MoneyScience News |
- Published / Preprint: How news affect the trading behavior of different categories of investors in a financial market
- RT @QFINANCEnews: Hugh Hendry proud to exist outside 'the accepted belief system' http://t.co/Rhct7NUn
- Blog Post: TheFinancialServicesClub: What's banking got to do with The Price of Fish?
- Published / Preprint: Microscopic understanding of heavy-tailed return distributions in an agent-based model
- Published / Preprint: Do arbitrage-free prices come from utility maximization?
- Published / Preprint: How Random are Online Social Interactions?
- RT @GTCost: RT @Alea_: Germany is right to ask for austerity (Edmund Phelps) http://t.co/J04FJScD
- Published / Preprint: Isoelastic Agents and Wealth Updates in Machine Learning Markets
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @ipade
- Blog Post: WealthandCapitalMarketsBlog: 8.21.12: Celent Asia Webinar: Japan's Derivatives Market: Toward Greater Stability and Transparency
- Blog Post: Falkenblog: Low Vol Momentum
- Published / Preprint: Digital double barrier options: Several barrier periods and structure floors. (arXiv:1207.4608v1 [q-fin.PR])
- Published / Preprint: Do arbitrage-free prices come from utility maximization?. (arXiv:1207.4749v1 [q-fin.PM])
- Blog Post: iMFdirect: Mind The Gap: Policies To Jump Start Growth in the U.K.
- Cass's Dubai Centre targets potential entrepreneurs
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @NiemannCapital @coremetrics @InterSystems
- @Cassinthenews: Delegation from Cass Business School visits Dubai International Financial Center http://t.co/RJnENV9u
| Posted: 20 Jul 2012 05:07 AM PDT We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behavior. As endogenous factors we consider returns and volatility, whereas the exogenous factors we use are the total daily number of news and a semantic... Visit MoneyScience for the Complete Article. |
| Posted: 20 Jul 2012 05:07 AM PDT moneyscience: RT @QFINANCEnews: Hugh Hendry proud to exist outside 'the accepted belief system' http://t.co/Rhct7NUn Visit MoneyScience for the Complete Article. |
| Blog Post: TheFinancialServicesClub: What's banking got to do with The Price of Fish? Posted: 20 Jul 2012 05:06 AM PDT Professor Michael Mainelli and Ian Harris (see biogs at end of blog entry) are regular guests of the Financial Services Club, and were invited back to close the London season of meetings with an engaging discussion about the Price of Fish.read more... Visit MoneyScience for the Complete Article. |
| Posted: 20 Jul 2012 04:51 AM PDT The distribution of returns in financial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large price shifts and thereby to these heavy tails. We set up an agent based model to study this issue and, in particular, how the gaps in the order book emerge. The trading mechanism in our model is based on a double-auction... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Do arbitrage-free prices come from utility maximization? Posted: 20 Jul 2012 04:51 AM PDT In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices relative to all initial endowments with finite utility. Visit MoneyScience for the Complete Article. |
| Published / Preprint: How Random are Online Social Interactions? Posted: 20 Jul 2012 04:51 AM PDT The massive amounts of data that social media generates has facilitated the study of online human behavior on a scale unimaginable a few years ago. At the same time, the much discussed apparent randomness with which people interact online makes it appear as if these studies cannot reveal predictive social behaviors that could be used for developing better platforms and services. We use two large... Visit MoneyScience for the Complete Article. |
| RT @GTCost: RT @Alea_: Germany is right to ask for austerity (Edmund Phelps) http://t.co/J04FJScD Posted: 20 Jul 2012 02:29 AM PDT moneyscience: RT @GTCost: RT @Alea_: Germany is right to ask for austerity (Edmund Phelps) http://t.co/J04FJScD Visit MoneyScience for the Complete Article. |
| Published / Preprint: Isoelastic Agents and Wealth Updates in Machine Learning Markets Posted: 20 Jul 2012 02:17 AM PDT Recently, prediction 91f markets have shown considerable promise for developing flexible mechanisms for machine learning. In this paper, agents with isoelastic utilities are considered. It is shown that the costs associated with homogeneous markets of agents with isoelastic utilities produce equilibrium prices corresponding to alpha-mixtures, with a particular form of mixing component relating... Visit MoneyScience for the Complete Article. |
| Posted: 20 Jul 2012 12:27 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @ipade Visit MoneyScience for the Complete Article. |
| Posted: 19 Jul 2012 08:30 PM PDT Celent analyst KyongSun Kongread more... Visit MoneyScience for the Complete Article. |
| Blog Post: Falkenblog: Low Vol Momentum Posted: 19 Jul 2012 08:21 PM PDT So, I was in Boston talking about low volatility to a couple of groups. I met a couple of current practitioners and it is very interesting to hear about the different approaches these guys take. They tend to have very different takes on what is going on, and what investors really care about, and these subtle differences lead to very different portfolios if you are talking about choosing 100... Visit MoneyScience for the Complete Article. |
| Posted: 19 Jul 2012 05:33 PM PDT We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be... Visit MoneyScience for the Complete Article. |
| Posted: 19 Jul 2012 05:33 PM PDT In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices relative to all initial endowments with finite utility. Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: Mind The Gap: Policies To Jump Start Growth in the U.K. Posted: 19 Jul 2012 07:08 AM PDT read more... Visit MoneyScience for the Complete Article. |
| Cass's Dubai Centre targets potential entrepreneurs Posted: 19 Jul 2012 06:58 AM PDT Business School adds Entrepreneurship stream to EMBA programme Visit MoneyScience for the Complete Article. |
| Posted: 19 Jul 2012 05:50 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @NiemannCapital @coremetrics @InterSystems Visit MoneyScience for the Complete Article. |
| Posted: 19 Jul 2012 04:59 AM PDT BusinessSchools: @Cassinthenews: Delegation from Cass Business School visits Dubai International Financial Center http://t.co/RJnENV9u Visit MoneyScience for the Complete Article. |
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