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Abstract

Quantitative finance combines mathematical finance, financial statistics, financial econometrics and empirical finance to provide a solid quantitative foundation for the analysis of financial issues. The purpose of this special issue on -Recent developments in quantitative finance- is to highlight some areas of research in which novel methods in quantitative finance have contributed significantly to the analysis of financial issues, specifically fast methods for large-scale non-elliptical portfolio optimization, the impact of acquisitions on new technology stocks: the Google-Motorola case, the effects of firm characteristics and recognition policy on employee stock options prices after controlling for self-selection, searching for landmines in equity markets, whether CEO incentive pay improves bank performance, using a quantile regression analysis of U.S. commercial banks, testing price pressure, information, feedback trading, and smoothing effects for energy exchange traded funds, actuarial implications of structural changes in El Niño-Southern Oscillation Index dynamics, credit spreads and bankruptcy information from options data, QMLE of a standard exponential ACD model: asymptotic distribution and residual correlation, and using two-part quantile regression to analyze how earnings shocks affect stock repurchases.



Item Type: MPRA Paper -

Original Title: Recent Developments in Quantitative Finance: An Overview-

Language: English-

Keywords: Quantitative finance, Financial econometrics, Empirical finance, Equities, Portfolios, Quantiles-

Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial EconometricsG - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment DecisionsG - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest RatesG - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; MortgagesG - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill-





Author: Chang, Chia-Lin

Source: https://mpra.ub.uni-muenchen.de/58307/







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