J.P. Morgan & Co.

About: J.P. Morgan & Co. is a based out in . It is known for research contribution in the topics: Portfolio & Implied volatility. The organization has 328 authors who have published 436 publications receiving 14291 citations.

Fundamentals of Stream Processing: Application Design, Systems, and Analytics

Abstract: Stream processing is a novel distributed computing paradigm that supports the gathering, processing, and analysis of high-volume, heterogeneous, continuous data streams, to extract insights and actionable results in real time. This comprehensive, hands-on guide combining the fundamental building blocks and emerging research in stream processing is ideal for application designers, system builders, analytic developers, as well as students and researchers in the field. This book introduces the key components of the stream computing paradigm, including the distributed system infrastructure, the programming model, design patterns, and streaming analytics. The explanation of the underlying theoretical principles, illustrative examples and implementations using the IBM InfoSphere Streams SPL language, and real-world case studies provide students and practitioners with a comprehensive understanding of such applications and the middleware that supports them.

Do technical trading rules generate profits? Conclusions from the intra‐day foreign exchange market

Abstract: Several recent studies have demonstrated the profitability of technical analysis by simulating certain trading rules over a very long period of daily foreign exchange rates. In this paper, we use filter rules identified and supplied by technical analysts on the intra-daily foreign exchange market. We provide evidence that, although some profits could be made by following these rules in periods of trends, this was not the case on average. Our results are further strengthened when we incorporate transaction costs. We also simulate some of the rules used in previous studies and show that they would not be profitable when applied to our intra-daily data set. © 1997 John Wiley & Sons, Ltd.

Swings in Commercial and Residential Land Prices in the United States

Abstract: We use a large dataset of land sales dating back to the mid-1990s to construct land price indexes for 23 MSAs in the United States and for the aggregate of those MSAs. The price indexes show a dramatic increase in both commercial and residential land prices over several years prior to their peak in 2006-07 and a steep descent since then. These fluctuations have exceeded those in well-known indexes of home prices and commercial real estate prices. Because those indexes price a bundle of land and structures, this comparison implies that land prices have been more volatile than structures prices over this period. This result is a key element of the land leverage hypothesis, which holds that home prices and commercial property prices will be more volatile, all else equal, in areas where land represents a larger share of real estate value.

Segmentation of the a‐ and b‐share chinese equity markets

Abstract: In this study we use the latent variable asset pricing model to examine the pricing of A and B shares in the Chinese stock markets. The hypothesis tested is whether markets for the A and the B shares of the same companies are segmented. We document only one latent variable in both A- and B-share markets. However, the latent risk premiums for the A and B shares are only weakly correlated, indicating the two-tier markets are loosely related. The weak correlation implies the two markets reflect different fundamental forces. Additional analysis demonstrates that the Shanghai market responds to the Shenzhen market rather than the other way around.

Agency Problems in Public Firms: Evidence from Corporate Jets in Leveraged Buyouts

Abstract: This paper uses novel data to examine the fleets of corporate jets operated by both publicly traded and privately held firms. In the cross-section, firms owned by private equity funds average 40% smaller fleets than observably similar public firms. Similar fleet reductions are observed within firms that undergo leveraged buyouts. Quantile regressions indicate that these results are driven by firms in the upper 30% of the conditional jet distribution. The results thus suggest that executives in a substantial minority of public firms enjoy excessive perquisite and compensation packages.