This article comes up with an intraday trading strategy under T+1 using Markowitz optimization and Multilayer Perceptron (MLP) with published stock data obtained from the Shenzhen Stock Exchange and Shanghai Stock Exchange. The empirical results reveal the profitability of Markowitz portfolio optimization and validate the intraday stock price prediction using MLP. The findings further combine the Markowitz optimization, an MLP with the trading strategy, to clarify this strategy's feasibility.

This study analyses the actual effect of a representative low-emission zone (LEZ) in terms of shifting vehicle registrations towards alternative fuel technologies and its effectiveness for reducing vehicle fleet CO2 emissions. Vehicle registration data is combined with real life fuel consumption values on individual vehicle model level, and the impact of the LEZ is then determined via an econometric approach. The increase in alternative fuel vehicles (AFV) registration shares due to the LEZ is found to be significant but fosters rather fossil fuel powered AFV and plug-in hybrid electric vehicles than zero emission vehicles. This is reflected in the average CO2 emissions of newly registered vehicles, which do not decrease significantly. In consequence, while the LEZ is an effective measure for stimulating the shift towards low emission vehicles, the support of non-electric AFV as low emission vehicles jeopardizes its effectiveness for decarbonizing the vehicle fleet.

In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Amongst the numerous problems addressed, the optimal execution of large orders is probably the one that has attracted the most research works, mainly in the case of single-asset portfolios. In practice, however, optimal execution problems often involve large portfolios comprising numerous assets, and models should consequently account for risks at the portfolio level. In this paper, we address multi-asset optimal execution in a model where prices have multivariate Ornstein-Uhlenbeck dynamics and where the agent maximizes the expected (exponential) utility of her P\&L. We use the tools of stochastic optimal control and simplify the initial multidimensional Hamilton-Jacobi-Bellman equation into a system of ordinary differential equations (ODEs) involving a Matrix Riccati ODE for which classical existence theorems do not apply. By using \textit{a priori} estimates obtained thanks to optimal control tools, we nevertheless prove an existence and uniqueness result for the latter ODE, and then deduce a verification theorem that provides a rigorous solution to the execution problem. Using numerical methods we eventually illustrate our results and discuss their implications. In particular, we show how our model can be used to build statistical arbitrage strategies.

Government employees in Brazil are granted tenure after three years of taking their entrance exams. Firing a tenured government employee is all but impossible, so tenure is a big perquisite. But exactly how big is it? No one has ever attempted to estimate the monetary equivalent of tenure for Brazilian government workers. We do that in this paper. We use a modified version of the Sharpe ratio to estimate what the risk-adjusted salaries of government workers should be. The difference between actual salary and risk-adjusted salary gives us an estimate of how much tenure is worth for each employee. We find that the median value of tenure is R$ 4517 for federal government employees, R$ 2560 for state government employees, and R$ 672 for municipal government employees.

In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, uncertainty sets, robust optimization approaches, and mathematical formulations. Several open questions and potential future research directions are identified.

We introduce a model of the diffusion of an epidemic with demographically heterogeneous agents interacting socially on a spatially structured network. Contagion-risk averse agents respond behaviorally to the diffusion of the infections by limiting their social interactions. Firms also respond by allowing employees to work remotely, depending on their productivity. The spatial structure induces local herd immunities along socio-demographic dimensions, which significantly affect the dynamics of infections. We study several non-pharmaceutical interventions; e.g., i) lockdown rules, which set thresholds on the spread of the infection for the closing and reopening of economic activities; and ii) selective lockdowns, which restrict social interactions by location (in the network) and by the demographic characteristics of the agents. Substantiating a "Lucas critique" argument, we assess the cost of naive discretionary policies ignoring agents and firms' behavioral responses.

The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate step between the standard Brownian motion (Bm) and the fractional Brownian motion (fBm). The mixed process, a linear combination between a Bm and an independent sfBm, called mixed sub-fractional Brownian motion (msfBm), keeps the features of the sfBm adding the semi-martingale property for H>3/4, is a suitable candidate to use in price fluctuation modeling, in particular for option pricing. In this note, we arrive at the European Call price under the Constant Elasticity of Variance (CEV) model driven by a mixed sub-fractional Brownian motion. Empirical tests show the capacity of the proposed model to capture the temporal structure of option prices across different maturities.

Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have on stock market volatility. The new set of models, called MEM with Asymmetry and Policy effects (MAP), keeps the base volatility dynamics separate from a component reproducing policy effects, with an increase in volatility on announcement days and a decrease unfolding implementation effects. When applied to four Eurozone markets, a Model Confidence Set approach finds a significant improvement of the forecasting power of the proxy after the Expanded Asset Purchase Programme implementation; a multi--step ahead forecasting exercise estimates the duration of the effect, and, by shocking the policy variable, we are able to quantify the reduction in volatility which is more marked for debt--troubled countries.

In India, households' use of primary health-care services presents a puzzle. Even though most private health-care providers have no formal medical qualifications, a significant fraction of households use fee-charging private health-care services, which are not covered by insurance. Although the absence of public health-care providers could partially explain the high use of the private sector, this cannot be the only explanation. The private share of health-care use is even higher in markets where qualified doctors offer free care through public clinics; despite this free service, the majority of health-care visits are made to providers with no formal medical qualifications. This paper examines the reasons for the existence of this puzzle in India. Combining contemporary household-level data with archival records, I examine the aggressive family planning program implemented during the emergency rule in the 1970s and explore whether the coercion, disinformation, and carelessness involved in implementing the program could partly explain the puzzle. Exploiting the timing of the emergency rule, state-level variation in the number of sterilizations, and an instrumental variable approach, I show that the states heavily affected by the sterilization policy have a lower level of public health-care usage today. I demonstrate the mechanism for this practice by showing that the states heavily affected by forced sterilizations have a lower level of confidence in government hospitals and doctors and a higher level of confidence in private hospitals and doctors in providing good treatment.