BDigital Technology Centre

MSc Eramus Mundus ViBOT

Université de Bourgogne

Universitat de Girona

Heriot-Watt University

Publications

  1.  “Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets,” In Proceedings of Joint Statistical Meeting (JSM) , Business and Economic Statistics Section, Alexandria, VA: American Statistical Association. 673-687  PDF . Featured at http://specials.forbes.com/article/07pE0KA4hG7VB
  2.  “Modeling and Forecasting Imported Japanese Parts Content of US Transplants: An Error Correction and State Space Approach,” Eight International Congress Conference Volume. North American Economics and Finance Association, August 6-8, 1993. (refereed), 1994   PDF
  3.  “Estimating the Security Market Line With Fama-McBeth Regressions,” Journal of Financial Abstracts 1(36), August 1994  PDF
  4.  “Do Public Sector Contacts and Policy Towards Small Firms Matter? Evidence From Women Business Enterprises,” Journal of Financial Abstracts 1(14), May 1994  PDF

SELECT WORKING PAPERS

  1.  “Forecasting The Pricing Kernel of IBNR Claims Development In Property-Casualty Insurance,” Working Paper 2010, SSRN FEN Risk Management eJournal, Vol. 2, No. 88: Jul 16, 2010  PDF
  2. “Asymptotic Theory of Stochastic Choice Functionals for Prospects with Embedded Comonotonic Probability Measures,”  SSRN eLibrary Working Paper 2010,  PDF
  3. “Commutative Prospect Theory and Confident Behaviour under Risk and Uncertainty in Psychological Space,” SSRN eLibrary Working Paper 2012   PDF
  4.  “Canonical Representation Of Option Prices and Greeks with Implications for Market Timing,” SSRN Risk Management eJournal Vol. 2, No. 92, July 22, 2010   PDF  
  5. “A Theory of Asset Pricing and Performance Evaluation for Minority Banks with Implications for Bank Failure Prediction, Compensating Risk, and CAMELS Rating,” SSRN eLibrary Working Paper (November 2010)   PDF
  6. “Positive Jensen-Jarrow Alpha , Active Portfolio Management, and Zero Sets of CAPM” SSRN eLibrary Working Paper (December  2011)  PDF
  7. “The Source of Uncertainty for Probabilistic Preferences Over Gambles ,” SSRN eLibrary Working Paper (December 2011)  PDF
  8.  “Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes” SSRN eLibrary Working Paper (December 2011) PDF.  Featured article at AllAboutAlpha.com “High Frequency Trading Inspires A Formula
  9. “A Note On Confidence Momentum And Term Structure of Confidence with Applications to Financial Markets, SSRN eLibrary Working paper (Feb. 2012) PDF.
  10.   “A Trade Policy Perspective on Import Quotas and the Substitution Effect,” SSRN eLibrary Working Paper,  PDF
  11. "A Regulator’s Exercise of Career Options To Quit and Join A Regulated Firm’s Management with Applications to Financial Institutions," Working paper (with John A. Cole)  PDF
  12. "A Regulator’s Exercise of Career Options To Quit and Join A Regulated Firm’s Management with Applications to Financial Institutions," Slide presentation
  13. "The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities," SSRN eLibrary, Working paper (Oct 2012) PDF
  14. "The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities,"  Slide presentation
  15.  “Group Representations for Decision Making Under Risk and Uncertainty”  PDF

WORK-IN-PROGRESS

  1.  “The Limit Distribution of Confidence in Psychological Space”
  2.  “Market Sentiment and the Limit Distribution of Investors Confidence About Asset Prices”
  3. “The Confidence Matrix Operator”
  4. “Market Neutrality and Asset Pricing with Variance Futures—Volatility Arbitrage”
  5. “Personality Dimensions to Loss Aversion and the Marginal Propensity to Consume,” Working Paper 2011 (Under revision)