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Publisher: Springer-Verlag (Total: 2352 journals)

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Showing 1 - 200 of 2352 Journals sorted alphabetically
3D Research     Hybrid Journal   (Followers: 17, SJR: 0.214, h-index: 10)
4OR: A Quarterly J. of Operations Research     Hybrid Journal   (Followers: 10, SJR: 1.073, h-index: 25)
AAPS J.     Hybrid Journal   (Followers: 20, SJR: 1.192, h-index: 74)
AAPS PharmSciTech     Hybrid Journal   (Followers: 6, SJR: 0.718, h-index: 54)
Abdominal Imaging     Hybrid Journal   (Followers: 14, SJR: 0.723, h-index: 60)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 3, SJR: 0.447, h-index: 12)
Academic Psychiatry     Full-text available via subscription   (Followers: 22, SJR: 0.492, h-index: 32)
Academic Questions     Hybrid Journal   (Followers: 8, SJR: 0.135, h-index: 6)
Accreditation and Quality Assurance: J. for Quality, Comparability and Reliability in Chemical Measurement     Hybrid Journal   (Followers: 26, SJR: 0.378, h-index: 30)
Acoustical Physics     Hybrid Journal   (Followers: 11, SJR: 0.355, h-index: 20)
Acoustics Australia     Hybrid Journal  
Acta Analytica     Hybrid Journal   (Followers: 7, SJR: 0.387, h-index: 6)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1, SJR: 0.624, h-index: 34)
Acta Biotheoretica     Hybrid Journal   (Followers: 5, SJR: 0.419, h-index: 25)
Acta Diabetologica     Hybrid Journal   (Followers: 14, SJR: 1.318, h-index: 46)
Acta Endoscopica     Hybrid Journal   (Followers: 1, SJR: 0.113, h-index: 8)
acta ethologica     Hybrid Journal   (Followers: 4, SJR: 0.465, h-index: 23)
Acta Geochimica     Hybrid Journal   (Followers: 5)
Acta Geodaetica et Geophysica     Hybrid Journal   (Followers: 1, SJR: 0.294, h-index: 13)
Acta Geotechnica     Hybrid Journal   (Followers: 7, SJR: 1.818, h-index: 22)
Acta Informatica     Hybrid Journal   (Followers: 5, SJR: 0.524, h-index: 32)
Acta Mathematica     Hybrid Journal   (Followers: 11, SJR: 8.021, h-index: 47)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2, SJR: 0.53, h-index: 29)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 6, SJR: 0.406, h-index: 30)
Acta Mathematica Vietnamica     Hybrid Journal   (SJR: 0.451, h-index: 5)
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal   (SJR: 0.22, h-index: 20)
Acta Mechanica     Hybrid Journal   (Followers: 20, SJR: 0.898, h-index: 52)
Acta Mechanica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.426, h-index: 29)
Acta Metallurgica Sinica (English Letters)     Hybrid Journal   (Followers: 5, SJR: 0.525, h-index: 18)
Acta Meteorologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.524, h-index: 14)
Acta Neurochirurgica     Hybrid Journal   (Followers: 6, SJR: 0.833, h-index: 73)
Acta Neurologica Belgica     Hybrid Journal   (SJR: 0.348, h-index: 27)
Acta Neuropathologica     Hybrid Journal   (Followers: 5, SJR: 6.61, h-index: 117)
Acta Oceanologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.295, h-index: 17)
Acta Parasitologica     Hybrid Journal   (Followers: 9, SJR: 0.581, h-index: 28)
Acta Physiologiae Plantarum     Hybrid Journal   (Followers: 2, SJR: 0.551, h-index: 39)
Acta Politica     Hybrid Journal   (Followers: 13, SJR: 0.658, h-index: 20)
Activitas Nervosa Superior     Hybrid Journal  
adhäsion KLEBEN & DICHTEN     Hybrid Journal   (Followers: 5, SJR: 0.103, h-index: 4)
ADHD Attention Deficit and Hyperactivity Disorders     Hybrid Journal   (Followers: 22, SJR: 0.871, h-index: 15)
Adhesion Adhesives & Sealants     Hybrid Journal   (Followers: 8)
Administration and Policy in Mental Health and Mental Health Services Research     Partially Free   (Followers: 15, SJR: 0.795, h-index: 40)
Adsorption     Hybrid Journal   (Followers: 4, SJR: 0.774, h-index: 52)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 3, SJR: 0.319, h-index: 15)
Advances in Atmospheric Sciences     Hybrid Journal   (Followers: 34, SJR: 0.959, h-index: 44)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 15, SJR: 1.255, h-index: 44)
Advances in Contraception     Hybrid Journal   (Followers: 3)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 51, SJR: 1.113, h-index: 14)
Advances in Gerontology     Partially Free   (Followers: 8, SJR: 0.141, h-index: 3)
Advances in Health Sciences Education     Hybrid Journal   (Followers: 22, SJR: 1.397, h-index: 42)
Advances in Manufacturing     Hybrid Journal   (Followers: 3, SJR: 0.2, h-index: 4)
Advances in Polymer Science     Hybrid Journal   (Followers: 41, SJR: 0.637, h-index: 89)
Advances in Therapy     Hybrid Journal   (Followers: 5, SJR: 0.79, h-index: 44)
Aegean Review of the Law of the Sea and Maritime Law     Hybrid Journal   (Followers: 7)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2, SJR: 0.882, h-index: 23)
Aerobiologia     Hybrid Journal   (Followers: 1, SJR: 0.511, h-index: 36)
Aesthetic Plastic Surgery     Hybrid Journal   (Followers: 9, SJR: 0.821, h-index: 49)
African Archaeological Review     Hybrid Journal   (Followers: 15, SJR: 0.612, h-index: 24)
Afrika Matematika     Hybrid Journal   (Followers: 1, SJR: 0.248, h-index: 6)
AGE     Hybrid Journal   (Followers: 7, SJR: 1.358, h-index: 33)
Ageing Intl.     Hybrid Journal   (Followers: 7, SJR: 0.337, h-index: 10)
Aggiornamenti CIO     Hybrid Journal   (Followers: 1)
Aging Clinical and Experimental Research     Hybrid Journal   (Followers: 3, SJR: 0.529, h-index: 55)
Agricultural Research     Hybrid Journal   (Followers: 3)
Agriculture and Human Values     Hybrid Journal   (Followers: 12, SJR: 1.197, h-index: 49)
Agroforestry Systems     Hybrid Journal   (Followers: 19, SJR: 0.64, h-index: 56)
Agronomy for Sustainable Development     Hybrid Journal   (Followers: 10, SJR: 1.732, h-index: 59)
AI & Society     Hybrid Journal   (Followers: 7, SJR: 0.171, h-index: 19)
AIDS and Behavior     Hybrid Journal   (Followers: 13, SJR: 2.006, h-index: 71)
Air Quality, Atmosphere & Health     Hybrid Journal   (Followers: 4, SJR: 0.706, h-index: 19)
Akupunktur & Aurikulomedizin     Full-text available via subscription   (Followers: 1)
Algebra and Logic     Hybrid Journal   (Followers: 4, SJR: 0.566, h-index: 18)
Algebra Universalis     Hybrid Journal   (Followers: 2, SJR: 0.388, h-index: 22)
Algebras and Representation Theory     Hybrid Journal   (Followers: 1, SJR: 0.868, h-index: 20)
Algorithmica     Hybrid Journal   (Followers: 8, SJR: 0.898, h-index: 56)
Allergo J.     Full-text available via subscription   (Followers: 1, SJR: 0.183, h-index: 20)
Allergo J. Intl.     Hybrid Journal   (Followers: 2)
Alpine Botany     Hybrid Journal   (Followers: 5, SJR: 0.729, h-index: 20)
ALTEX : Alternatives to Animal Experimentation     Open Access   (Followers: 3, SJR: 1.392, h-index: 32)
AMBIO     Hybrid Journal   (Followers: 15, SJR: 1.094, h-index: 87)
American J. of Cardiovascular Drugs     Hybrid Journal   (Followers: 16, SJR: 0.864, h-index: 39)
American J. of Community Psychology     Hybrid Journal   (Followers: 24, SJR: 1.237, h-index: 83)
American J. of Criminal Justice     Hybrid Journal   (Followers: 7, SJR: 0.634, h-index: 13)
American J. of Cultural Sociology     Hybrid Journal   (Followers: 12, SJR: 0.283, h-index: 3)
American J. of Dance Therapy     Hybrid Journal   (Followers: 4, SJR: 0.175, h-index: 13)
American J. of Potato Research     Hybrid Journal   (Followers: 2, SJR: 0.558, h-index: 35)
American J. of Psychoanalysis     Hybrid Journal   (Followers: 22, SJR: 0.293, h-index: 13)
American Sociologist     Hybrid Journal   (Followers: 14, SJR: 0.18, h-index: 13)
Amino Acids     Hybrid Journal   (Followers: 8, SJR: 1.362, h-index: 83)
AMS Review     Partially Free   (Followers: 4)
Analog Integrated Circuits and Signal Processing     Hybrid Journal   (Followers: 7, SJR: 0.21, h-index: 37)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 3, SJR: 0.665, h-index: 7)
Analysis in Theory and Applications     Hybrid Journal   (Followers: 1)
Analysis of Verbal Behavior     Hybrid Journal   (Followers: 5)
Analytical and Bioanalytical Chemistry     Hybrid Journal   (Followers: 30, SJR: 1.096, h-index: 123)
Anatomical Science Intl.     Hybrid Journal   (Followers: 2, SJR: 0.301, h-index: 26)
Angewandte Schmerztherapie und Palliativmedizin     Hybrid Journal  
Angiogenesis     Hybrid Journal   (Followers: 3, SJR: 2.212, h-index: 69)
Animal Cognition     Hybrid Journal   (Followers: 16, SJR: 1.122, h-index: 55)
Annales françaises de médecine d'urgence     Hybrid Journal   (Followers: 1, SJR: 0.156, h-index: 4)
Annales Henri Poincaré     Hybrid Journal   (Followers: 3, SJR: 1.377, h-index: 32)
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4)
Annali dell'Universita di Ferrara     Hybrid Journal   (SJR: 0.504, h-index: 14)
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1, SJR: 1.167, h-index: 26)
Annals of Behavioral Medicine     Hybrid Journal   (Followers: 11, SJR: 2.112, h-index: 98)
Annals of Biomedical Engineering     Hybrid Journal   (Followers: 18, SJR: 1.182, h-index: 94)
Annals of Combinatorics     Hybrid Journal   (Followers: 3, SJR: 0.849, h-index: 15)
Annals of Data Science     Hybrid Journal   (Followers: 11)
Annals of Dyslexia     Hybrid Journal   (Followers: 9, SJR: 0.857, h-index: 40)
Annals of Finance     Hybrid Journal   (Followers: 28, SJR: 0.686, h-index: 14)
Annals of Forest Science     Hybrid Journal   (Followers: 6, SJR: 0.929, h-index: 57)
Annals of Global Analysis and Geometry     Hybrid Journal   (Followers: 1, SJR: 1.136, h-index: 23)
Annals of Hematology     Hybrid Journal   (Followers: 14, SJR: 1.117, h-index: 62)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 7, SJR: 0.593, h-index: 42)
Annals of Microbiology     Hybrid Journal   (Followers: 10, SJR: 0.402, h-index: 26)
Annals of Nuclear Medicine     Hybrid Journal   (Followers: 5, SJR: 0.68, h-index: 45)
Annals of Operations Research     Hybrid Journal   (Followers: 8, SJR: 1.186, h-index: 78)
Annals of Ophthalmology     Hybrid Journal   (Followers: 12)
Annals of Regional Science     Hybrid Journal   (Followers: 7, SJR: 0.405, h-index: 42)
Annals of Software Engineering     Hybrid Journal   (Followers: 12)
Annals of Solid and Structural Mechanics     Hybrid Journal   (Followers: 10, SJR: 0.553, h-index: 8)
Annals of Surgical Oncology     Hybrid Journal   (Followers: 16, SJR: 1.902, h-index: 127)
Annals of Telecommunications     Hybrid Journal   (Followers: 7, SJR: 0.315, h-index: 25)
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1, SJR: 0.931, h-index: 31)
Antonie van Leeuwenhoek     Hybrid Journal   (Followers: 5, SJR: 0.992, h-index: 87)
Apidologie     Hybrid Journal   (Followers: 4, SJR: 1.14, h-index: 57)
APOPTOSIS     Hybrid Journal   (Followers: 8, SJR: 1.554, h-index: 87)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2, SJR: 0.354, h-index: 27)
Applications of Mathematics     Hybrid Journal   (Followers: 1, SJR: 0.274, h-index: 20)
Applied Biochemistry and Biotechnology     Hybrid Journal   (Followers: 44, SJR: 0.575, h-index: 80)
Applied Biochemistry and Microbiology     Hybrid Journal   (Followers: 17, SJR: 0.267, h-index: 26)
Applied Cancer Research     Open Access  
Applied Categorical Structures     Hybrid Journal   (Followers: 2, SJR: 0.361, h-index: 21)
Applied Composite Materials     Hybrid Journal   (Followers: 48, SJR: 0.705, h-index: 35)
Applied Entomology and Zoology     Partially Free   (Followers: 3, SJR: 0.554, h-index: 34)
Applied Geomatics     Hybrid Journal   (Followers: 3, SJR: 0.323, h-index: 9)
Applied Geophysics     Hybrid Journal   (Followers: 8, SJR: 0.541, h-index: 13)
Applied Intelligence     Hybrid Journal   (Followers: 11, SJR: 0.777, h-index: 43)
Applied Magnetic Resonance     Hybrid Journal   (Followers: 4, SJR: 0.358, h-index: 34)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 4, SJR: 0.955, h-index: 33)
Applied Mathematics - A J. of Chinese Universities     Hybrid Journal   (SJR: 0.275, h-index: 8)
Applied Mathematics and Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.37, h-index: 26)
Applied Microbiology and Biotechnology     Hybrid Journal   (Followers: 62, SJR: 1.262, h-index: 161)
Applied Physics A     Hybrid Journal   (Followers: 7, SJR: 0.535, h-index: 121)
Applied Physics B: Lasers and Optics     Hybrid Journal   (Followers: 23, SJR: 0.983, h-index: 104)
Applied Psychophysiology and Biofeedback     Hybrid Journal   (Followers: 8, SJR: 0.677, h-index: 47)
Applied Research in Quality of Life     Hybrid Journal   (Followers: 11, SJR: 0.288, h-index: 15)
Applied Solar Energy     Hybrid Journal   (Followers: 17, SJR: 0.251, h-index: 6)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 4, SJR: 0.351, h-index: 9)
Aquaculture Intl.     Hybrid Journal   (Followers: 22, SJR: 0.613, h-index: 40)
Aquarium Sciences and Conservation     Hybrid Journal   (Followers: 1)
Aquatic Ecology     Hybrid Journal   (Followers: 32, SJR: 0.646, h-index: 44)
Aquatic Geochemistry     Hybrid Journal   (Followers: 4, SJR: 0.764, h-index: 39)
Aquatic Sciences     Hybrid Journal   (Followers: 13, SJR: 1.172, h-index: 53)
Arabian J. for Science and Engineering     Hybrid Journal   (Followers: 5, SJR: 0.345, h-index: 20)
Arabian J. of Geosciences     Hybrid Journal   (Followers: 1, SJR: 0.417, h-index: 16)
Archaeological and Anthropological Sciences     Hybrid Journal   (Followers: 23, SJR: 1.056, h-index: 15)
Archaeologies     Hybrid Journal   (Followers: 12, SJR: 0.397, h-index: 13)
Archiv der Mathematik     Hybrid Journal   (Followers: 1, SJR: 0.597, h-index: 29)
Archival Science     Hybrid Journal   (Followers: 55, SJR: 0.804, h-index: 22)
Archive for History of Exact Sciences     Hybrid Journal   (Followers: 8, SJR: 0.28, h-index: 15)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 1, SJR: 0.946, h-index: 23)
Archive for Rational Mechanics and Analysis     Hybrid Journal   (SJR: 4.091, h-index: 66)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.865, h-index: 40)
Archives and Museum Informatics     Hybrid Journal   (Followers: 132)
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 4, SJR: 2.841, h-index: 40)
Archives of Dermatological Research     Hybrid Journal   (Followers: 7, SJR: 0.9, h-index: 65)
Archives of Environmental Contamination and Toxicology     Hybrid Journal   (Followers: 11, SJR: 0.846, h-index: 84)
Archives of Gynecology and Obstetrics     Hybrid Journal   (Followers: 17, SJR: 0.695, h-index: 47)
Archives of Microbiology     Hybrid Journal   (Followers: 8, SJR: 0.702, h-index: 85)
Archives of Orthopaedic and Trauma Surgery     Hybrid Journal   (Followers: 8, SJR: 1.039, h-index: 56)
Archives of Osteoporosis     Hybrid Journal   (Followers: 2, SJR: 1.092, h-index: 13)
Archives of Sexual Behavior     Hybrid Journal   (Followers: 9, SJR: 1.198, h-index: 74)
Archives of Toxicology     Hybrid Journal   (Followers: 16, SJR: 1.595, h-index: 76)
Archives of Virology     Hybrid Journal   (Followers: 5, SJR: 1.086, h-index: 90)
Archives of Women's Mental Health     Hybrid Journal   (Followers: 14, SJR: 1.264, h-index: 50)
Archivio di Ortopedia e Reumatologia     Hybrid Journal  
Archivum Immunologiae et Therapiae Experimentalis     Hybrid Journal   (Followers: 2, SJR: 1.2, h-index: 42)
ArgoSpine News & J.     Hybrid Journal   (SJR: 0.102, h-index: 3)
Argumentation     Hybrid Journal   (Followers: 5, SJR: 0.295, h-index: 18)
Arid Ecosystems     Hybrid Journal   (Followers: 3)
Arkiv för Matematik     Hybrid Journal   (Followers: 1, SJR: 0.948, h-index: 22)
Arnold Mathematical J.     Hybrid Journal   (Followers: 1)
Arthropod-Plant Interactions     Hybrid Journal   (Followers: 2, SJR: 0.797, h-index: 17)
Arthroskopie     Hybrid Journal   (Followers: 1, SJR: 0.145, h-index: 8)
Artificial Intelligence and Law     Hybrid Journal   (Followers: 10, SJR: 0.288, h-index: 25)
Artificial Intelligence Review     Hybrid Journal   (Followers: 14, SJR: 0.948, h-index: 48)
Artificial Life and Robotics     Hybrid Journal   (Followers: 8, SJR: 0.231, h-index: 14)
Asia Europe J.     Hybrid Journal   (Followers: 5, SJR: 0.247, h-index: 9)
Asia Pacific Education Review     Hybrid Journal   (Followers: 12, SJR: 0.371, h-index: 17)
Asia Pacific J. of Management     Hybrid Journal   (Followers: 15, SJR: 1.676, h-index: 50)
Asia-Pacific Education Researcher     Hybrid Journal   (Followers: 12, SJR: 0.353, h-index: 13)
Asia-Pacific Financial Markets     Hybrid Journal   (Followers: 2, SJR: 0.19, h-index: 15)
Asia-Pacific J. of Atmospheric Sciences     Hybrid Journal   (Followers: 20, SJR: 1.006, h-index: 14)
Asian Business & Management     Hybrid Journal   (Followers: 8, SJR: 0.41, h-index: 10)
Asian J. of Business Ethics     Hybrid Journal   (Followers: 7)
Asian J. of Criminology     Hybrid Journal   (Followers: 5, SJR: 0.263, h-index: 8)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 2, SJR: 0.681, h-index: 15)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5, SJR: 0.195, h-index: 5)
ästhetische dermatologie & kosmetologie     Full-text available via subscription  

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Journal Cover Annals of Finance
  [SJR: 0.686]   [H-I: 14]   [28 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1614-2454 - ISSN (Online) 1614-2446
   Published by Springer-Verlag Homepage  [2352 journals]
  • Financial equilibrium with non-linear valuations
    • Authors: Dilip B. Madan
      Abstract: Classical Arrow Debreu equilibria employ budget feasibility to require individuals to ensure excess supplies to be nonnegative in value using the single equilibrium price system for valuation purposes. Yet by the selection of state contingent prices, they seek excess supplies that are nonnegative in each component, and not just the value. A financial equilibrium, on the other hand, defines acceptable economic risks as excess supplies that are nonnegative in value for a number of prespecified valuation price systems. The collection of prespecified valuation price systems may be referred to as features for which clearing is sought. The number of features will generally be less than the number of states. It is then shown that by also defining budget feasibility nonlinearly one may construct a financial equilibrium with fewer securities than there are features to be cleared.
      PubDate: 2017-11-08
      DOI: 10.1007/s10436-017-0312-1
       
  • Venture capital and underpricing: capacity constraints and early sales
    • Authors: Roberto Pinheiro
      Abstract: I present a model of the venture capital (VC) and public markets in which VCs suffer from capacity constraints, due to the shortage of skilled VC managers. Consequently, VC firms can only handle a limited number of new projects at once, having to divest from ongoing projects in order to take advantage of new opportunities. This framework is able to match key features presented by the VC and initial public offer (IPO) empirical literatures: (1) VC-backed firms are younger, smaller, and less profitable at the IPO than their non-VC backed counterparts; (2) VC-backed IPOs are more underpriced than non-VC backed ones, (3) there is a positive relationship between underpricing and VC fundraising; (4) small and young VC firms usually take portfolio firms public earlier than their large and mature counterparts; (5) in hot IPO markets, VCs are more likely to take public both very young and small firms as well as mature and large firms, compared to cold markets. Differently, non-VC backed firms are usually smaller and younger in hot markets than in cold ones.
      PubDate: 2017-11-08
      DOI: 10.1007/s10436-017-0311-2
       
  • Systemic risk in Europe: deciphering leading measures, common patterns and
           real effects
    • Authors: Mikhail Stolbov; Maria Shchepeleva
      Abstract: The paper studies salient features of systemic risk in a sample of 22 European (EU and non-EU) countries during January 2010–March 2016. Building on a novel dataset and conducting an empirical horse race, we determine pivotal systemic risk measures for the sample countries. SRISK and volatility indicator tend to lead other metrics, followed by leverage. In contrast to the conventional wisdom, composite systemic risk measures aggregated with the aid of principal and independent component analysis perform worse. The leading systemic risk measures exhibit a high degree of connectedness. The VIX index, TED spread, the Composite Index of Systemic Stress (CISS) and long-term interest rates underlie their dynamics. Two clusters within the sample are identified, with CISS and long-term interest rates being crucial to distinguish between them. There is only scarce evidence for causal linkages between systemic risk and industrial production in the sample countries, based on the concurring results of standard and nonparametric Granger causality tests.
      PubDate: 2017-10-24
      DOI: 10.1007/s10436-017-0310-3
       
  • Approximate option pricing and hedging in the CEV model via path-wise
           comparison of stochastic processes
    • Authors: Vladislav Krasin; Ivan Smirnov; Alexander Melnikov
      Abstract: This paper presents a methodology of finding explicit boundaries for some financial quantities via comparison of stochastic processes. The path-wise comparison theorem is used to establish domination of the stock price process by a process with a known distribution that is relatively simple. We demonstrate how the comparison theorem can be applied in the constant elasticity of variance model to derive closed-form expressions for option price bounds, an approximate hedging strategy and a conditional value-at-risk estimate. We also provide numerical examples and compare precision of our method with the distribution-free approach.
      PubDate: 2017-10-20
      DOI: 10.1007/s10436-017-0309-9
       
  • Counterparty risk, central counterparty clearing and aggregate risk
    • Authors: Binbin Deng
      Abstract: I construct a model of bilateral trading of over-the-counter (OTC) derivatives to study the performance of central counterparty (CCP) clearing. I first show how buyers are exposed to counterparty risk under bilateral clearing. I then show how a CCP can fully insure against counterparty risk through risk-mutualization and achieve full idiosyncratic risk-sharing among market participants. I further demonstrate the impact of aggregate risk on CCP clearing and illustrate a scenario in which the CCP fails to provide full insurance against counterparty risk and full idiosyncratic risk-sharing collapses under severe aggregate risk. To insure against aggregate risk and retain full idiosyncratic risk-sharing, sellers’ capital resource is important on top of CCP mutualization. Finally, I allow buyers to costly search for sellers and study the implications of optimal search effort. I show how a moral hazard problem can arise if effort is unobservable, in which case full CCP insurance against counterparty risk is no longer optimal.
      PubDate: 2017-09-26
      DOI: 10.1007/s10436-017-0308-x
       
  • Regulation, supervision and deposit insurance for financial cooperatives:
           an empirical investigation
    • Authors: Amr Khafagy
      Abstract: This paper analyses the impact of different regulation and supervision approaches, as well as deposit insurance schemes, on the development of financial cooperatives in developing countries, using random and fixed effects estimators. Information on laws regulating financial cooperatives, the supervisory approaches adopted, and deposit insurance schemes in sixty-five developing countries were collected—mostly—from original legislations for the period 1995–2014. Key findings suggest that indicators of financial cooperative development are positively correlated with the existence of a specialized regulation; supervision under non-bank financial supervisory authorities; and the presence of deposit insurance schemes, while general cooperative society’s regulations and banking regulations are negatively correlated with financial cooperatives’ indicators. These results are robust after controlling for economic and institutional factors as well as potential endogeneity bias.
      PubDate: 2017-09-26
      DOI: 10.1007/s10436-017-0307-y
       
  • Business cycles, financial cycles and capital structure
    • Authors: Haitham A. Al-Zoubi; Jennifer A. O’Sullivan; Abdulaziz M. Alwathnani
      Abstract: We perform peridogram based cycle analysis of firm capital structure and find evidence that firms’ leverage is both persistent and cyclical. The cyclicality of leverage is supported by the trade-off, pecking order and market timing capital structure theories (Korajczyk and Levy in J Financ Econ 68:75–109, 2003; Bhamra et al. in Rev Financ Stud 23:645–703, 2010). Although market timing theory research supports persistence, previous literature dictates that the trade-off and pecking order theories may predict either persistent or mean reverting leverage. Our tests reject mean reversion in favor of persistent and cyclical leverage. We corroborate pecking order theory literature that predicts leverage is persistent. In these models, when firms’ investment spending is below earnings, leverage decreases. In addition, we examine whether firms change their capital structure as a result of business and financial cycles. Since financial cycles last longer than business cycles, financial cycles should have a long term effect on leverage. Our findings confirm the persistent leverage business cycle models that suggest firms change their capital structure due to financial and credit cycles (Jermann and Quadrini in Am Econ Rev 102:238–271, 2012; Azariadis et al. in Rev Econ Stud 83:1364–1405, 2016). We conclude that leverage is persistent due to the cyclicality of the financing decision.
      PubDate: 2017-08-20
      DOI: 10.1007/s10436-017-0306-z
       
  • Stock markets fragmentation, volatility and final investors
    • Authors: Cécile Bastidon
      Abstract: The 2000s in equity markets are marked by two major regulatory shocks: RegNMS in the United States, and MiFID in the European Union. Simultaneously, there is a massive increase in the proportion of high-frequency trading, and market orders volume. However, trading volumes do not significantly increase. We propose a theoretical model describing the effects of stock markets fragmentation on two types of investors optimization problems: “intermediary” high-frequency and “final” investors. Volatility has a permanent and a transitory component, whose weights depend on market fragmentation via the share of non-marketable orders of intermediary investors. The trading volume of final investors depends on market fragmentation both directly via transaction costs, and indirectly via total volatility. Finally a shock in fragmentation may lead to a decrease in trading volume, enhanced in the case of an equity markets crisis by a rise in the components of volatility.
      PubDate: 2017-08-20
      DOI: 10.1007/s10436-017-0305-0
       
  • The dampening effect of iceberg orders on small traders’ welfare
    • Authors: Laura Delaney; Polina Kovaleva
      Abstract: Iceberg orders, which allow traders to hide a portion of their order size, have become prevalent in many electronic limit order markets. This paper investigates, via a real options analysis, whether small traders, who have no use for submitting iceberg orders, are better off submitting their orders to fully transparent markets which have low depth, or to more liquid markets which do permit the placement of iceberg orders by large traders. Surprisingly, we find that in the context of our model, small traders are better off submitting to fully transparent markets in spite of them being less liquid.
      PubDate: 2017-08-10
      DOI: 10.1007/s10436-017-0304-1
       
  • Barrier style contracts under Lévy processes once again
    • Authors: José Fajardo
      Abstract: In this paper we present new pricing formulas for some Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed, complementing in this way previous findings in Fajardo (J Bank Financ 53:179–187, 2015). Also, we show how to implement our new formulas.
      PubDate: 2017-07-31
      DOI: 10.1007/s10436-017-0303-2
       
  • Analysis of variance based instruments for Ornstein–Uhlenbeck type
           models: swap and price index
    • Authors: Aziz Issaka; Indranil SenGupta
      Abstract: In this paper a couple of variance dependent instruments in the financial market are studied. Firstly, a number of aspects of the variance swap in connection to the Barndorff-Nielsen and Shephard model are studied. A partial integro-differential equation that describes the dynamics of the arbitrage-free price of the variance swap is formulated. Under appropriate assumptions for the first four cumulants of the driving subordinator, a Večeř-type theorem is proved. The bounds of the arbitrage-free variance swap price are also found. Finally, a price-weighted index modulated by market variance is introduced. The large-basket limit dynamics of the price index and the “error term” are derived. Empirical data driven numerical examples are provided in support of the proposed price index.
      PubDate: 2017-07-27
      DOI: 10.1007/s10436-017-0302-3
       
  • K -fold cross validation performance comparisons of six naive portfolio
           selection rules: how naive can you be and still have successful
           out-of-sample portfolio performance'
    • Authors: M. Ryan Haley
      Abstract: Recent research reports that optimal portfolio selection models often perform worse than equal-weight naive diversification in out-of-sample testing. This paper extends this line of inquiry by comparing the out-of-sample performance of the equal-weight naive strategy to the out-of-sample performance of five alternative naive strategies, each of which derives from a simple heuristic that does not require any optimization. Out-of-sample portfolio performance is assessed by mean, standard deviation, skewness, and Sharpe ratio; k-fold cross validation is used as the out-of-sample testing mechanism. The results indicate that the proposed naive heuristic rules exhibit strong out-of-sample performance, in most cases superior to the equal-weight naive strategy. These findings are consequential for at least two reasons: first, if these simple heuristic-based rules outperform the equal-weight naive strategy, then by transitivity they can outperform the mean–variance- and shortfall-optimal portfolio rules that have been shown in the literature to be inferior to the equal-weight naive rule, which further emphasizes the out-of-sample fragility of “optimal” methods; and second, among naive diversification strategies, some appear more robust in out-of-sample testing than others, hence the proposed methods may be useful when forming mixed portfolio selection models wherein a naive strategy is combined with an optimal strategy to improve performance.
      PubDate: 2017-07-14
      DOI: 10.1007/s10436-017-0301-4
       
  • Quadratic minimization with portfolio and intertemporal wealth constraints
    • Authors: Dian Zhu; Andrew J. Heunis
      Abstract: We address a problem of stochastic optimal control motivated by portfolio optimization in mathematical finance, the goal of which is to minimize the expected value of a general quadratic loss function of the wealth at close of trade when there is a specified convex constraint on the portfolio, together with a specified almost-sure lower-bound on intertemporal wealth over the full trading interval. A precursor to the present work, by Heunis (Ann Financ 11:243–282, 2015), addressed the simpler problem of minimizing a general quadratic loss function with a convex portfolio constraint and a stipulated almost-sure lower-bound on the wealth only at close of trade. In the parlance of optimal control the problem that we shall address here exhibits the combination of a control constraint (i.e. the portfolio constraint) together with an almost-sure intertemporal state constraint (on the wealth over the full trading interval). Optimal control problems with this combination of constraints are well known to be quite challenging even in the deterministic case, and of course become still more so when one deals with these same constraints in a stochastic setting. We nevertheless find that an ingenious variational approach of Rockafellar (Conjugate duality and optimization, CBMS-NSF series no. 16, SIAM, 1974), which played a key role in the precursor work noted above, is fully equal to the challenges posed by this problem, and leads naturally to an appropriate vector space of dual variables, together with a dual functional on the space of dual variables, such that the dual problem of maximizing the dual functional is guaranteed to have a solution (or Lagrange multiplier) when the problem constraints satisfy a simple and natural Slater condition. We then establish necessary and sufficient conditions for the optimality of a candidate wealth process in terms of the Lagrange multiplier, and use these conditions to construct an optimal portfolio.
      PubDate: 2017-07-05
      DOI: 10.1007/s10436-017-0300-5
       
  • An empirical analysis of organized crime, corruption and economic growth
    • Authors: Kyriakos C. Neanidis; Maria Paola Rana; Keith Blackburn
      Abstract: In a companion study, Blackburn et al. (Econ Theory Bull, 2017), we have developed a theoretical framework for studying interactions between organized crime and corruption, with the view of examining the combined effects of these phenomena on economic growth. The analysis therein illustrates that organized crime has a negative effect on growth, but that the magnitude of the effect may be either enhanced or mitigated in the presence of corruption. In this paper we tackle the ambiguity produced by the coexistence of the two illicit activities with an empirical investigation using a panel of Italian regions for the period 1983–2009. We find that organized crime distorts growth less when it coexists with corruption and show our results to be robust to different specifications, measures of organized crime, and estimation techniques.
      PubDate: 2017-06-09
      DOI: 10.1007/s10436-017-0299-7
       
  • Investment, agency conflicts, debt maturity, and loan guarantees by
           negotiation
    • Authors: Liu Gan; Zhaojun Yang
      Abstract: We consider an irreversible investment, of which the sunk cost is financed by a finite-term debt after entering into an option-for-guarantee swap (OGS) with negotiation. The OGS is a three-party agreement among a lender (bank), an insurer, and a borrower (entrepreneur), where the bank lends at a given interest rate to the entrepreneur and if the borrower defaults on debt, the insurer must pay all the principal and remaining interests to the lender instead of the borrower. In return for the guarantee, the borrower must allocate a perpetual American call option to purchase a fraction (guarantee cost) of his equity at a given strike price. We find that the investment threshold decreases but the exercise threshold of the insurer’s option increases with the borrower’s bargaining power. Both the investment and exercise threshold increase with debt maturity, but there is a U-shaped relation between the guarantee cost and debt maturity. The borrower postpones investment once the funding gap or project risk increases. The swap may overcome the inefficiencies from asset substitution and debt overhang, strongly depending on the debt maturity and borrower’s bargaining power.
      PubDate: 2017-05-18
      DOI: 10.1007/s10436-017-0298-8
       
  • Novel advancements in the Markov chain stock model: analysis and inference
    • Authors: Vlad Stefan Barbu; Guglielmo D’Amico; Riccardo De Blasis
      Abstract: In this paper we propose further advancements in the Markov chain stock model. First, we provide a formula for the second order moment of the fundamental price process with transversality conditions that avoid the presence of speculative bubbles. Second, we assume that the process of the dividend growth is governed by a finite state discrete time Markov chain and, under this hypothesis, we are able to compute the moments of the price process. We impose assumptions on the dividend growth process that guarantee finiteness of price and risk and the fulfilment of the transversality conditions. Subsequently, we develop non parametric statistical techniques for the inferential analysis of the model. We propose estimators of price, risk and forecasted prices and for each estimator we demonstrate that they are strongly consistent and that properly centralized and normalized they converge in distribution to normal random variables, then we give also the interval estimators. An application that demonstrate the practical implementation of methods and results to real dividend data concludes the paper.
      PubDate: 2017-04-29
      DOI: 10.1007/s10436-017-0297-9
       
  • The determinants of MFIs’ social and financial performances in
           sub-Saharan Africa: has mission drift occurred?
    • Authors: Wassini Arrassen
      Abstract: This paper studies the determinants of microfinance institutions’ (MFIs) financial performance (FP: self-sustainability and profitability) and social performance (SP: depth of outreach), and examine the FP/SP tradeoffs they face. Based on a sample of 120 MFIs over the period 2000–2009, we use the random effects method to isolate the effect of fixed-time factors such as loan lending technique, legal status and location (sub-region) on MFIs’ behavior. We find that financial expenses, wages and portfolio quality, mainly influence MFIs’ financial performance whereas social performance is mostly influenced by lending methodology and institutional form, and to a lesser extent by location. The analysis of FP–SP shows that mission drift is a concern primarily for banks, mutual/cooperatives and individual lenders. The results question the trend toward microfinance commercialization since it weakens outreach without improving significantly self-sustainability and profitability.
      PubDate: 2017-04-11
      DOI: 10.1007/s10436-017-0296-x
       
  • Optimal mean-reverting spread trading: nonlinear integral equation
           approach
    • Authors: Yerkin Kitapbayev; Tim Leung
      Abstract: We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein–Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. the trader can enter into the spread by taking either long or short position. In each of these cases, we solve an optimal double stopping problem to determine the optimal timing for starting and subsequently closing the position. We utilize the local time-space calculus of Peskir (J Theor Probab 18:499–535, 2005a) and derive the nonlinear integral equations of Volterra-type that uniquely characterize the boundaries associated with the optimal timing decisions in all three problems. These integral equations are used to numerically compute the optimal boundaries.
      PubDate: 2017-03-25
      DOI: 10.1007/s10436-017-0295-y
       
  • Systemic risk measures and macroprudential stress tests: an assessment
           over the 2014 EBA exercise
    • Authors: Chiara Pederzoli; Costanza Torricelli
      Abstract: Regulators’ stress tests on banks further stimulated an academic debate over systemic risk measures and their predictive content. Focusing on marked based measures, Acharya et al. (Rev Financ Stud 30(1):2–47, 2017) provide a theoretical background to use marginal expected shortfall (MES) for predicting the stress test results, and verify it on the 2009 Supervisory Capital Assessment Program of the US banking system. The aim of this paper is to further test the goodness of MES as a predictive measure, by analysing it in relation to the results of the 2014 European stress tests exercise conducted by the European Banking Authority. Our results underscore the importance of choosing the appropriate index to capture the systemic distress event. In fact MES based on a global market index does not show association with the stress test results, in contrast to Financial MES, which is based on a financial market index, and has a significant information and predictive power.
      PubDate: 2017-03-21
      DOI: 10.1007/s10436-017-0294-z
       
  • Financial market globalization, nonconvergence and credit cycles
    • Authors: Wai-Hong Ho
      Abstract: This paper explores the dynamic consequences of variable investment-project size in a global economy consisting of many small open countries that are plagued with domestic credit market frictions. As is customary in the literature, borrowers provide some internal funds, but they also need external funds to implement their investment projects, which are subject to the costly-state-verification problem. Contrary to the literature, the investment-project size increases with the country’s own capital stock. We find that financial market globalization may lead to a process of oscillatory convergence, even in the absence of any exogenous shocks, if the investment-project size is very sensitive to the change in capital stock.
      PubDate: 2017-02-09
      DOI: 10.1007/s10436-017-0293-0
       
 
 
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