Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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15-23: High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation

Jakub Rojcek and Alexandre Ziegler

15-22: Nonparametric Empirical Evidence for Krugman's Target Zone Model

Sandro Claudio Lera and Didier Sornette

15-21: Agency Conflicts Around the World

Erwan Morellec, Boris Nikolov and Norman Schürhoff

15-20: Uniqueness of Equilibrium in a Payment System with Liquidation Costs

Hamed Amini, Damir Filipovic and Andreea Minca

15-19: Hedging with Small Uncertainty Aversion

Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried

15-18: Human Capital and Employment Risks Diversification

Pascal St-Amour

15-17: Portfolio Selection with Active Risk Monitoring

Marc S. Paolella and Pawel Polak

15-16: Evolutionary Behavioural Finance

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé

15-15: Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales

Tahir Choulli and Martin Schweizer

15-14: A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World

Didier Sornette

15-12: Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund

Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper

15-11: History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect

Angie Andrikogiannopoulou and Filippos Papakonstantinou

15-10: Central Bank Collateral Frameworks

Kjell Nyborg

15-09: Noisy Arrow-Debreu Equilibria

Semyon Malamud

15-08: Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model

Markus Leippold and Nikola Vasiljevic

15-07: Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders

Taisei Kaizoji, Matthias Leiss, Alexander I. Saichev and Didier Sornette

15-06: Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices

Yuki Sato

15-05: Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)

Martin Herdegen and Martin Schweizer

15-04: The Shadow Cost of Repos and Bank Liability Structure

Nataliya Klimenko and Santiago Moreno-Bromberg

15-03: Innovation, Delegation, and Asset Price Swings

Yuki Sato

15-02: Tips and Tells from Managers: How Analysts and the Market Read Between the Lines of Conference Calls

Marina Druz, Alexander Wagner and Richard Zeckhauser

15-01: The Choice of Honesty: An Experiment Regarding Heterogeneous Responses to Situational Social Norms

Rajna GIBSON Brandon, Carmen Tanner and Alexander Wagner

14-74: Liquidation with Self-Exciting Price Impact

Thomas Cayé and Johannes Muhle-Karbe

14-73: Strategic Technology Adoption and Hedging under Incomplete Markets

Markus Leippold and Jacob Stromberg

14-72: High-Resilience Limits of Block-Shaped Order Books

Jan Kallsen and Johannes Muhle-Karbe

14-71: Risk-Adjusted Time Series Momentum

Martin Dudler, Bruno Gmuer and Semyon Malamud

14-70: Bank Capital, Liquid Reserves, and Insolvency Risk

Julien Hugonnier and Erwan Morellec

14-69: Claims Run-Off Uncertainty: The Full Picture

Michael Merz and Mario V. Wuthrich

14-68: Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences

Walt Pohl, Karl Schmedders and Ole Wilms

14-67: Heterogeneity in Decentralized Asset Markets

Julien Hugonnier, Benjamin Lester and Pierre-Olivier Weill

14-66: Fed Funds Futures Variance Futures

Damir Filipovic and Anders B. Trolle

14-65: Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment

Matthias Effing

14-64: Shadow Insurance

Ralph S. J. Koijen and Motohiro Yogo

14-63: To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Hamed Amini, Damir Filipovic and Andreea Minca

14-62: Martingale Optimal Transport in the Skorokhod Space

Yan Dolinsky and Mete Soner

14-61: Facelifting in Utility Maximization

Kasper Larsen, Mete Soner and Gordan Zitkovic

14-60: Hedging Under an Expected Loss Constraint with Small Transaction Costs

Bruno Bouchard, Ludovic Moreau and Mete Soner

14-59: Asymmetric Beta Comovement and Systematic Downside Risk

Eric Jondeau and Qunzi Zhang

14-58: Optimal Long-Term Allocation with Pension Fund Liabilities

Eric Jondeau and Michael Rockinger

14-57: Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies

Hao Meng, Wei-Xing Zhou and Didier Sornette

14-56: Merger Activity in Industry Equilibrium

Theodosios Dimopoulos and Stefano Sacchetto

14-55: Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks

Matthias Efing, Harald Hau, Patrick Kampkötter and Johannes Steinbrecher

14-54: Polynomial Preserving Diffusions and Applications in Finance

Damir Filipovic and Martin Larsson

14-53: Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm

Spencer Wheatley, Vladimir Filimonov and Didier Sornette

14-52: Super-Exponential Growth Expectations and the Global Financial Crisis

Matthias Leiss, Heinrich H. Nax and Didier Sornette

14-51: Luck and Entrepreneurial Success

Diego Liechti, Claudio Loderer and Urs Peyer

14-50: Dealer Networks

Dan Li and Norman Schuerhoff

14-49: Are Institutions Informed About News?

Terrence Hendershott, Dmitry Livdan and Norman Schuerhoff

14-48: Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdowns

Vladimir Filimonov and Didier Sornette

14-47: Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Ines Chaieb, Vihang Errunza and Rajna GIBSON Brandon