Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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17-25: The Sovereign Money Initiative in Switzerland: An Assessment

Philippe Bacchetta

17-24: A Sovereign Wealth Fund for Switzerland

Richard Senner and Didier Sornette

17-23: Predicting Financial Market Crashes Using Ghost Singularities

Damian Smug, Peter Ashwin and Didier Sornette

17-22: The 'New Normal' of the Swiss Balance of Payments in a Global Perspective: Central Bank Intervention, Global Imbalances and the Rise of Sovereign Wealth Funds

Richard Senner and Didier Sornette

17-21: Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics

Michael Schatz and Didier Sornette

17-20: Margin Requirements and Evolutionary Asset Pricing

Anastasiia Sokko and Klaus Schenk-Hoppé

17-19: High-Frequency Jump Analysis of the Bitcoin Market

Olivier Scaillet, Adrien Treccani and Christopher Trevisan

17-18: Anticipating Critical Transitions of Chinese Housing Markets

Zhang Qun, Didier Sornette and Hao Zhang

17-17: Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets

Sergei Belkov, Igor V. Evstigneev and Thorsten Hens

17-16: Unspanned Stochastic Volatility in the Multi-Factor CIR Model

Damir Filipović, Martin Larsson and Francesco Statti

17-15: Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns

Philippe Bacchetta and Eric van Wincoop

17-14: Democracy and Credit “Democracy Doesn`t Come Cheap” But At Least Credit to Its Corporations Will Be

Manthos Delis, Iftekhar Hasan and Steven Ongena

17-13: Straight Talkers and Vague Talkers: The Effects of Managerial Style in Earnings Conference Calls

Michał Dzieliński, Alexander Wagner and Richard Zeckhauser

17-12: The British Pound on Brexit night: a natural experiment of market efficiency and real-time predictability

Ke Wu, Spencer Wheatley and Didier Sornette

17-11: Closing Down the Shop: Optimal Health and Wealth Dynamics Near the End of Life

Julien Hugonnier, Florian Pelgrin and Pascal St-Amour

17-10: Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading

Thorsten Hens, Terje Lensberg and Klaus Schenk-Hoppé

17-09: Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?

Sascha Kolaric, Florian Kiesel and Steven Ongena

17-08: The Relevance of Broker Networks for Information Diffusion in the Stock Market

Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla

17-07: Product Market Competition and Option Prices

Erwan Morellec and Alexei Zhdanov

17-06: Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade

Alexander Wagner, Richard Zeckhauser and Alexandre Ziegler

17-05: The Sustainability Footprint of Institutional Investors

Rajna Gibson and Philipp Krueger

17-04: Re-Use of Collateral: Leverage, Volatility, and Welfare

Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders

17-03: Earnings Management and the Role of Moral Values in Investing

Rajna Gibson, Matthias Sohn, Carmen Tanner and Alexander Wagner

17-02: Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints

Ally Quan Zhang

17-01: The Consumption Response to Minimum Wages: Evidence from Chinese Households

Ernest Dautović, Harald Hau and Yi Huang

16-80: Comparing Ask and Transaction Prices in the Swiss Housing Market

Ahmed Ahmed, Diego Ardila, Dorsa Sanadgol and Didier Sornette

16-79: Markov Cubature Rules for Polynomial Processes

Damir Filipović, Martin Larsson and Sergio Pulido

16-78: News About Zero-Leverage Firms

Thomas Geelen

16-77: On the Shape of Non-Monetary Measures for Risks

Christophe Courbage, Henri Loubergé and Beatrice Rey

16-76: Statistical Approximation of High-Dimensional Climate Models

Alena Miftakhova, Kenneth Judd, Thomas S. Lontzek and Karl Schmedders

16-75: Intermediation Markups and Monetary Policy Passthrough

Semyon Malamud and Andreas Schrimpf

16-74: A Primer on Portfolio Choice with Small Transaction Costs

Johannes Muhle-Karbe, Max Reppen and Halil Mete Soner

16-73: Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Antonio Cosma, Stefano Galluccio, Paola Pederzoli and Olivier Scaillet

16-72: Hedging with Temporary Price Impact

Peter Bank, Halil Mete Soner and Moritz Voss

16-71: Convex Duality with Transaction Costs

Yan Dolinsky and Halil Mete Soner

16-70: Bank Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment

Reint Gropp, Thomas C. Mosk, Steven Ongena and Carlo Wix

16-69: Wealth and Income Inequalities ← → r > g

Yannick Malevergne and Didier Sornette

16-68: Data Analytics for Non-Life Insurance Pricing

Mario V. Wuthrich and Christoph Buser

16-67: Machine Learning in Individual Claims Reserving

Mario V. Wuthrich

16-66: Collateral, Central Bank Repos, and Systemic Arbitrage

Falko Fecht, Kjell Nyborg, Jörg Rocholl and Jiri Woschitz

16-65: Intrinsic Risk Measures

Walter Farkas and Alexander Smirnow

16-64: Exchange Traded Funds (ETFs)

Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi

16-63: The Relevance of Broker Networks for Information Diffusion in the Stock Market

Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla

16-62: S&P 500 Index, an Option Implied Risk Analysis

Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala

16-61: A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon

Li Lin and Didier Sornette

16-60: Sticky Expectations and the Profitability Anomaly

Jean-Philippe Bouchaud, Philipp Krueger, Augustin Landier and David Thesmar

16-59: Dependent Defaults and Losses with Factor Copula Models

Damien Ackerer and Thibault Vatter

16-58: A Heterogeneous-Agent Foundation of the Representative-Agent Approach

Sabine Elmiger

16-57: Joint Lifetime Financial, Work and Health Decisions: Thrifty and Healthy Enough for the Long Run?

Yannis Mesquida and Pascal St-Amour

16-56: A Model of Price Impact and Market Maker Latency

Jakub Rojcek