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This collected volume represents the final outcome of the COST Action IS1104 “The EU in the new complex geography of economic systems: models, tools and policy evaluation”.Visualizing the EU as a complex and multi-layered network, the book is organized in three parts, each of them dealing with a different level of analysis: At the macro-level, Part I considers the interactions within large economic systems (regions or countries) involving trade, workers migration, and other factor movements. At the meso-level, Part II discusses interactions within specific but wide-ranging markets, with a focus on financial markets and banking systems. Lastly, at the micro-level, Part III explores the decision-making of single firms, especially in the context of location decisions.
economic geography --- systemic risk --- heterogeneous agents --- complex networks analysis --- multinational enterprises --- spatial econometrics --- COST Action IS1104
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At present, computational methods have received considerable attention in economics and finance as an alternative to conventional analytical and numerical paradigms. This Special Issue brings together both theoretical and application-oriented contributions, with a focus on the use of computational techniques in finance and economics. Examined topics span on issues at the center of the literature debate, with an eye not only on technical and theoretical aspects but also very practical cases.
credit risk --- financial regulation --- data science --- Big Data --- deep learning --- credit risk --- financial markets --- non-stationarity --- random matrices --- structural models --- Wishart model --- ordered probit --- stock prices --- auto-regressive --- multi-step ahead forecasts --- convex programming --- financial mathematics --- risk measure --- utility functions --- efficient frontier --- Markowitz portfolio theory --- capital market pricing model --- growth optimal portfolio --- fractional Kelly allocation --- admissible convex risk measures --- current drawdown --- efficient frontier --- portfolio theory --- fractional Kelly allocation, growth optimal portfolio --- financial mathematics --- estimation error --- shrinkage --- target matrix --- risk-based portfolios --- systemic risk --- value at risk --- quantile regression --- CoVaR --- cartography --- loss given default --- weighted logistic regression --- International Financial Reporting Standard 9 --- independence assumption --- systemic risk measures --- conditional Value-at-Risk (CoVaR) --- capital allocation --- copula models --- quantitative risk management
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Alternative assets such as fine art, wine, or diamonds have become popular investment vehicles in the aftermath of the global financial crisis. Correlation with classical financial markets is typically low, such that diversification benefits arise for portfolio allocation and risk management. Cryptocurrencies share many alternative asset features, but are hampered by high volatility, sluggish commercial acceptance, and regulatory uncertainties. This collection of papers addresses alternative assets and cryptocurrencies from economic, financial, statistical, and technical points of view. It gives an overview of their current state and explores their properties and prospects using innovative approaches and methodologies.
Baltic dry index --- Bitcoin volatility --- digital currency --- GARCH-MIDAS --- pro-cyclical volatility --- volume --- Bitcoin --- gold --- GARCH --- portfolio modelling --- risk management --- Bitcoin --- cryptocurrency --- Hashrate --- initial coin offering --- blockchain --- venture capital --- crowdfunding --- geometric distribution --- collatz conjecture --- inflation propensity --- systemic risk --- cryptocurrency --- blockchain --- proof-of-work --- cryptocurrency --- metric learning --- classification framework --- time series --- trend prediction --- limit order book --- cryptocurrency --- stylized fact --- high-frequency finance --- liquidity costs --- transaction costs --- statistical arbitrage --- cryptocurrencies --- machine learning --- bitcoin --- realized volatility --- HAR --- high frequency --- cryptocurrencies --- speculative bubbles --- sentiment --- smooth transition --- diamond stocks --- diamond prices --- investment asset --- capital asset pricing model
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