Finance Group

@article{altman_1123,

title = {The Anatomy of Distressed Debt Markets},

author = {Edward I. Altman and Robert Benhenni},

url = {https://www.annualreviews.org/doi/10.1146/annurev-financial-110118-123019},

year  = {2019},

date = {2019-12-01},

journal = {Annual Review Of Financial Economics},

volume = {11},

pages = {21-37},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{callegaro_550,

title = {Quantization Meets Fourier: a New Technology for Pricing Options},

author = {Gorgia Callegaro and Lucio Fiorin and Martino Grasselli},

url = {https://link.springer.com/article/10.1007%2Fs10479-018-3048-z},

year  = {2019},

date = {2019-11-01},

journal = {Annals Of Operations Research},

volume = {282},

pages = {59-86},

abstract = {In this paper we introduce a novel pricing methodology for a broad class of models for which the characteristic function of the log-asset price can be efficiently computed. The method is based on a new quantization procedure, crucially exploiting for the first time the Fourier transform of the asset process, which fully characterizes the distribution of the log-asset. As opposed to previous quantizations based on Euler (or more sophisticated) discretization schemes, our method reveals to be fast and accurate, to the point that it is possible to calibrate the models on real data. Moreover, our approach allows to price options in multi factor stochastic volatility models including jumps. As a motivating example, we calibrate a Tempered Stable model on market data. This represents the first application of quantization to a pure jump process.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{fabozzi_917,

title = {Modeling Local Trends with Regime Shifting Models with Time-Varying Probabilities},

author = {Franck Fabozzi and Sergio Focardi and Davide Mazza},

url = {https://www.sciencedirect.com/science/article/pii/S105752191830752X},

year  = {2019},

date = {2019-11-01},

journal = {International Review Of Financial Analysis},

volume = {66},

pages = {101368},

abstract = {In this paper we show that persistence and switching of trends are phenomena that appear in most long-lived stock return series. We model stock returns using a family of models based on hidden Markov models with duration-dependent transition probabilities. Trends are correlated so that aggregates such as indexes exhibit the same persistence and switching behavior as single stocks themselves. Hidden Markov models can thus explain medium-term momentum.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{carassus_1145,

title = {The robust superreplication problem: a dynamic approach},

author = {Laurence Carassus and Jan Obloj and Johannes Wiesel},

url = {https://epubs.siam.org/doi/10.1137/18M1235934},

year  = {2019},

date = {2019-11-01},

journal = {Siam Journal On Financial Mathematics},

volume = {10},

number = {4},

pages = {907-941},

abstract = {In the frictionless discrete time financial market of Bouchard and Nutz [Ann. Appl. Probab., 25 (2015), pp. 823--859] we consider a trader who is required to hedge $xi$ in a risk-conservative way relative to a family of probability measures ${cal P}$. We first describe the evolution of $pi_t(xi)$---the superhedging price at time $t$ of the liability $xi$ at maturity $T$---via a dynamic programming principle, show that $pi_t(xi)$ can be seen as a concave envelope of $pi_{t+1}(xi)$ evaluated at today's prices, and prove its dual characterization. Under suitable assumptions, we show that the robust superreplication price is equal to the classical $P$-superhedging price for an extreme prior $Pin {cal P}$. Then we consider an optimal investment problem for the trader who is rolling over her robust superhedge and phrase this as a robust maximization problem, where the expected utility of intertemporal consumption is optimized subject to a robust superhedging constraint. This utility maximization is carried out under a subset ${cal P}^u$ of ${cal P}$ representing the trader's subjective views on market dynamics. Under suitable assumptions on the trader's utility functions, we show that optimal investment and consumption strategies exist and further specify when, and in what sense, these may be unique.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{ajina_1035,

title = {Does Corporate Social Responsibility Reduce Earnings Management? The Moderating Role of Corporate Governance and Ownership},

author = {Aymen Ajina and Faten Lakhal and Sabrine Ayed},

url = {https://id.erudit.org/iderudit/1060030ar CopiedAn error has oc},

year  = {2019},

date = {2019-09-01},

journal = {Management International},

volume = {23},

number = {2},

pages = {45-55},

abstract = {The purpose of this paper is to investigate the relationship between corporate social responsibility and earnings management and the moderating effect of corporate governance and ownership structure on this relationship. Using panel data for a sample of French listed companies between 2010 and 2013, we find that CSR engagementconstrain earnings management practices suggesting that managers would comply with the ethical requirements and satisfy stakeholders' interests. The results also show that the effect of CSR on earnings management is particularly stronger in more independent boards and with high institutional ownership structure. These corporate governance devices help mitigating managerial opportunistic behavior.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{gueant_1617,

title = {Mid-price estimation for European corporate bonds: a particle filtering approach},

author = {Olivier Guéant and Jiang Pu},

url = {https://www.worldscientific.com/doi/abs/10.1142/S2382626619500059},

year  = {2019},

date = {2019-08-01},

journal = {Market Microstructure and Liquidity},

volume = {4},

number = {no 01n02},

pages = {1950005},

abstract = {In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where mid-prices can only be estimated with a statistical model. In this OTC market, dealers/market makers only have access, indeed, to partial information about the market. In real time, they know the price associated with their trades on the dealer-to-dealer (D2D) and dealer-to-client (D2C) markets, they know the result of the requests for quotes (RFQ) they answered, and they have access to composite prices (e.g., Bloomberg CBBT). This paper presents a Bayesian method for estimating the mid-price of corporate bonds by using the real-time information available to a dealer. This method relies on recent ideas coming from the particle filtering/sequential Monte Carlo literature.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{garcin_945,

title = {Hurst Exponents and Delampertized Fractional Brownian Motions},

author = {Matthieu Garcin},

url = {https://www.worldscientific.com/doi/abs/10.1142/S0219024919500249},

year  = {2019},

date = {2019-07-31},

journal = {International Journal of Theoretical and Applied Finance},

volume = {22},

number = {5},

pages = {1950024},

abstract = {The inverse Lamperti transform of a fractional Brownian motion (fBm) is a stationary process. We determine the empirical Hurst exponent of such a composite process with the help of a regression of the log absolute moments of its increments, at various scales, on the corresponding log scales. This perceived Hurst exponent underestimates the Hurst exponent of the underlying fBm. We thus encounter some time series having a perceived Hurst exponent lower than 1/2, but an underlying Hurst exponent higher than 1/2. This paves the way for short- and medium-term forecasting. Indeed, in such series, mean reversion predominates at high scales, whereas persistence is overriding at lower scales. We propose a way to characterize the Hurst horizon, namely a limit scale between these opposite behaviors. We show that the delampertized fBm, which mixes persistence and mean reversion, is relevant for financial time series, in particular for high-frequency foreign exchange rates. In our sample, the empirical Hurst horizon is always above 1h and 23min.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{bismuth_1618,

title = {Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty},

author = {Alexis Bismuth and Olivier Guéant and Jiang Pu},

url = {https://link.springer.com/article/10.1007/s11579-019-00241-1},

year  = {2019},

date = {2019-04-01},

journal = {Mathematics And Financial Economics},

volume = {13},

number = {4},

pages = {661-719},

abstract = {This paper presents several models addressing optimal portfolio choice, optimal portfolio liquidation, and optimal portfolio transition issues, in which the expected returns of risky assets are unknown. Our approach is based on a coupling between Bayesian learning and dynamic programming techniques that leads to partial differential equations. It enables to recover the well-known results of Karatzas and Zhao in a framework à la Merton, but also to deal with cases where martingale methods are no longer available. In particular, we address optimal portfolio choice, portfolio liquidation, and portfolio transition problems in a framework à la Almgren-Chriss, and we build therefore a model in which the agent takes into account in his decision process both the liquidity of assets and the uncertainty with respect to their expected return.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{brunel_1136,

title = {From the Fermi-Dirac distribution to PD curves},

author = {Vivien Brunel},

url = {https://www.emerald.com/insight/content/doi/10.1108/JRF-01-2018-0009/full/html},

year  = {2019},

date = {2019-03-18},

journal = {Journal of Risk Finance},

volume = {20},

number = {2},

pages = {138-154},

abstract = {In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using cumulative accuracy profile (CAP) and receiving operating characteristic curves. The purpose of this paper is to use the statistics of the CAP curve to provide a new method for credit PD curves calibration that are not based on arbitrary choices as the ones that are used in the industry.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{deelstra_918,

title = {Explosion time for some Laplace transforms of the Wishart process},

author = {Griselda Deelstra and Martino Grasselli and Christopher Van Weverberg},

url = {https://www.tandfonline.com/doi/full/10.1080/15326349.2019.1578237},

year  = {2019},

date = {2019-03-01},

journal = {Stochastic Models},

volume = {35},

number = {1},

pages = {89-104},

abstract = {In this article, we focus upon a family of matrix valued stochastic processes and study the problem of determining the smallest time such that their Laplace transforms become infinite. In particular, we concentrate upon the class of Wishart processes, which have proved to be very useful in different applications by their ability in describing non-trivial dependence. Thanks to this remarkable property we are able to explain the behavior of the explosion times for the Laplace transforms of the Wishart process and its time integral in terms of the relative importance of the involved factors and their correlations.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{kramaric_1071,

title = {Heart rate asymmetry as a new marker for neonatal stress},

author = {Karolina Kramari? and Matej ?apina and Matthieu Garcin and Kre?imir Milas and Marko Piri? and Dario Brdari? and Gordana Luki? and Vesna Milas and Silvija Pu?elji?},

url = {https://www.sciencedirect.com/science/article/pii/S1746809418302258},

year  = {2019},

date = {2019-01-01},

journal = {Biomedical Signal Processing And Control},

volume = {47},

pages = {219-223},

abstract = {The autocorrelation of the heart rate variability is presented by various methods and models, but Poincaré plots remain valuable analytic tools. Heart rate asymmetry analysis (HRA) is used for the quantification of unevenly distributed points above and below the line of identity. The aim of this work is to implement HRA analysis in newborns, to use it as a marker for acute stress. Forty healthy term newborn infants were included in the study. The protocol included two baseline phases, and two stress phases (heel stimulation and heel stick blood sampling), during which the heart rate was measured. Additionally, to the standard HRA indices, a new index (SKG) related to the first differences of the RR interval time series is introduced. A ROC curve analysis was applied to test the diagnostic properties of the asymmetry indices. With AUC significantly different from 0.5, the results show that HRA indices may be used as clinical markers. With higher AUC values (0.906 and 0.785), accuracy (87.5% and 81.3%) and sensitivity (87.5% and 81.3%), the SKG index outperformed the traditional indices. This novel application of HRA shows potential benefit in stress assessment of newborns, and in nonverbal patients in general.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{zorgati_1090,

title = {Financial contagion in the subprime crisis context: A copula approach},

author = {Imen Zorgati and M. Zaabi and Faten Lakhal},

url = {https://www.sciencedirect.com/science/article/pii/S1062940818302389},

year  = {2019},

date = {2019-01-01},

journal = {North American Journal Of Economics And Finance},

volume = {47},

pages = {269-282},

abstract = {The purpose of this paper is to shed light on the effect of family ownership on corporate tax avoidance. It also investigates whether audit quality affects tax avoidance practices by family firms},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{el_ouadghiri_533,

title = {Public attention to "Islamic terrorism" and stock market returns},

author = {Imane El Ouadghiri and Jonathan Peillex},

url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506?via%3Dihub},

year  = {2018},

date = {2018-12-01},

journal = {Journal Of Comparative Economics},

volume = {46},

number = {4},

pages = {936-946},

abstract = {Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_560,

title = {Double Spend Races},

author = {Cyril Grunspan and Ricardo Pérez-Marco},

url = {https://www.worldscientific.com/doi/abs/10.1142/S021902491850053X},

year  = {2018},

date = {2018-11-21},

journal = {International Journal of Theoretical and Applied Finance},

volume = {21},

number = {8},

pages = {1850053},

abstract = {We correct the double spend race analysis given in Nakamoto's foundational Bitcoin article and find the exact closed-form formula for the probability of success of a double spend attack using the regularized incomplete beta function. We give the first proof of its exponential decay on the number of confirmations, often cited in the literature, and find an asymptotic formula. Larger number of confirmations are required compared to those given by Nakamoto. We also compute this probability conditional to the knowledge of the time of the confirmations. This provides a finer risk analysis than the classical one.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1036,

title = {The cash flow sensitivity of cash in family firms: does the board of directors matter?},

author = {Faten Lakhal and Assil Guizani and Nadia Lakhal},

url = {https://www.emerald.com/insight/content/doi/10.1108/MF-10-2017-0440/full/html},

year  = {2018},

date = {2018-11-12},

journal = {Managerial Finance},

volume = {44},

number = {11},

pages = {1364-1380},

abstract = {The purpose of this paper is to shed light on the effect of French family control on the cash flow sensitivity of cash (CFSC). It also investigates the moderating effect of board of directors' features on this relation.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{essid_603,

title = {Adoption of environmental management tools: the dynamic capabilities contributions},

author = {Moez Essid and Nicolas Berland},

url = {https://www.emerald.com/insight/content/doi/10.1108/SAMPJ-09-2017-0099/full/html},

year  = {2018},

date = {2018-11-01},

journal = {Sustainability Accounting Management And Policy Journal},

volume = {9},

number = {3},

pages = {229-252},

abstract = {Adoption of environmental management tools: the dynamic capabilities contributions",},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{blanchard_479,

title = {No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach},

author = {Romain Blanchard and Laurence Carassus and Miklos Rásonyi},

url = {https://link.springer.com/article/10.1007%2Fs00186-018-0635-3},

year  = {2018},

date = {2018-10-01},

journal = {Mathematical Methods Of Operations Research},

volume = {88},

number = {2},

pages = {241-281},

abstract = {We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{carassus_552,

title = {Super-replication price : it can be ok},

author = {Laurence Carassus and Tiziano Vargiolu},

url = {https://www.esaim-proc.org/articles/proc/abs/2018/04/proc186404/proc186404.html},

year  = {2018},

date = {2018-10-01},

journal = {Esaim: proceedings and surveys},

volume = {64},

pages = {54 - 64},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{fontaine_39,

title = {Common Factors, Information, and Holdings Dispersion},

author = {Patrice Fontaine and Sonia Jimenez-Garcès and Mark Seasholes},

url = {https://academic.oup.com/rof/article-abstract/22/4/1441/3904507},

year  = {2018},

date = {2018-07-01},

journal = {Review Of Finance},

volume = {22},

number = {4},

pages = {1441-1467},

abstract = {We derive closed-form solutions for asset prices and portfolio holdings when agents have asset-specific information and/or information about common components that affect many assets. Our solutions are general, encompass existing information structures, and are used to analyze new structures. A given investor's portfolio can exhibit highly disperse holdings?e.g., portfolio weights may vary significantly from market capitalization weights. Our model also generates large ranges of asset prices due to information asymmetries. We help explain why US investors (e.g.) may underweight German stocks (e.g.) on average, but overweight a particular German stock relative to its market capitalization weight.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{brunel_523,

title = {A general asymptotic formula for distinct partitions},

author = {Vivien Brunel},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0003491618300861?via%3Dihub},

year  = {2018},

date = {2018-06-01},

journal = {Annals Of Physics},

volume = {394},

pages = {73-83},

abstract = {Many asymptotic formulas exist for unrestricted integer partitions as well as for equal partitions of integers into a finite number of parts. We use an analogy with fermion gases and the tools of statistical physics to derive asymptotic formulas for distinct partitions with a large but finite number of parts. These results are supported by the fact that we recover some other existing asymptotic results and by numerical comparisons with exact results.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{blanchard_163,

title = {Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function},

author = {Romain Blanchard and Laurence Carassus},

url = {https://projecteuclid.org/euclid.aoap/1527840034},

year  = {2018},

date = {2018-05-01},

journal = {Annals Of Applied Probability},

volume = {28},

number = {3},

pages = {1856-1892},

abstract = {This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}