MoneyScience News |
- Blog Post: TheFinancialServicesClub: Clearing & Settlement: a coagulation of regulation
- Published / Preprint: Quantifying the influence of scientists and their publications: distinguishing between prestige and popularity
- via @ritholtz - market valuations - Instagram vs The New York Times #tcm http://t.co/vidpxSCS
- Blog Post: PatrickBurns: Inferno-ish R
- Thanks Marco: Third International Workshop on Managing Financial Instability in Capitalist Economies (MAFIN 2012) #tcm http://t.co/2ZVDGzhi
- Great stuff Pat! RT @portfolioprobe: Inferno-ish R http://t.co/iU7KKFds #rstats
- RT @businessschools: @icmacentre: PhD student receives Best Paper Award: Commodity Futures Prices and Forecast Power http://t.co/LUjM5g4H
- Published / Preprint: Cascade Failure in a Phase Model of Power Grids
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @iesebs @ricemba @GIBS_SA
- Published / Preprint: Agent-based simulations of emotion spreading in online social networks
- Blog Post: ThePracticalQuant: Frugal Innovation in India: Aravind + Women in Delhi
- Blog Post: Falkenblog: Experience is an Imperfect Teacher
- Published / Preprint: Collateralized CVA Valuation with Rating Triggers and Credit Migrations. (arXiv:1205.6542v1 [q-fin.PR])
- RT @QFINANCEnews: Why Ireland should vote no to the Fiscal Compact Treaty tomorrow http://t.co/W7qSqq1J
- @icmacentre: PhD student receives Best Paper Award at recent conference http://t.co/kT5Ta4Us
- Blog Post: iMFdirect: The Art of Balance
- MT @hpcnotes: blog by @paul_henning "Familiarity Breeds Complacency" - #Exascale computing & power http://t.co/Nmhb0Rou #tcm
- PhD student receives Best Paper Award at recent conference
- RT @cleverhedge: A cellphone tower has become one of the hottest properties in global finance http://t.co/u8T2vYn3 (via @jasonzweigwsj)
- RT @refereefinance: Paul Krugman at the London School of Economics http://t.co/weFddEo5 @LSENews
- Research Library: Bank of England Financial Stability Paper: The implicit subsidy of banks
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @Interoute @SG_WealthMgmt @MotiveWave
- Published / Preprint: Efficient greek estimation in generic swap-rate market models
- Published / Preprint: Forecasting prices from level-I quotes in the presence of hidden liquidity
- Published / Preprint: Behavioral biases and investor performance
- Published / Preprint: Markets are efficient if and only if P = NP
- Published / Preprint: Binomial options pricing has no closed-form solution
- Published / Preprint: Tweets and peers: defining industry groups and strategic peers based on investor perceptions of stocks on Twitter
- Published / Preprint: A Minute with Emanuel Derman
- RT @sclopit: http://t.co/pVQk6zrz brings you data supply chains for economics, finance. team includes @datamarket
| Blog Post: TheFinancialServicesClub: Clearing & Settlement: a coagulation of regulation Posted: 31 May 2012 03:36 AM PDT Yesterday marked another milestone in the progress of the Clearing & Settlement Working Group (CAS-WG), with our second plenary meeting.read more... Visit MoneyScience for the Complete Article. |
| Posted: 31 May 2012 03:15 AM PDT The number of citations is a widely used metric for evaluating the scientific credit of papers, scientists and journals. However, it so happens that papers with fewer citations from prestigious scientists have a higher influence than papers with more citations. In this paper, we argue that by whom the paper is being cited is of greater significance than merely the number of citations.... Visit MoneyScience for the Complete Article. |
| via @ritholtz - market valuations - Instagram vs The New York Times #tcm http://t.co/vidpxSCS Posted: 31 May 2012 02:45 AM PDT moneyscience: via @ritholtz - market valuations - Instagram vs The New York Times #tcm http://t.co/vidpxSCS Visit MoneyScience for the Complete Article. |
| Blog Post: PatrickBurns: Inferno-ish R Posted: 31 May 2012 02:15 AM PDT CambR was nice enough to invite Markus Gesmann and me to speak at their event on Tuesday.read more... Visit MoneyScience for the Complete Article. |
| Posted: 31 May 2012 02:13 AM PDT moneyscience: Thanks Marco: Third International Workshop on Managing Financial Instability in Capitalist Economies (MAFIN 2012) #tcm http://t.co/2ZVDGzhi Visit MoneyScience for the Complete Article. |
| Great stuff Pat! RT @portfolioprobe: Inferno-ish R http://t.co/iU7KKFds #rstats Posted: 31 May 2012 02:13 AM PDT moneyscience: Great stuff Pat! RT @portfolioprobe: Inferno-ish R http://t.co/iU7KKFds #rstats Visit MoneyScience for the Complete Article. |
| Posted: 31 May 2012 01:53 AM PDT moneyscience: RT @businessschools: @icmacentre: PhD student receives Best Paper Award: Commodity Futures Prices and Forecast Power http://t.co/LUjM5g4H Visit MoneyScience for the Complete Article. |
| Published / Preprint: Cascade Failure in a Phase Model of Power Grids Posted: 31 May 2012 01:53 AM PDT We propose a phase model to study cascade failure in power grids composed of generators and loads. If the power demand is below a critical value, the model system of power grids maintains the standard frequency by feedback control. On the other hand, if the power demand exceeds the critical value, an electric failure occurs via step out (loss of synchronization) or voltage col 563 lapse. The two... Visit MoneyScience for the Complete Article. |
| Posted: 31 May 2012 01:53 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @iesebs @ricemba @GIBS_SA Visit MoneyScience for the Complete Article. |
| Published / Preprint: Agent-based simulations of emotion spreading in online social networks Posted: 31 May 2012 12:30 AM PDT Quantitative analysis of empirical data from online social networks reveals group dynamics in which emotions are involved (\v{S}uvakov et al). Full understanding of the underlying mechanisms, however, remains a challenging task. Using agent-based computer simulations, in this paper we study dynamics of emotional communications in online social networks. The rules that guide how the agents... Visit MoneyScience for the Complete Article. |
| Blog Post: ThePracticalQuant: Frugal Innovation in India: Aravind + Women in Delhi Posted: 30 May 2012 10:41 PM PDT I wanted to share a couple of great segments from Al Jazeera's 101 East: both of these recent segments contain several examples of innovations that would translate in many other countries. Aravind Eye Care in Madurai has been the subject of numerous business school case studies, but if you want an introduction to this amazing organization, the video below is a great place to start. This should be... Visit MoneyScience for the Complete Article. |
| Blog Post: Falkenblog: Experience is an Imperfect Teacher Posted: 30 May 2012 07:03 PM PDT It has been said that good judgement comes from experience, and experience comes from bad judgment. Unfortunately, one doesn't always learn good judgment from experience. From Russ Roberts' interview with Lawrence White over at EconTalk:Lawrence White: I think the idea you referred to earlier of Friedman's, that people have to learn from experience that a certain program of control... Visit MoneyScience for the Complete Article. |
| Posted: 30 May 2012 05:30 PM PDT In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that are subject to rating triggers, between two parties -- an investor and a counterparty. Moreover, we model the margin process as a functional of the credit... Visit MoneyScience for the Complete Article. |
| Posted: 30 May 2012 05:13 PM PDT moneyscience: RT @QFINANCEnews: Why Ireland should vote no to the Fiscal Compact Treaty tomorrow http://t.co/W7qSqq1J Visit MoneyScience for the Complete Article. |
| @icmacentre: PhD student receives Best Paper Award at recent conference http://t.co/kT5Ta4Us Posted: 30 May 2012 03:34 PM PDT BusinessSchools: @icmacentre: PhD student receives Best Paper Award at recent conference http://t.co/kT5Ta4Us Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: The Art of Balance Posted: 30 May 2012 02:22 PM PDT By Anoop Singhread more... Visit MoneyScience for the Complete Article. |
| Posted: 30 May 2012 09:59 AM PDT fin_tech: MT @hpcnotes: blog by @paul_henning "Familiarity Breeds Complacency" - #Exascale computing & power http://t.co/Nmhb0Rou #tcm Visit MoneyScience for the Complete Article. |
| PhD student receives Best Paper Award at recent conference Posted: 30 May 2012 07:25 AM PDT The ICMA Centre is very proud to congratulate PhD student Yingying Wu on her receipt of a Best Paper Award at the 19th Global Finance Conference, taking place at DePaul University in Chicago on May 23-25, 2012.  The prize was awarded for the paper “Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage†(co-authored withContinue reading Visit MoneyScience for the Complete Article. |
| Posted: 30 May 2012 07:14 AM PDT fin_tech: RT @cleverhedge: A cellphone tower has become one of the hottest properties in global finance http://t.co/u8T2vYn3 (via @jasonzweigwsj) Visit MoneyScience for the Complete Article. |
| RT @refereefinance: Paul Krugman at the London School of Economics http://t.co/weFddEo5 @LSENews Posted: 30 May 2012 07:12 AM PDT BusinessSchools: RT @refereefinance: Paul Krugman at the London School of Economics http://t.co/weFddEo5 @LSENews Visit MoneyScience for the Complete Article. |
| Research Library: Bank of England Financial Stability Paper: The implicit subsidy of banks Posted: 30 May 2012 06:52 AM PDT Joseph Noss and Rhiannon Sowerbutts This paper examines the implicit subsidy of UK banks by the government and the associated distortions in the financial system. It explains why the subsidy arises, why it is a public policy concern and explores how it can be quantified. Quantifying the implicit subsidy to banks has generated considerable interest over recent years. The numbers are striking,... Visit MoneyScience for the Complete Article. |
| Posted: 30 May 2012 06:02 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @Interoute @SG_WealthMgmt @MotiveWave Visit MoneyScience for the Complete Article. |
| Published / Preprint: Efficient greek estimation in generic swap-rate market models Posted: 30 May 2012 05:37 AM PDT We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the method to efficiently compute Vegas in those market models.read more... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Forecasting prices from level-I quotes in the presence of hidden liquidity Posted: 30 May 2012 05:37 AM PDT Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al., 2003), we consider a diffusion model for the evolution of the best bid/ask queues. We compute the probability that the next price move is upward, conditional on the best bid/ask sizes, the... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Behavioral biases and investor performance Posted: 30 May 2012 05:37 AM PDT Research indicates that individual investors trade excessively and underperform the market indices, Barber and Odean (2000). The purpose of this paper is to help explain which behavioral biases, if any, can explain this result using a simulation approach. Results indicate that putting too much weight on the current environment, anchoring, is the largest factor in explaining individual investor... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Markets are efficient if and only if P = NP Posted: 30 May 2012 05:37 AM PDT I prove that if markets are efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be verified in polynomial time can also be solved in polynomial time. I also prove the converse by showing how we can “program†the market to solve NP-complete problems. Since P probably does not equal NP,... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Binomial options pricing has no closed-form solution Posted: 30 May 2012 05:37 AM PDT We set a lower bound on the complexity of options pricing formulae in the lattice metric by proving that no general explicit or closed form (hypergeometric) expression for pricing vanilla European call and put options exists when employing the binomial lattice approach. Our proof follows from Gosper's algorithm.read more... Visit MoneyScience for the Complete Article. |
| Posted: 30 May 2012 05:37 AM PDT Delineating industry groups of related firms and identifying strategic peers is important for both financial practitioners and scholars. Our study explores whether the degree to which pairs of companies are associated with each other in an online stock forum is related to the comovement of their stocks. We find that our news-based measure of relatedness can explain stock returns with the same... Visit MoneyScience for the Complete Article. |
| Published / Preprint: A Minute with Emanuel Derman Posted: 30 May 2012 05:37 AM PDT A Minute with Emanuel Dermanread more... Visit MoneyScience for the Complete Article. |
| Posted: 30 May 2012 03:41 AM PDT fin_tech: RT @sclopit: http://t.co/pVQk6zrz brings you data supply chains for economics, finance. team includes @datamarket Visit MoneyScience for the Complete Article. |
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