We study a model with local public goods in which agents’ crowding e¤ects are formally distinguished from their taste types. It has been shown that the core of such an economy can be decentralized with anonymous admission prices (which are closely related to cost share prices). Unfortunately, such a price system allows for an arbitrary relationship between the public goods level in a given juri...

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price (delta) and exposure to changes in implied volatility (vega) are removed, isolating the effect of skewness....

We study the coupling of basic quantitative portfolio selection strategies with a financial news article prediction system, AZFinText. By varying the degrees of portfolio formation time, we found that a hybrid system using both quantitative strategy and a full set of financial news articles, performed the best. With a 1-week portfolio formation period we achieved a 20.79% trading return using a...

Sentiment extraction from user-generated online content to predict stock price movements has become an active research field. This paper gives an overview of common approaches to this topic and analyzes the content generated by the financial social network Seekingalpha.com. The first finding is that a large proportion of users’ attention is focused on only a few stocks. Regarding these stocks i...

The deployment of electronic energy meters has gained a great deal of momentum over the past several years. This is due to their two main advantages over the traditional electromechanical designs: improved accuracy and an expanded set of features. Current microcontroller technology allows designers to build meters that are competitive in price with traditional devices, while maintaining the req...

We study flows between investment funds and their effects on asset prices in a simple twoperiod version of Vayanos and Woolley (2010, VW). As in VW, flows cause assets to comove in ways unrelated to fundamentals, affect assets with high idiosyncratic risk the most, and raise the expected returns of funds experiencing outflows. We sketch how adding periods can generate other results of VW such a...

We seek an analogy of the mathematical form of the alternative form of Einstein's field equations for Lovelock's field equations. We find that the price for this analogy is to accept the existence of the trace anomaly of the energy-momentum tensor even in classical treatments. As an example, we take this analogy to any generic second order Lagrangian and exactly derive the trace anomaly relatio...

The classical technical analysis methods of financial time series based on the moving average and momentum is recalled. Illustrations use the IBM share price and Latin American (Argentinian MerVal, Brazilian Bovespa and Mexican IPC) market indices. We have also searched for scaling ranges and exponents in exchange rates between Latin American currencies (ARS, CLP , MXP ) and other major currenc...

This paper uses an adapted version of the linear tracing procedure, suggested by Harsanyi and Selten (1988), in order to discriminate between two types of multiple Nash equilibria. Equilibria of the same type are pay-off equivalent in the analysed multiple-unit unit price auction where two sellers compete in order to serve a fixed demand. The equilibria where the firm with the larger capacity b...

There are different strategies for selecting stocks, and different investors use different strategies according to their risk tolerance or their expected rate of return. In this study, the profitability of a broad range of stock se-lection strategies in Tehran Stock Exchange over the period 1370-1383, has been examined, and it has been investigated whether the successful strategies in other cou...