Thorsten Hens, Marc Rieger, Mei Wang, How Time Preferences Differ: Evidence from 45 Countries, In: Swiss Finance Institute Research Paper, No. 09-47, 2009. (Working Paper)
We present results from the first large-scale international survey on time discounting, conducted in 45 countries. Cross-country variation cannot simply be explained by economic variables such as interest rates or inflation. In particular, we find strong evidence for cultural differences, as measured by the Hofstede cultural dimensions. For example, high levels of Uncertainty Avoidance or Individualism are both associated with strong hyperbolic discounting. Moreover, as application of our data, we find evidence for an impact of time preferences on the capability of technological innovations in a country and on environmental protection. |
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Thorsten Hens, Klaus Reiner Schenk-Hoppé, Igor V Evstigneev, Evolutionary Finance, In: Handbook of Financial Markets : Dynamics and Evolution, Elsevier (North-Holland), Amsterdam, p. 507 - 566, 2009. (Book Chapter)
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Ulrike Malmendier, Roman Law and the Law-and-Finance Debate, In: Festschrift für Rolf Knütel zum 70. Geburtstag, C.F. Müller Verlag, Heidelberg, p. 719 - 736, 2009. (Book Chapter)
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Ramazan Gençay, Ulrich A Müller, Michel Dacorogna, Richard Olsen, Olivier Pictet, An Introduction to High-Frequency Finance, Academic Press, San Diego, USA, 2009. (Book/Research Monograph)
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets. |
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Matteo Bonato, Massimiliano Caporin, Angelo Ranaldo, Forecasting realized (co)variances with a block structure Wishart autoregressive model, In: Swiss National Bank, No. 13, 2009. (Working Paper)
In modelling and forecasting volatility, two main trade-offs emerge: mathematical tractability versus economic interpretation and accuracy versus speed. The authors attempt to reconcile, at least partially, both trade-offs. The former trade-off is crucial for many financial applications, including portfolio and risk management. The speed/accuracy trade-off is becoming more and more relevant in an environment of large portfolios, prolonged periods of high volatility (as in the current financial crisis), and the burgeoning phenomenon of algorithmic trading in which computer-based trading rules are automatically implemented. The increased availability of high-frequency data provides new tools for forecasting variances and covariances between assets. However, there is scant literature on forecasting more than one realised volatility. Following Gourieroux, Jasiak and Sufana (Journal of Econometrics, forthcoming), the authors propose a methodology to model and forecast realised covariances without any restriction on the parameters while maintaining economic interpretability. An empirical application based on variance forecasting and risk evaluation of a portfolio of two US treasury bills and two exchange rates is presented. The authors compare their model with several alternative specifications proposed in the literature. Empirical findings suggest that the model can be efficiently used in large portfolios. |
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Jürg Syz, Raphael Camp, Regelungsdefizite bei strukturierten Produkten in der gebundenen Vorsorge 3a, Schweizerische Zeitschrift für Sozialversicherung und berufliche Vorsorge, Vol. 53 (2), 2009. (Journal Article)
Lors des dernières années, «le pilier 3a» s’est érigé un moyen des plus importants pour l’épargne des investisseurs privés. Les produits structurés permettent de reproduire les besoins des investisseurs. Mais les conditions d’admissibilité des produits structurés sont formulées de façon trop générale. Des dispositions plus précises sont nécessaires. Cependant, cette insécurité juridique nuit à la sécurité du droit. Elle a empêché jusqu’ici la proposition plus étendue des produits structurés. Il est indispensable que les adaptations légales des OPP, qui seront nécessaires, évitent de contrevenir à l’innovation de produits du secteur des finances et que ces adaptations augmentent la sécurité du droit. |
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Jürg Syz, Hedging Housing Risk, In: Housing: Socioeconomic, Availability, and Development Issues, Nova Science Publishers, New York, p. 175 - 184, 2009. (Book Chapter)
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Carmen Tanner, Daniel Hausmann, Wie wertvoll ist das Bankgeheimnis für Schweizerinnen und Schweizer?, 2009. (Studies and Reports Commissionned)
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Carmen Tanner, Bettina Ryf, Martin Hanselmann, Geschützte Werte Skala (GWS): Konstruktion und Validierung eines Messinstrumentes , Diagnostica, Vol. 55 (3), 2009. (Journal Article)
Sacred values (or protected values) (in German: Geschützte Werte, GW) are values that a community treat as absolute, not tradable and exchangeable for other values. To date, no reliable and valid measure of sacred values has been developed. The research presented here was therefore designed to develop a measure of sacred values (German title: Geschützte Werte Skala, GWS) and to provide preliminary tests. Study 1 examined the reliability and validity of the GWS and revealed satisfactory results. In terms of discriminant validity, the results suggest that GW has to be distinguished from attitude importance. Examining various group differences also supported the validity of the scales. In Study 2, a comparison between two extreme groups (proponents and opponents of gene technology) was conducted. These results provided additional evidence for the validity and conceptual differentiation between GW and attitude importance.
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Carmen Tanner, To Act or Not to Act: Nonconsequentialism in Environmental Decision-Making, Ethics & Behavior, Vol. 19 (6), 2009. (Journal Article)
Research on environmental-decision making is usually based on utilitarian models, which imply that
people’s decisions are only influenced by the outcomes. This research provides evidence for values
and moral positions that reflect nonconsequentialist rather than consequentialist views. In doing this,
this article refers to “sacred values,” which are values that are seen as not-substitutable and nontradable.
Two studies were designed to examine evidence for sacred values and their role on act versus
omission choices within the environmental domain. The studies revealed that sacred values were
closely associated with preferences for actions, trade-off reluctance, deontological focus, and position
of moral universalism. The results suggest that it is important to account for sacred values and
nonconsequentialist views in environmental decision-making research. |
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Enrico De Giorgi, Thorsten Hens, Prospect theory and mean-variance analysis: Does it make a difference in wealth management?, Investment Management and Financial Innovations, Vol. 6 (1), 2009. (Journal Article)
We show that prospect theory is a valuable paradigm for wealth management. It describes well how investors perceive
risk and with appropriate modeling it can be made consistent with rational decision making. Moreover, it can be
represented in a simple reward-risk diagram so that the main ideas are easily communicated to clients. Finally, we
show on data from a large set of private clients that there are considerable monetary gains from introducing prospect
theory instead of mean-variance analysis into the client advisory process. |
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Kremena Bachmann, Peter Woehrmann, Optimal Guidance by Central Banks, In: NCCR, No. 242, 2009. (Working Paper)
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Thorsten Hens, Wann sich die Rettung einer Bank lohnt, In: Schweizer Bank, 12, p. 18, 2 December 2008. (Newspaper Article)
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Thorsten Hens, Kremena Bachmann, Behavioural finance for private banking, John Wiley & Sons, Chichester, 2008-12. (Book/Research Monograph)
A complete framework for applications of behavioral finance in private banking, Behavioural Finance for Private Banking considers client needs specific to private banking like personal circumstances, objectives, and attitude to risk. This book includes the theoretical foundations of investment decision-making, an introduction to behavioral biases, an explanation of cultural differences in global business, a guide to asset allocation over the life cycle of the investment, and several case studies to illustrate how can be applied. A must-read for anyone in private banking, this book demonstrates how to satisfy client needs. |
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Jürg Syz, Property Derivatives: A Revolution for Investors?, In: 3rd Annual Meeting of the Swiss Finance Institute. 2008. (Conference Presentation)
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Ramazan Gençay, When do informed traders arrive in FX markets?, In: 2008 Latin American Meeting of the Econometric Society. 2008. (Conference Presentation)
This article examines the implications of the existence of private information in the spot foreign
exchange market. Our framework is a high-frequency version of a structural microstructure
trade model that measures the market maker’s beliefs directly. We find that the underpinnings
for the time-varying pattern of the probability of informed trading are rooted in the strategic
arrival of informed traders on a particular hour-of-day, day-of-week, and geographic location
(market). Specifically, we document that informed traders not only pick the low activity hours,
but also attach the largest market weight to a particular market. The distributions of the
estimated arrival rates confirm the commitment of the informed traders to strategic trading
activities. In our framework, we acknowledge that an expected loss of informed trading to the
market maker is a function of both the probability of informed trading and its likely impact on
the price. The impact of the uninformed traders’ arrival on the daily foreign exchange price
volatility is about twice the magnitude of the one for informed traders. These effects are in
stark contrast to the findings from the hourly data that indicate dominance of informed traders.
Finally, the results relate the informational content of trading to the trade size and suggest
that the probability of the informed large trading is significantly higher than the probability of
uninformed large trading. |
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Thomas Rosenberger, Entwicklung in Immobilien Derivativen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis)
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Enrico De Giorgi, Stefan Reimann, The α-beauty contest: Choosing numbers, thinking intervals, Games and Economic Behavior, Vol. 64 (2), 2008. (Journal Article)
We present a model for the ?-beauty contest that explains common patterns in experimental data of one-shot and iterative games. The approach is based on two basic assumptions. First, players iteratively update their recent guesses. Second, players estimate intervals rather than exact numbers to cope with incomplete knowledge of other players' rationality. Under these assumptions we extend the cognitive hierarchy model of Camerer et al. [Camerer, C., Ho, T., Chong, J., 2003b. A cognitive hierarchy model of one-shot games. Quart. J. Econ. 119, 861–898]. The extended model is estimated on experimental data from a newspaper experiment. |
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Thorsten Hens, Was lernt die Lehre aus der Finanzmarktkrise?, In: Neue Zürcher Zeitung, Sonder, p. SB 27, 29 October 2008. (Newspaper Article)
Die weltweite Finanzkrise hat die Frage aufgebracht, in welche
Richtung die Finance-Theorie weiterentwickelt werden soll,
nachdem einige Ansätze offensichtlich in die Sackgasse geführt
haben. Im folgenden Text fasst ein Finance-Wissenschafter, der
an vorderster «Forschungsfront» tätig ist, erste Erkenntnisse für die Lehre zusammen. |
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David Vonplon, Thorsten Hens, Auf keinen Fall in Aktionismus verfallen, In: Tages Anzeiger, 9 October 2008. (Media Coverage)
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