Forthcoming Articles

The Design of a Central Counterparty

John Chi-Fong Kuong and Vincent Maurin ♦ This article analyzes the optimal allocation of losses via a Central Clearing Counterparty (CCP) in the presence of counterparty risk. A CCP can hedge this risk by mutualizing losses among its members. This…

Speculation with Information Disclosure

Paolo Pasquariello and Yifei Wang ♦ Sophisticated investors frequently choose to publicly disclose private information, a phenomenon inconsistent with most theories of speculation. We propose and test a model to bridge this gap. We show that when a speculator cares…

Media Sentiment and Currency Reversals

Ilias Filippou, Mark P. Taylor, and Zigan Wang ♦ Analyzing 48 foreign exchange (FX) rates and 1.2 million FX-related news articles over a 35 year period, using digital textual analysis, we find that a currency reversal investment strategy that buys (sells) currencies…