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Published / Preprint: A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series. (arXiv:1509.05475v1 [cs.CE]) Posted: 20 Sep 2015 05:36 PM PDT We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights by providing through the data perturbations we propose a multi-view of the assets' clustering behaviour. The perturbation framework is illustrated on an extensive credit default swap time series database available online... Visit MoneyScience for the Complete Article.

Published / Preprint: Stochastic Optimal Growth Model with Risk Sensitive Preferences. (arXiv:1509.05638v1 [q-fin.EC]) Posted: 20 Sep 2015 05:36 PM PDT This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that the agent has risk sensitive preferences in the sense of Hansen and Sargent (1995). Under mild assumptions imposed on the productivity and utility functions we... Visit MoneyScience for the Complete Article.

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