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Financial Risk Management and Modeling
Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.
Liquidity and Resolution of Uncertainty in the European Carbon Futures Market
We investigate whether liquidity introduces or helps resolve uncertainty in Phase I and the first year of Phase II of the European Carbon futures market. We propose a distinction between 'absolute' or overall liquidity and that which is 'relative' to a benchmark. For this purpose, we suggest volume-weighted duration as a natural measure of trading intensity as a proxy for liquidity, and we model it as a rescaled temporal point process. The new model is called Autoregressive Conditional Weighted Duration (ACWD) and is shown to outperform its discrete modelling counterparts. Liquidity is found to play a dual role, with higher relative liquidity introducing uncertainty and higher absolute liquidity accelerating uncertainty resolution, thus, enhancing market efficiency.
Could Market Making Be Profitable in the European Carbon Market?
We investigate when market making can be profitable in the European Carbon Futures market, by developing an order type selection rule, based solely on transaction level data. We employ a granular approach that uses an observable variable, i.e. trading intensity, to extract the liquidity and information price components and we investigate their impact on spreads, volatility and ultimately on the profitability of different order types. We find that market orders are always less profitable than limit orders. In addition, market makers are expected to derive most of their profits in a low trading intensity environment, mainly due to higher liquidity commissions and a lower probability of dealing with better informed agents. In contrast, an unconditional limit order submission strategy from an off-floor trader should not be preferred, apart from a medium trading intensity environment, where information and liquidity premia adequately compensate them for execution and information risk.
Artificial Intelligence and Big Data for Financial Risk Management
This book presents a collection of high-quality contributions on the state-of-the-art in Artificial Intelligence and Big Data analysis as it relates to financial risk management applications. It brings together, in one place, the latest thinking on an emerging topic and includes principles, reviews, examples, and research directions. The book presents numerous specific use-cases throughout, showing practical applications of the concepts discussed. It looks at technologies such as eye movement analysis, data mining or mobile apps and examines how these technologies are applied by financial institutions, and how this affects both the institutions and the market. This work introduces students and aspiring practitioners to the subject of risk management in a structured manner. It is primarily aimed at researchers and students in finance and intelligent big data applications, such as intelligent information systems, smart economics and finance applications, and the internet of things in a marketing environment.
Market Conditions and Order Type Preference
This paper develops an order type-selection trading rule based solely on transaction data, assuming that limit orders require adequate monetary reward for risk exposure. Their suitability is found to depend on the sensitivity of price components to expected market conditions. Limit orders should be preferred during favourable, intense (less intense) market periods when these components are positively (negatively) correlated.
The Ethics of Identity
Race, ethnicity, nationality, religion, gender, sexuality: in the past couple of decades, a great deal of attention has been paid to such collective identities. They clamor for recognition and respect, sometimes at the expense of other things we value. But to what extent do "identities" constrain our freedom, our ability to make an individual life, and to what extent do they enable our individuality? In this beautifully written work, renowned philosopher and African Studies scholar Kwame Anthony Appiah draws on thinkers through the ages and across the globe to explore such questions. The Ethics of Identity takes seriously both the claims of individuality—the task of making a life—and the...
Slowness
Slowness was Milan Kundera's first novel written in French. Disconcerted and enchanted, the reader follows him through a midsummer's night in which two tales of seduction, separated in time by more than two hundred years, interweave and oscillate between the sublime and ridiculous.As Kundera's readers would expect, Slowness is at the same time a formidable display of existential analysis. Slowness (and rapidity), discretion (and exhibitionism) are the principal concepts, and those which are to the reader like vital keys for understanding life in our contemporary world.
Analyzing Quantitative Data
For social researchers who need to know what procedures to use under what circumstances in practical research projects, this book does not require an indepth understanding of statistical theory.
Selected Philosophical Writings
St Thomas Aquinas (1225-1274) saw religion as part of the natural human propensity to worship. His ability to recognize the naturalness of this phenomenon and simultaneously to go beyond it, to explore spiritual revelation, makes his work fresh and highly readable today. While drawing on a strong distinction between theology and philosophy, Aquinas interleaved them intricately in his writings, which range from an examination of the structures of thought to the concept of God as the end of all things. This accessible new translation chooses substantial passages not only from the indispensable Summa Theologicae, but from many other works, fully illustrating the breadth and progression of Aquinas's philosophy. ABOUT THE SERIES: For over 100 years Oxford World's Classics has made available the widest range of literature from around the globe. Each affordable volume reflects Oxford's commitment to scholarship, providing the most accurate text plus a wealth of other valuable features, including expert introductions by leading authorities, helpful notes to clarify the text, up-to-date bibliographies for further study, and much more.
