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The following sections are included:IntroductionEconometric Modeling of the Singapore Jet-Fuel and Related Oil DistillatesProxy-HedgingForecasting DensitiesBacktesting Results of Proxy-HedgingConclusionsAppendix AReferences

The aim of this paper is to explore neural network-based modelling strategies for football betting. A neural network model and a challenger model based on a traditional econometric approach introduced by Dixon were estimated on data from five national leagues results including France, Spain, Italy, Germany, England) Our results show that the Neural network-based model has better predictive accuracy compared with the traditional econometric models. Betting strategies were implemented using prediction outputs generated with both econometric and neural networks models. The latter provides with a better return over investment. Nevertheless, both approaches lead to losses in the long run.

This article aims to study the link between Twitter announces and the stock prices of sports companies concerned with class actions. In many instances, news, announces, social media content affects the evolution of stock prices. The study focuses on companies from the sports sector due to their popularity and the consistent number of followers on social networks, which provide a sound basis of analysis, thereby making manipulation through hoaxes more difficult. The study encompasses the causality of tweets' sentiment on stock prices and the event study related to the period of class actions. The results analyze a sample of 7 listed companies in the sports industry.

The aim of this paper is to study the profitability of Bitcoin mining, using the real options theory. The main factors driving the marginal Bitcoin mining profitability are the Bitcoin price, the hash-rate, the predictability of mining difficulty and the hardware efficiency. We propose a real options model that simulates the fundamental mining reward and measures the likelihood of break-even on initial investment and explores also the relationship between the Bitcoin price and the mining difficulty in different economic cycles. Some of our findings questions the rationality of miner’s decisions and attempts to measure their impact on the economics of Bitcoin. Our results show that after the 2017 bubble Bitcoin, miners had an irrational behavior and did not adjust their strategy based on the price levels.

This article aims to study the link between Twitter announces and stock prices of sport companies. Information extraction based on Natural Language Processing (NLP) allows to assess quickly and in a structured manner data from news, tweets, etc. Sentiment analysis provides an additional feature by categorizing the data in various classes (positive or negative sentiments, bullish or bearish market views etc...). In many instances, news, announces, social media content affects the evolution of stock prices. The research focuses on companies in the sport industry due to their popularity and the consistent number of followers on social networks, which provide a sound basis of analysis. The methodology encompasses the causality of tweets on stock price and the event study related to a significant event. The results analyze a sample of 18 listed companies in the sport industry.

The aim of this paper is to explore betting strategies for tennis matches using neural networks. We used public data and we implemented a neural network prediction model, with an accuracy of 85% on the validation and testing sets. Based on the predictive model we tested several investment strategies which incorporates investor's risk profile. The optimal strategy is to place bets on games where our model indicates a high likelihood of victory and an appropriate bookmaker's odds.

The aim of this research is to explore the associated risks with hedging in cryptocurrencies markets. It focuses on finding the most effective proxy hedge instrument for the Bitcoin-USD market. Due to its particularities, this market does not exhibit the same features as traditional financial markets do. In appearance, it seems very related to other altcoins (alternative coins), but in reality, it exhibits unusual volatility clustering effects. This behaviour has a direct impact on the hedging strategies of business exposed to crypto-currencies, including the hedge funds, mining farms or ICO projects. The paper explores the econometric features of Bitcoin and other Altcoins and underlines the need for fat tail distributions and volatility clustering models. Also, it examines the density forecasting capacity of various proxy hedge instruments including Bitcoin, Bitcoin Cash and Ether exchange rates

The aim of this paper is to explore methods of multilingual entity matching. Name matching is currently the main technique used for entity resolution. When dealing with entities having features recorded in different languages and with different alphabets the basic approaches have serious limitation. The basic name matching approach using string comparison metrics is enriched with phonetic rules and with relational information. The results show that the approach using transliteration enhanced by phonetic matching provides with the best performance.

International audience; The aim of this research is to explore the risk associated with hedging in jet fuel markets. It focuses on finding the most effective proxy hedge instrument for the Singapore spot market. Due to its particularities, this market does not exhibit the same features as traditional financial markets do. In appearance, it seems very related to the oil market, but in reality it exhibits insufficient liquidity and shows unusual volatility clustering effects. This behavior has a direct impact on the hedging strategies of refineries, airline companies and jet fuel traders. The paper explores the econometric features of the jet fuel price and underlines the need of fat tail distributions and volatility clustering models. Also, it examines the density forecasting capacity of various proxy hedge instruments including kerosene, crude and gasoil futures. The results show that Singapore Gasoil Futures contract is the best candidate for hedging the Singapore Jet Fuel spot price.

The aim of this paper is to explore methods of multilingual entity matching. Name matching is currently the main technique used for entity resolution. When dealing with entities having features recorded in different languages and with different alphabets the basic approaches have serious limitation. The basic name matching approach using string comparison metrics is enriched with phonetic rules and with relational information. The results show that the approach using transliteration enhanced by phonetic matching provides with the best performance.

The aim of this research is to explore the econometric features of Bitcoin-USD rates. Various non-Gaussian models are fitted to daily returns in order to underline the unique characteristics of Bitcoin when compared to other more traditional currencies. Market efficiency hypothesis is tested further, and the main reasons for breaches in efficiency are discussed. The main goal of the paper is to assess the presence of bubble effects in this market with customized tests able to detect the timing of various bubbles. The results show that the Bitcoin prices had two episodes of rapid inflation in 2014 and 2017.

The aim of this paper is to provide with an accurate estimate of the VAT gap due to shadow economy in the European Union. Shadow economy circumvents the formal taxation system including the VAT. The estimation is based on an econometric model that uses as macro-economic data as drivers for the size of the VAT gap. The model uses as input data the estimates of the size of the shadow economy as measure by Schneider (2016). The results show that the shadow economy generates around 132 billion euros of gap, accounting for 14% of the total European Union collected VAT amount. Countries from Southern and Eastern Europe have the biggest contributions to the VAT loss due to the shadow economy.

PurposeThe purpose of this paper is to recognize the effect of the VAT fraud upon the market prices and to assess the occurrence of money laundering on the carbon emissions market. The paper presents an analytic breakdown of the MTIC pocketed funds and estimates the bearish impact of the VAT trade on the carbon prices. The VAT carousel could also be used for all the steps of money laundering given the lack of control and surveillance of various trading firms.Design/methodology/approachIn a previous work by Frunza and Guégan it was shown that the European carbon market is strongly influenced by fundamentals factors such as oil, energy, gas, coal and equities. Using public market prices and volumes for both futures and spot exchanges, the model allows us to assess and quantify the spread between the observed carbon prices and the theoretical fundamental prices. The dataset analysis reveals that the spot volumes remained abnormally high compared to an empirical economic level, even after the end of the VAT fraud on the organised exchange. These abnormal volumes could be explained by the occurrence of speculative trading linked to the money laundering.FindingsFindings present an analytic breakdown of the MTIC pocketed funds and a bearish impact of 2‐3 euros upon the carbon prices. The paper also explains the origin of a relative persistence of high volumes on the spot market by proposing a model of placement, layering and integration steps on the carbon emissions market, similar to the VAT carousel.Originality/valueThis paper is the first study that quantifies the market manipulation effect due to VAT fraud. The work is also unique as it provides the first estimation of money laundered on the carbon emission market.

The Value Added Tax (VAT) fraud is one of the most endemic economic crimes within the European Union. Its most disruptive form, the Missing Trader Intra-Community (MTIC) scam represents a real threat for the further economic and fiscal integration of the Union. The aim of this paper is to explain the mechanisms and to assess the magnitude of the MTIC fraud based on macroeconomic data. A macroeconomic model using panel regression is developed in order to link the amount of VAT collected across the member countries to their respective trade gaps. Using this model the VAT gap is identified based on the difference between the theoretical VAT and the observed amounts. The results emphasize that the MTIC fraud alone accounts for almost 94 B€ in 2014 across the 28 Union members representing 0.67 % of Union's GDP.

The aim of this work is to use a new modelling technique for CO2 emission prices, in order to estimate the risk associated with a related, structured product. After a short discussion of the specificities of this market, we investigate several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related instruments : the European Union Allowances and the Certified Emission Reductions. We estimate the counterparty risk for this kind of transaction and evaluate the impact of different models on the risk measure and the allocated capital.

Regarding the extensive evolutionary process of human society, especially in the contemporary society context, there are revealed new issues related to the development of social and economic systems, and also the existence of some objective interrelations between them. In particular, we notice the interrelations between the economic growth and the human development, with the highlighting of some objective connections, such as those between the GDP amount, and the magnitude of distribution and redistribution processes in monetary form of GDP (both in the private and the public sectors) and the objective connections between the size of previously mentioned processes and the human development level. At the same time, in the same societal context, constituted as an integral part of the social and economic system, the fiscal subsystem, through its own complex content, needs to be adapted to the requirements of social and economic development, which also implies connecting it with objectives of this evolutionary and embracing process. Based on the previous objective connections, this approach needs to be distinctively conceived and differentiated applied, both in relation to the main structure elements of the fiscal subsystems and the features of social and economic systems. Mostly, in the countries seen as being on the first step of human development level hierarchy, the connecting of fiscal subsystems with the economic and social development goals, is a matter of high interest.

The process of fiscal consolidation, initiated at EU level, since the last decade are a necessity now, the situation is significantly deteriorating for most of the Member States, as a result there is the occurrence and manifestation of economic and financial crisis. Recovery and promote growth, the goal outlined in the new European strategy, is including among the influences or is affected by its implementation, as we show in our analysis. The implications of fiscal consolidation process related to a number of costs and limited, on the one hand, due to the current crisis, and on the other hand, the need rallying Member States wishes strategy pursued by the "Europe 2020". Against this background, our paper aims to highlight possible solutions to the remaining public authorities in implementation of fiscal consolidation. Also, a study compared the economic situation, the level and trend of budget deficit and public debt, in Member States of the European Union in 2007-2010, allowed us to identify and group the Member States according to the constraints on they are subject in the recovering of the situation of public finances.

Our paper suggests, on one hand, a theoretical debate on the justification for state intervention to correct inequalities between members of society (especially on income and wealth) and on the instruments at its disposal to achieve this and their effectiveness in objective. Secondly, our approach aims at a comparative analysis of key indicators to measure the degree of inequality, in a representative number of EU countries and beyond, in the last four decades. Thirdly, but not last, we made a trip on the evolutionary changes and their impact in fiscal plan, to identify the degree in which the taxes, in comparison with other available public tools, succeed to achieve the goal of a more just distribution of income and wealth in society. We find that including for a more just income distribution, in EU, the old member States are grouped in accordance with existing social models, while new member States have migrated in the last decades among groups, in consequence of their transition to market economy. Moreover, our results represent a basis for further and detailed research, at country level, in order to identify particular instruments and their efficiency in correcting economical and social inequalities.

Having the character of exogenous variables under the incidence of the fiscal policies promoted by the groups that hold the power in the state, the fiscal mechanisms influencing the economy stand out by their complex contents, given in principle by the high degree of diversity of the use of fiscal instruments within them. By organizing and adjusting the fiscal flows, in the modern society they are also attributed the capacity of correcting the dysfunctionalities and derangements generated by the manifestation of phenomena with negative impact, including the ones induced by the cyclic character of the economic activity. Their action is essentially comprised in the wider sphere of the use of taxes and public expenses. From this point of view, in the modern society, the diversity manifested as regards the existence of several main variants (types) of the same, among which the ones centered on influencing the demand, is admissible. Particularly, the latter were the ones that - after remaining in the shadow for the last three decades of the past century - found broad applicability in the contemporaneous society. Their objective support was the context of the strong decrease in the aggregate demand and in which some monetary mechanisms froze. In principle, the applicability of the fiscal mechanisms of keynesian type was marked, from one country to another and even in the same county, as shown by the empiric data, by a set of references, which left their mark to different degrees on them, influencing the global economic performances.

French Abstract: Le ratio dette publique / PIB est devenu l’un des principaux criteres d’evaluation des politiques economiques, et le respect d’un plafond de 60%, inscrit dans le Traite de Maastricht, une contrainte imposee a tous les gouvernements europeens. Il est temps de se pencher sur la legitimite economique de ce ratio, dont la signification devient de plus en plus opaque a mesure que les Etats innovent dans le choix des instruments de financement et les modalites de gestion de la dette publique. Sait-on par exemple qu’en Grande-Bretagne, 25% du stock de la dette d’Etat est desormais indexee sur l’inflation, avec en 2014 une emission a 55 ans, de coupon 0.125%, dont la valeur de remboursement sera egale au montant emprunte majore de l’inflation capitalisee sur toute la periode. Un simple petit calcul : un taux d’inflation moyen de 3% conduit a un remboursement egal a 5 fois le capital emprunte, un taux d’inflation de 5% a…15 fois ! Derriere la Grande-Bretagne, les Etats-Unis et la France sont les plus gros emetteurs de dette indexee, le stock de dette adossee a l’inflation representant en France deja 16% de la dette totale. English Abstract: The ratio of public debt to GDP has become one of the main criteria for evaluating economic policies, and compliance with a 60% ceiling, required by the Maastricht Treaty, a constraint imposed on all European governments. It is time to look into the economic legitimacy of this ratio, the meaning of which becomes increasingly opaque as governments innovate in the choice of financing instruments and the modalities of public debt management. Is it known that in Britain, 25% of the stock of government debt is now indexed to inflation, with in 2014 an issue at age 55, coupon 0.125%, the repayment value will be equal to the amount borrowed plus inflation capitalized over the entire period. A simple little calculation: an average inflation rate of 3% leads to a refund equal to 5 times the borrowed capital, an inflation rate of 5% to ... 15 times! Behind Britain, the United States and France are the largest issuers of indexed debt, the stock of debt backed by inflation in France already 16% of the total debt.

The aim of this study is to assess the robustness of a full-fledged, integrated Economic and Monetary Union, under the hypothesis of a foreseeable crisis scenario. An empirical econometric model is designed, which captures from a behavioural perspective the relationship between the characteristics of financial markets, the macroeconomic indicators, and the features of financial institutions within the 28 countries of the European Union. Through stressing the parameters of the model under assumed crisis conditions, we emphasize the major role of an efficiently integrated economic and monetary union in limiting the losses generated during major economic and financial crises. In the eventuality of a new sovereign crisis, an enhanced fiscal coordination amongst the EU countries would generate a crisis cost economy of 85 billion euros, which accounts for 0.65% of the EU GDP. Under the same scenario, a fully functional Banking Union would save 222.3 billion euros, mainly as a result of a more conservative capitalization of the EU financial institutions.

The aim of this work is to bring into perspective new developments in the betting industry. Sports and entertainment betting increase in turnover and complexity over the past five years. With the leverage of communication technology the betting sector became very similar to the financial markets. Bets and particularly sports bets that can be bought and sold in real time are similar to financial derivatives. Thus a betting underwriter is similar to a trading house or investment banking. If the investment industry is very regulated and supervised the betting industry is completely unregulated. Few major cases of financial crime linked to the betting industry were pointed recently by investigators. We emphasize here the main mechanism that use the betting as underlying for financial crime. Match fixing and money laundry are the main fields where the betting industry intersect with crime. We describe here few mechanisms that can generate illicit profits from the betting industry. We will simulate the activity of a 'boiling' room that can manipulate the odds and that can thorough the payment links laundry black proceedings. Finally we will provide with size of the amounts involved in crime and the links with cross-national capital flow

The aim of this work is to focus on the recent allegations of LIBOR rates manipulation. We show clear evidence that the individual contribution of each bank in the LIBOR submission process did not have a relevant impact on the rates level. Only through a synchronized "cartel-type" effort banks were allegedly able to fix the interest rate with a significant difference. For the case of USD LIBOR we developed a factorial modeling that captures the its relationship with US Treasury rates and Credit Default Swap spreads. Under this hypothesis we rebuilt a theoretical LIBOR that can peak 1% above the observed LIBOR during 2008.

The delay in the implementation of Solvency II from January 2013 to 2015, or 2016, reveals many unanswered questions that regulators have concerning the microeconomic and macroeconomic consequences of the new regulatory framework. At the microeconomic level, adding the market risk in the calculation of regulatory capital should naturally lead the insurers to a reallocation of their assets portfolio. The relocation would involve a partial sale of risky securities (i.e. stocks, bonds high duration, securitization) and their replacement with less risky securities. One of the concerns of public authorities is that this tendency related to insurers’ portfolio reallocation may lead to a fall in equity prices and an increase of long term interest rates, thereby having obviously a very unfavorable impact on economic growth in Europe.

Resampling approaches were the first techniques employed to compute a variance for the Gini coefficient. Few authors showed that Gini's coefficient measure can be obtained from a synthetic ordinary linear regression (OLS) based on the data and their ranks, thereby providing also with an exact analytical standard error. We develop these techniques for assessing the quality of credit models and for measuring the confidence interval of Gini coefficient. A special attention is given to low defaults and/or small length datasets and low quality models. In consequence we develop a new sampling-based method (F-Gini) for measuring the standard error of the Gini coefficient more adapted for these situations.

n this paper, we bring a new econometric perspective for CO2 emission prices modelling and we provide with an innovative methodological approach to compute option prices in incomplete markets. We apply our methodology to carbon derivative. We calibrate several Generalized Hyperbolic and GARCH models with various innovations, using the CO2 European Union Allowances (EUA) daily prices from 2005 to 2010. The issue of probability changing is handled with a generalization of Duan's [1995] theoretical concept of local risk neutrality. Thus we use some modellings features under the historical measure to derive a valuation model for options implemented through an empirical martingale correction approach with variance rescaling. We compare this approach, with one followed by Gerber and Siu [1994] using a stochastic discount factor exponential affine and with another one recently developed by Chorro, Guegan and Ielpo [2010] considering a pure empirical martingale correction technique. Option prices computed through different techniques for different maturities and moneyness show promising results for Normal Inverse Gaussian distribution.

The European debate around the taxation on financial transactions does not fit in a genuine theoretical framework, therefore exposing the proposed measures to diverse criticisms. What are the foundations of this particular tax? The law proposal of the European Parliament, published in May 2012, states in its first article that "the starting point of this discussion is to transfer some of the costs of the recent crisis to the financial sector," while mentioning at the end of the same paragraph that its aim is to "create additional revenue to finance both the general budget...and the specific policies, especially those related to sustainable development and the fight against climate change." If the aim is to "punish" the banks, one must be able to identify the operations that led to collective costs, so that they constitute the base for the future tax. To what extent a tax on stock exchange transactions (ie. purchase or sale of shares) it is a legitimate response to the production of negative externalities in the financial system? It could be argued that it is even counterproductive, as it does not distinguish the various motivations of financial transactions. On a theoretical level, the approach based on externalities is very robust and constitutes an indisputable foundation for a new taxation in the financial system.