Who Wants Affordable Housing in their Backyard? An Equilibrium Analysis of Low Income Property Development -- by Rebecca Diamond, Timothy McQuade
Image Versus Information: Changing Societal Norms and Optimal Privacy -- by S. Nageeb Ali, Roland Benabou
Who Gets Hired? The Importance of Finding an Open Slot -- by Edward P. Lazear, Kathryn L. Shaw, Christopher T. Stanton
The Economics of Bank Supervision -- by Thomas M. Eisenbach, David O. Lucca, Robert M. Townsend
The Effect of Weight on Labor Market Outcomes: an Application of Genetic Instrumental Variables -- by Petri Boeckerman, John Cawley, Jutta Viinikainen, Terho Lehtimaeki, Suvi Rovio, Ilkka Seppaelae, Jaakko Pehkonen, Olli Raitakari
Mortality Inequality: The Good News from a County-Level Approach -- by Janet Currie, Hannes Schwandt
The 'Real' Explanation of the PPP Puzzle -- by Nicholas Ford, Charles Yuji Horioka
How a Minimum Carbon Price Commitment Might Help to Internalize the Global Warming Externality -- by Martin L. Weitzman
Understanding the Decline in the Safe Real Interest Rate -- by Robert E. Hall
Competition and Bank Liquidity Creation -- by Liangliang Jiang, Ross Levine, Chen Lin
Are Settlements in Patent Litigation Collusive? Evidence from Paragraph IV Challenges -- by Eric Helland, Seth A. Seabury
What Motivates Effort? Evidence and Expert Forecasts -- by Stefano DellaVigna, Devin Pope
Colonial American Paper Money and the Quantity Theory of Money: An Extension -- by Farley Grubb
How Migration Can Change Income Inequality? -- by Assaf Razin, Efraim Sadka
DGCX Crosses 6 Million Contracts
Year-to-date (YTD) trading volumes on the Dubai Gold & Commodities Exchange (DGCX) crossed 6 million contracts in April 2016, growing 45% over the same period last year whilst maintaining a steady Average Daily Open Interest of 109,487 contracts.
read more...Nasdaq Nordic And Baltic Markets Trading Statistics April 2016
Nasdaq (Nasdaq:NDAQ) today publishes monthly trade statistics for the Nordic1 and Baltic2 markets. Below follows a summary of the statistics for April 2016:
read more...EEX: Volume In Power Derivatives Exceeds 400 TWh For The First Time
The monthly volume on EEX’s power derivatives market amounted to 416.3 terawatt hours (TWh) in April 2016 which is an increase of nearly 150% compared to April 2015 (167.1 TWh). Furthermore, this represents a new monthly record that significantly exceeds the previous record of 332.4 TWh traded in January 2016.
read more...On Optimal Retirement (How to Retire Early). (arXiv:1605.01028v1 [q-fin.ST])
We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function $f$ and our current net worth as $X(t)$ for any $t$, we invest an amount $f(X(t))$ in the market. We need a fortune of $M$ "superdollars" to retire and want to retire as early as possible. We model our change in net worth over each infinitesimal time interval by the Ito process $dX(t)= (1+f(X(t))dt+ f(X(t))dW(t)$. We show how to choose the optimal $f=f_0$ and show that the choice of $f_0$ is optimal among all nonanticipative investment strategies, not just among Markovian ones.
The Local Fractional Bootstrap. (arXiv:1605.00868v1 [math.ST])
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first order validity of the bootstrap method and in simulations we observe that the bootstrap-based hypothesis test provides considerable finite-sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data; we illustrate this by applying the bootstrap method to two empirical data sets: we assess the roughness of a time series of high-frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data.
Revisiting a Theorem of L.A. Shepp on Optimal Stopping. (arXiv:1605.00762v1 [q-fin.MF])
Using a bondholder who seeks to determine when to sell his bond as our motivating example, we revisit one of Larry Shepp's classical theorems on optimal stopping. We offer a novel proof of Theorem 1 from from \cite{Shepp}. Our approach is that of guessing the optimal control function and proving its optimality with martingales. Without martingale theory one could hardly prove our guess to be correct.