Extracting sentiment from text is a hard semantic problem. We develop a methodology for
extracting small investor sentiment from stock message boards. The algorithm comprises …

We test the doubly stochastic assumption under which firms' default times are correlated only
as implied by the correlation of factors determining their default intensities. Using data on …

That information surprises result in discontinuous interest rates is no surprise to participants
in the bond markets. We develop a class of Poisson–Gaussian models of the Fed Funds rate …

Models of financial distress rely primarily on accounting-based information (eg [Altman, E.,
1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. …

This article describes the growing field of financial technology (fintech) and the different
financial paradigms and technologies that support it. Fintech is primarily a disintermediation …

Modern advancements in mathematical analysis, computational hardware and software,
and availability of big data have made possible commoditized machines that can learn to …

In the absence of forward-looking models for recovery rates, market participants tend to use
exogenously assumed constant recovery rates in pricing models. We develop a flexible jump…

Using an effort-sharing framework for VC syndicates, we assess how syndication impacts
investment returns, chances of successful exit, and the time taken to exit. With data from 1980 …

We theorize and confirm a new channel by means of which liquidity costs are embedded in
CDS spreads. We show that credit default swap (CDS) spreads are directly related to equity …

This article examines how consumers process graphical financial information to estimate
risk. We propose that consumers sample the local maxima and minima of a graph to infer the …