Organisation : Université / Administration centrale et Rectorat
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Events
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
En savoir plusAbstractThis paper studies the dynamic interaction between the netpositions of commercial hedgers and non-commercialspeculators and risk premiums in commodity futures markets.Short-term position changes are mainly driven by the liquiditydemands of non-commercial traders, while long-term variationis primarily driven by the hedging demands from commercialtraders. These two components influence expected futuresreturns with opposite signs. The gains from…
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Events
PhD Defense: Engineering Smart Software Services for Intelligent Pervasive Systems
En savoir plusPhd Supervisor: Yves LE TRAON
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Events
PhD Defense: Systems Biology Approaches for Identification of Molecular Mechanisms in Brain Disorders
En savoir plusPhd Supervisor: Reinhard SCHNEIDER
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Events
PhD Defense: StreaM – Standardisierte unternehmensübergreifende Wertstrommethode
En savoir plusPhd Supervisor: Peter PLAPPER
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Events
Arbitrage Free Dispersion
En savoir plusAbstractWe develop a theory of arbitrage-free dispersion (AFD) thatcharacterizes the testable restrictions of asset pricing models.AFD measures Jensen’s gap in the cumulant generating functionof pricing kernels and returns. It implies a wide family of modelfreedispersion constraints, which extend dispersion and codispersionbounds in the literature and are applicable with aunifying approach in multivariate and multiperiod settings.Empirically,…
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Events
Research Seminar – On Data-Selective Adaptive Filtering
En savoir plusThe current trend of acquiring data pervasively calls for some data-selection strategy, particularly in the case a subset of the data does not bring enough innovation. As a byproduct, in addition to reducing power consumption and some computation, the discarding of data results in more accurate parameter estimation. In many practical situations, it is possible…
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News
Rapport d’activités de l’UniGR 2017-2018
En savoir plusEn coopération avec les universités de Liège, Lorraine, Kaiserslautern, Sarre et Trèves, l’Université du Luxembourg contribue à la création d’un espace intégré d’enseignement supérieur et de recherche, ainsi qu’au renforcement de la compétitivité de la Grande Région grâce à la mutualisation des potentiels scientifiques.
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Events
Research Seminar – Blockchain Won’t Kill the Banks: The Case of International Trade Finance
En savoir plusIn research and practice, we observe two main directions of organizations applying blockchain: First, organizations use blockchain for optimizing existing processes (blockchain-based business process optimization – B3PO). Second, organizations use blockchain to disrupt existing processes, foster disintermediation, and enable disruptive business models (blockchain-based business process reengineering – B3PRE). Although blockchain currently pushes into the market…