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Philippe St-Aubin and Bruno Agard
The selection of an accurate performance metric is highly important to evaluate the quality of a forecasting method. This evaluation may help to select between different forecasting tools of forecasting outputs, and then support many decisions within a c...
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Ivan Cherednik
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper. It ...
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Marek Kwas and Michal Rubaszek
The random walk, no-change forecast is a customary benchmark in the literature on forecasting commodity prices. We challenge this custom by examining whether alternative models are more suited for this purpose. Based on a literature review and the result...
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Yusho Kagraoka
In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite differe...
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Khayen Prentice,László Kónya,David Prentice
The question of why the Great Migration from the South did not begin before the 1910s remains open. The empirical significance of laws outlawing emigrant agents, who could have helped African Americans migrate, has not previously been considered. We anal...
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