Fear Trading

Our trading strategy is inspired from the paper "implied volatility indices as leading indicators of stock index returns?", Giot (2002,[3]). It uses stylized facts observed in stock markets: the so called "leverage effect", the clustering and the mean-reverting behaviour of the implied volatility. Based on S&P100 and VIX data, we show that abnormally high levels of volatility can be used as a trading signals for long traders. A bootstrap procedure confirms the significant returns for the 1986-2003 period.VIX, trading strategy

Analysis of dependencies in low frequency financial data sets

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results indicate that even in a low-frequency framework, the common practice of assuming independence over time should be taken with caution due to the presence of GARCH effects. In addition, extreme co-movements are observed across securities, especially for interest rates.dependencies; low-frequency; monthly; copula; GARCH

Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations

In this article, we propose the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Normal innovations. We sample the parameters joint posterior distribution using the approach suggested by Nakatsuma (1998). As a first step, we fit the model to foreign exchange log-returns time series and compare the Maximum Likelihood and the Bayesian estimates. Next, we illustrate some appealing aspects of the Bayesian approach through interesting probabilistic statements made on the parameters.GARCH model; Bayesian estimation; Markov Chain Monte Carlo

Does the Emperor Have no Clothes? Enforcement of International Laws Protecting the Marine Environment

This article examines existing structures and mechanisms for the enforcement of international environmental laws, particularly international laws that must confront violations on the high seas in order to protect marine organisms. Although the tenor of the present analysis is general, many of the most influential international marine agreements to date are highlighted, including the Third United Nations Conference on the Law of the Sea, the Convention on Future Multilateral Co-Operation in the Northwest Atlantic Fisheries, and the United Nations Agreement on the Conservation and Management of Straddling Fish Stock and Highly Migratory Fish Stock

Court Transparency and the First Amendment

This is a critical time for court transparency because the courts, like so many institutions of government, are in the midst of a transformation from the largely paper-based world of the twentieth century to an interconnected, electronic world where physical and temporal barriers to information are disappearing. Not surprisingly, the shift to electronic access to the courts raises significant privacy concerns. As a result of these and other concerns, a number of courts and legislatures are considering sharply limiting public access to certain court proceedings and records

Beyond the Marketplace of Ideas: Bridging Theory and Doctrine to Promote Self-Governance

This article proceeds in three parts. Part I examines the longstanding debate over the First Amendment’s purpose and explains why the marketplace of ideas theory has come to dominate both judicial and public understanding of the First Amendment’s speech and press clauses. The marketplace theory’s ascendancy, however, has proven to be problematic. It rests on an overly simplified account of public discourse, treating speech as merely a commodity that can be allocated through market-style transactions, and it has come to embody an extreme version of libertarian economic thinking that is undermining the very democratic processes the First Amendment was intended to serve and strengthen. Part II looks beyond the superficial appeal of the marketplace theory to highlight the structural role the First Amendment plays in the American constitutional system. Building on the work of Charles Black, John Hart Ely, Alexander Meiklejohn, and Robert Post, I maintain that whatever else the First Amendment was meant to achieve, a core function of its speech, press, assembly, and petitioning clauses was to ensure that citizens could effectively exercise their right of self-governance. As an increasing number of First Amendment scholars are beginning to recognize, unbridled faith in a supposedly self-correcting speech marketplace is a dangerous foundation for a democracy. Part III considers how the First Amendment can foster self-governance. It lays out three principles that should guide the development of legal doctrines that support an informed and empowered electorate. First, we need to move beyond the idea that the First Amendment’s only function is to enshrine free market ideology. Second, the First Amendment does not bar the government from addressing market failures in the actual markets in which communication takes place, especially when those failures undermine the public’s capacity for self-governance. Third, the capacity for self-governance turns, at least in part, on whether the public has the information it needs to effectively evaluate issues of public policy. Building on this last point, Part III proposes several ways to bridge theory and doctrine to promote self-governance, including using antitrust law to address concentrated economic power in communication markets, expanding and enforcing privacy and consumer protection laws to create more competition among speech platforms, and initiating programs that support journalism and other knowledge institutions within society. It also argues that as an influential participant in public discourse, the government should have an obligation to wield its influence in ways that support self-governance, not undermine it by misleading its citizens or starving them of the information they need. Part III therefore proposes two new rights that should be recognized under the First Amendment: a right not to be lied to by the government when it undermines the public’s capacity for self-governance and a right to information in the government’s possession that can assist the public in its efforts to understand and evaluate issues of public policy