Histoire et recette des mendiants de noël au chocolat noir.

This is just a short excerpt for the about page." href="https://cuixuecan.files.wordpress.com/2016/12/jmp-xuecan-cui.pdf">My JMP Papers (In Progress): News Sentiment and Momentum (with Jun Tu and Liya Chu) In this paper, we take a critical look at the widely used concept in asset pricing and market eciency-return momentum. Consistent with the literature, we nd that signicant momen- tum prot exists only among small stocks but not for large stocks. However, we show that momentum prot is signicant only for those small stocks with high net past news tones while it becomes insignicant for small stocks with low net past news tones. Moreover, we classify news into salient news and non-salient news by checking whether it is associated with large stock return movements (top 20% or bottom 20% daily returns in a given month). We nd that the positive momentum prot among small stock with high past new tone is more persistent following salient news than following non-salient news.   Small Jump Behavior of Levy Processes (with Ales Cerny)By reparametrizing the option pricing problem, we examine the dierence of the small jump behavior in Levy processes and Brownian motion. The simulation results show that within certain observation frequency and time to maturity, one could eectively replace Levy processes with Brownian motion in option pricing models, the results are indistinguishable. This quick estimate would provide signicant advantage in nance practice. Cross-sectional Asset Returns Prediction in Macro Economy (with Lin Gao) We are interested in tracking macro variables from the cross-section of asset returns such as stocks (industry level), bonds, foreign exchange%2#$@Hɱ8La_4hX1-jHU$S AZLx6(v9