Financial markets

• Original research

The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence

This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.

• 30 May 2018

• Original research

When do central counterparties enhance market stability?

This paper examines the impact of market structure and payment assumptions on the fragility of various networks.

• 13 Feb 2018

• Original research

Central counterparty resolution: an unresolved problem

This paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.

• 08 Feb 2018

• Original research

Ranking the economic importance of countries and industries

The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.

• 10 Oct 2017

• Original research

Networks and lending conditions: empirical evidence from the Swiss franc money markets

In this paper, the author provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their effect on overall market conditions.

• 04 Jul 2017

• Original research

Statistical testing of DeMark technical indicators on commodity futures

This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.

• 20 Jun 2017

• Original research

Quantifying the diversity of news around stock market moves

In this paper, the authors use a topic-modeling approach to quantify the changing attentions of a major news outlet, the Financial Times, to issues of interest.

• 22 Mar 2017

• Original research

Granularity, a blessing in disguise: transaction cycles within real-time gross settlement systems

The authors of this paper take us into the world of granular time series data.

• 20 Dec 2016

• Original research

A multilayer model of order book dynamics

This paper presents a two-layer order book model.

• 06 Oct 2016

• Original research

A network-based method for visual identification of systemic risks

This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.

• 13 Apr 2016

• Risk management

LIBOR manipulation: operational risks resulting from brokers’ misbehavior

• 30 Mar 2014