffement climatique ?},
author = {Imane El Ouadghiri and Mathieu Gomes and Jamil Jaballah and Jonathan Peillex},
url = {https://www.hbrfrance.fr/chroniques-experts/2020/11/32031-les-marches-financiers-souffrent-ils-aussi-du-rechauffement-climatique/},
year = {2020},
date = {2020-11-01},
howpublished = {Harvard Business Review France},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Grasselli, Martino
Smile modelling for exchange-traded products on Futures strategies Conference
Research in Options, Rio de Janeiro, Brazil, 2020.
@conference{grasselli_1376,
title = {Smile modelling for exchange-traded products on Futures strategies},
author = {Martino Grasselli},
url = {https://www.youtube.com/watch?v=waq2Dv7O5uQ},
year = {2020},
date = {2020-11-01},
booktitle = {Research in Options},
address = {Rio de Janeiro, Brazil},
abstract = {x},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
Peillex, Jonathan; Yoon, Hyungseok; Rouine, I.
Affinité politique et choix du mode de propriété lors d'acquisitions transfrontalières Journal Article
In: Management International, vol. 24, no. 4, pp. 99-112, 2020.
@article{peillex_914,
title = {Affinité politique et choix du mode de propriété lors d'acquisitions transfrontalières},
author = {Jonathan Peillex and Hyungseok Yoon and I. Rouine},
url = {https://www.erudit.org/en/journals/mi/1900-v1-n1-mi05759/1074363ar/},
year = {2020},
date = {2020-11-01},
journal = {Management International},
volume = {24},
number = {4},
pages = {99-112},
abstract = {tba},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Lakhal, Faten; Guizani, Assil; Depoers, Florence
Contrôle familial, conseil d'administration et risque de chute du cours d'actions : Le cas des entreprises françaises Journal Article
In: Management & Avenir, vol. 119, pp. 109-129, 2020.
@article{lakhal_1243,
title = {Contrôle familial, conseil d'administration et risque de chute du cours d'actions : Le cas des entreprises françaises},
author = {Faten Lakhal and Assil Guizani and Florence Depoers},
url = {https://www.cairn.info/revue-management-et-avenir-2020-5-page-109.htm},
year = {2020},
date = {2020-10-01},
journal = {Management & Avenir},
volume = {119},
pages = {109-129},
abstract = {Cet article analyse l'impact du contrôle familial sur le risque spécifique de chute du cours d'action. Sur un échantillon de sociétés françaises cotées, nos résultats montrent que l'excès du contrôle familial (lorsque les droits de contrôle sont supérieurs aux droits aux flux financiers) et la présence d'un dirigeant membre de la famille augmentent le risque d'une baisse brutale et significative du cours de l'action d'une société. Nous montrons également que l'indépendance du conseil réduit ce risque en cas d'excès de contrôle mais pas lorsque le dirigeant est un membre de la famille.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Focardi, Sergio; Fabozzi, Franck; Mazza, Davide
Quantum Option Pricing and Quantum Finance Journal Article
In: Journal Of Derivatives, vol. 28, no. 1, pp. 79-98, 2020.
@article{focardi_1198,
title = {Quantum Option Pricing and Quantum Finance},
author = {Sergio Focardi and Franck Fabozzi and Davide Mazza},
url = {https://jod.pm-research.com/content/early/2020/05/28/jod.2020.1.111.1},
year = {2020},
date = {2020-09-01},
journal = {Journal Of Derivatives},
volume = {28},
number = {1},
pages = {79-98},
abstract = {In this article, the authors discuss the use of quantum probability, that is, the probability theory of quantum mechanics, for option pricing and for finance in general. The authors discuss the motivations for applying quantum probability to finance. The critical issues are replacing random variables with operators, self-reflexivity of markets, and the existence of incompatible observations. The authors outline quantum probability theory, quantum stochastic processes, and the pricing of options in a quantum context.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Garcin, Matthieu; Goulet, Clément
Non-parametric new impact curve: a variational approach Journal Article
In: Soft Computing, vol. 24, no. 18, pp. 13797-13812, 2020.
@article{garcin_1204,
title = {Non-parametric new impact curve: a variational approach},
author = {Matthieu Garcin and Clément Goulet},
url = {https://link.springer.com/article/10.1007/s00500-019-04607-x},
year = {2020},
date = {2020-09-01},
journal = {Soft Computing},
volume = {24},
number = {18},
pages = {13797-13812},
abstract = {In this paper, we propose an innovative algorithm for modelling the news impact curve. The news impact curve provides a nonlinear relation between past returns and current volatility and thus enables to forecast volatility. Our news impact curve is the solution of a dynamic optimization problem based on variational calculus. Consequently, it is a non-parametric and smooth curve. The technique we propose is directly inspired from noise removal techniques in signal theory. To our knowledge, this is the first time that such a method is used for volatility modelling. Applications on simulated heteroskedastic processes as well as on financial data show a better accuracy in estimation and forecast for this approach than for standard parametric (symmetric or asymmetric ARCH) or non-parametric (Kernel-ARCH) econometric techniques.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Grasselli, Martino; Wagalath, Lakshithe
VIX vs VXX: A Joint Analytical Framework Journal Article
In: International Journal of Theoretical and Applied Finance, vol. 23, no. 5, pp. 2050033, 2020.
@article{grasselli_1264,
title = {VIX vs VXX: A Joint Analytical Framework},
author = {Martino Grasselli and Lakshithe Wagalath},
url = {https://www.worldscientific.com/doi/abs/10.1142/S0219024920500338},
year = {2020},
date = {2020-09-01},
journal = {International Journal of Theoretical and Applied Finance},
volume = {23},
number = {5},
pages = {2050033},
abstract = {x},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Ouadghiri, Imane El; Peillex, Jonathan
Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français Journal Article
In: Revue Économique, vol. 71, no. 5, pp. 841-863, 2020.
@article{el_ouadghiri_1063,
title = {Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français},
author = {Imane El Ouadghiri and Jonathan Peillex},
url = {https://www.cairn.info/revue-economique-2020-5-page-841.htm?ref=doi},
year = {2020},
date = {2020-09-01},
journal = {Revue Économique},
volume = {71},
number = {5},
pages = {841-863},
abstract = {Cet article est le premier qui propose d'examiner l'influence journalière de l'Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l'AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l'AII exerce un effet fortement positif sur le degré de liquidité des actions françaises.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
?apina, Matej; Garcin, Matthieu; Kramari?, Karolina; Milas, Kre?imir; Brdari?, Dario; Piri?, Marko
The Hurst Exponent of Heart Rate Variability in Neonatal Stress, Based on a Mean-Reverting Fractional Lévy Stable Motion Journal Article
In: Fluctuation And Noise Letters, vol. 19, no. 3, pp. 2050026, 2020.
@article{sapina_1197,
title = {The Hurst Exponent of Heart Rate Variability in Neonatal Stress, Based on a Mean-Reverting Fractional Lévy Stable Motion},
author = {Matej ?apina and Matthieu Garcin and Karolina Kramari? and Kre?imir Milas and Dario Brdari? and Marko Piri?},
url = {https://www.worldscientific.com/doi/abs/10.1142/S0219477520500261},
year = {2020},
date = {2020-08-17},
journal = {Fluctuation And Noise Letters},
volume = {19},
number = {3},
pages = {2050026},
abstract = {We aim at detecting stress in newborns by observing heart rate variability (HRV). The HRV features nonlinearities. Fractal dynamics is a usual way to model them and the Hurst exponent summarizes the fractal information. In our framework, we have observations of short duration, for which usual estimators of the Hurst exponent, like detrended °uctuation analysis (DFA), are not adapted. Moreover, we observe that the Hurst exponent does not vary much between stress and rest phases, but its decomposition in memory and underlying properties of the probability distribution leads to satisfactory diagnostic tools. This decomposition of the Hurst exponent is in addition embedded in a mean-reverting model. The resulting model is a mean-reverting fractional Levy stable motion (FLSM). We estimate it and use its parameters as diagnostic tools of neonatal stress. Indeed, the value of the speed of reversion parameter is a signi¯cant indicator of stress. The evolution of both parameters in which the Hurst exponent is decomposed provides us with signi¯cant indicators as well. On the contrary, the Hurst exponent itself does not bear useful information.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Appio, Francesco; Leone, Daniele; Platania, Federico; Schiavone, Francesco
Why are rewards not delivered on time in rewards-based crowdfunding campaigns? An empirical exploration Journal Article
In: Technological Forecasting And Social Change, vol. 157, pp. 120069, 2020.
@article{appio_1195,
title = {Why are rewards not delivered on time in rewards-based crowdfunding campaigns? An empirical exploration},
author = {Francesco Appio and Daniele Leone and Federico Platania and Francesco Schiavone},
url = {https://www.sciencedirect.com/science/article/pii/S0040162519309187},
year = {2020},
date = {2020-08-01},
journal = {Technological Forecasting And Social Change},
volume = {157},
pages = {120069},
abstract = {Crowdfunding is an alternative way to seek capital for new projects. However, it can also be a danger for entrepreneurs facing the post-campaign phase delays in the delivery of the promised rewards. Crowdfunding campaigns require months of preparation and meeting delivery deadlines seems to be a real problem. With this study, we try to explain why this is the case. By drawing on a dataset of 1,567 successfully funded new technological projects in the period 2009-2017, and by means of a text mining routine, this study presents a comprehensive description of the causes of delay in rewards delivery in crowdfunding campaigns. Our findings reveal that perceived incompetence, fraud, and funding cancellation, are the main causes of delay in rewards delivery. Furthermore, controlling for the presence of serial project creators, project appeal (% of new backers), project complexity (number of FAQs, days of funding, number of updates, number of comments), project financial size (% funded, amount raised, financial goal, average pledge per backer), as well as time, mitigate but does not eliminate the problem. Results provide a thorough contribution and implications for both the agents of the crowdfunding industry (e.g., creators, backers), platform managers, and the academic community.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Boubaker, Sabri; Brahem, Emna; Lakhal, Faten
La diversité du genre influence-t-elle la performance RSE des entreprises familiales ? Journal Article
In: La Revue des Sciences de Gestion, vol. 303-304, pp. 71-80, 2020.
@article{boubaker_1244,
title = {La diversité du genre influence-t-elle la performance RSE des entreprises familiales ?},
author = {Sabri Boubaker and Emna Brahem and Faten Lakhal},
url = {https://www.cairn.info/revue-des-sciences-de-gestion-2020-3-page-71.html},
year = {2020},
date = {2020-08-01},
journal = {La Revue des Sciences de Gestion},
volume = {303-304},
pages = {71-80},
abstract = {x},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Grasselli, Martino
CyberWolf: Assessing vulnerabilities of ICT-intensive financial markets Inproceedings
In: proceedings of the 3rd International Workshop on Cyber Threat Intelligence Management (CyberTIM 2020), Dublin, Ireland, 2020.
@inproceedings{grasselli_1265,
title = {CyberWolf: Assessing vulnerabilities of ICT-intensive financial markets},
author = {Martino Grasselli},
url = {https://www.ares-conference.eu/workshops/cybertim-2020/},
year = {2020},
date = {2020-08-01},
booktitle = {proceedings of the 3rd International Workshop on Cyber Threat Intelligence Management (CyberTIM 2020)},
address = {Dublin, Ireland},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}