MoneyScience News |
- Blog Post: TheFinancialServicesClub: Real-time means now, and don't you forget it
- Blog Post: TheAlephBlog: On Insurance Investing, Part 3
- Blog Post: Falkenblog: Low Vol Football Betting
- Published / Preprint: Option pricing with market impact and non-linear Black and Scholes pde's. (arXiv:1301.6252v1 [q-fin.PR])
- Published / Preprint: On Possible Influence of Space Weather on Agricultural Markets: Necessary Conditions and Probable Scenarios. (arXiv:1301.6334v1 [physics.ao-ph])
- Published / Preprint: A primer on reflexivity and price dynamics under systemic risk. (arXiv:1301.6415v1 [q-fin.GN])
- Published / Preprint: Stock Price Fluctuations in an Agent-Based Model with Market Liquidity. (arXiv:1301.6468v1 [math.PR])
- Published / Preprint: Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function. (arXiv:1301.6485v1 [q-fin.TR])
- Published / Preprint: Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach. (arXiv:1301.6506v1 [q-fin.ST])
- Published / Preprint: Ab initio analysis of all income society classes in the European Union. (arXiv:1301.6519v1 [q-fin.GN])
- Published / Preprint: On the relation between forecast precision and trading profitability of financial analysts. (arXiv:1301.6638v1 [q-fin.TR])
- Blog Post: iMFdirect: Latvia's Economic Potential: Recovery and Reforms
- Published / Preprint: Credit Market Competition and Liquidity Crises (CEPR DP9311)
- Published / Preprint: Understanding Financial Crises: Causes, Consequences, and Policy Responses (CEPR DP9310)
| Blog Post: TheFinancialServicesClub: Real-time means now, and don't you forget it Posted: 29 Jan 2013 01:46 AM PST I just had a dialogue that was disquieting. I can̢۪t say with whom, but the dialogue was about the impact of real-time on the world of regulation.read more... Visit MoneyScience for the Complete Article. |
| Blog Post: TheAlephBlog: On Insurance Investing, Part 3 Posted: 28 Jan 2013 10:31 PM PST Subtitle: The Value of Momentum and Mean-Reversionread more... Visit MoneyScience for the Complete Article. |
| Blog Post: Falkenblog: Low Vol Football Betting Posted: 28 Jan 2013 06:45 PM PST Analytic Investors has now taken "low volatility" investing to the next level: football (see here, click on NFL Analytic Alphas). That is, real football, with hands, not that sport they show on TV all the time in Europe. Anyway, they find 'low volatility actually helps one bet: Contrary to the zeitgeist, the anomaly attests that higher risk doesn̢۪t necessarily imply higher return. In fact,... Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:35 PM PST We propose a few variations around a simple model in order to take into account the market impact of the option seller when hedging an option. This "retro-action" mechanism turns the linear Black and Scholes PDE into a non-linear one. This model allows also to retrieve some earlier results of \cite{CheriSonTouz}. Numerical simulations are then performed. Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:35 PM PST We present the results of study of a possible relationship between the space weather and terrestrial markets of agricultural products. It is shown that to implement the possible effect of space weather on the terrestrial harvests and prices, a simultaneous fulfillment of three conditions is required: 1) sensitivity of local weather (cloud cover, atmospheric circulation) to the state of space... Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:35 PM PST A simple quantitative example of a reflexive feedback process and the resulting price dynamics after an exogenous price shock to a financial network is presented. Furthermore, an outline of a theory that connects financial reflexivity, which stems from cross-ownership and delayed or incomplete information, and no-arbitrage pricing theory under systemic risk is provided. Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:35 PM PST We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via agents' excess demand functions, and the diffusion approximation approach is applied to characterize the continuous-time limit (as transaction intervals... Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:35 PM PST In this paper, we study an optimal execution problem in the case of uncertainty in market impact to derive a more realistic market model. Our model is a generalized version of that in Kato(2009), where a model of optimal execution with deterministic market impact was formulated. First, we construct a discrete-time model as a value function of an optimal execution problem. We express the market... Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:35 PM PST We study the crash dynamics of the Warsaw Stock Exchange (WSE) by using the Minimal Spanning Tree (MST) networks. We find the transition of the complex network during its evolution from a (hierarchical) power law MST network, representing the stable state of WSE before the recent worldwide financial crash, to a superstar-like (or superhub) MST network of the market decorated by a hierarchy of... Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:35 PM PST We found a unified formula for description of the household incomes of all society classes, for instance, of those of the European Union in year 2007. This formula is a stationary solution of the threshold Fokker-Planck equation (derived from the threshold nonlinear Langevin one). The formula is more general than the well known that of Yakovenko et al. because it satisfactorily describes not only... Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:35 PM PST We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is provided. In particular, closed-form expressions for the probability density function, for the expectation, and, more generally, for moments of all orders are... Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: Latvia's Economic Potential: Recovery and Reforms Posted: 28 Jan 2013 10:45 AM PST read more... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Credit Market Competition and Liquidity Crises (CEPR DP9311) Posted: 28 Jan 2013 05:29 AM PST Credit Market Competition and Liquidity Crises Author(s): Elena Carletti, Agnese Leonello CEPR Discussion Paper Number 9311 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 27/01/2013 Keyword(s): default, Interbank market, price volatility JEL(s): G01, G21 Abstract: We develop a model where... Visit MoneyScience for the Complete Article. |
| Posted: 28 Jan 2013 05:29 AM PST Understanding Financial Crises: Causes, Consequences, and Policy Responses Author(s): Stijn Claessens, Ayhan Kose, Luc Laeven, Fabian Valencia CEPR Discussion Paper Number 9310 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 27/01/2013 Keyword(s): asset price busts, banking crises, credit busts,... Visit MoneyScience for the Complete Article. |
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