MoneyScience News |
- Blog Post: rob_daly: CFTC Heats Up SEF Approvals
- Blog Post: TheFinancialServicesClub: Mobile and cybersecurity: what's the latest (#SIBOS 8)
- Published / Preprint: Taxes and Corporate Policies: Evidence From a Quasi Natural Experiment
- Published / Preprint: When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
- Published / Preprint: Asset Pricing with Dynamic Margin Constraints
- Published / Preprint: A Mean-Variance Benchmark for Intertemporal Portfolio Theory
- Mark Joshi drops first release of Kooderive, an open source library for pricing derivatives using GPUs
- Mark Joshi drops first release of Kooderive, an open source library for pricing derivatives using GPUs
- Blog Post: TheAlephBlog: On Robotic Content
- Published / Preprint: Stopping Financial Avalanches By Random Trading. (arXiv:1309.3639v1 [q-fin.GN])
- Published / Preprint: Asymptotic analysis for Merton's problem with transaction costs in power utility case. (arXiv:1309.3721v1 [q-fin.PM])
- Published / Preprint: Sequential Regression for Optimal Stopping Problems. (arXiv:1309.3832v1 [q-fin.CP])
- Published / Preprint: Futures market efficiency diagnostics via temporal two-point correlations. Russian market case study. (arXiv:1309.3844v1 [q-fin.TR])
- Published / Preprint: Analytical solution for a class of network dynamics with mechanical and financial applications. (arXiv:1309.4050v1 [cond-mat.stat-mech])
- Published / Preprint: A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms. (arXiv:1005.5082v3 [q-fin.PM] UPDATED)
| Blog Post: rob_daly: CFTC Heats Up SEF Approvals Posted: 17 Sep 2013 01:48 PM PDT CFTC Heats Up SEF Approvalsread more... Visit MoneyScience for the Complete Article. |
| Blog Post: TheFinancialServicesClub: Mobile and cybersecurity: what's the latest (#SIBOS 8) Posted: 17 Sep 2013 07:50 AM PDT What an afternoon. It’s all been a bit of a whirlwind and started with an indepth review of cybersecurity practices in banking with:read more... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Taxes and Corporate Policies: Evidence From a Quasi Natural Experiment Posted: 17 Sep 2013 01:07 AM PDT We document important interactions between tax incentives and corporate policies using a “quasi natural experiment†provided by a surprise announcement that imposed corporate taxes on a group of Canadian publicly traded firms. The announcement caused a dramatic decrease in value although prospective tax shields partially offset the losses, adding 4.6% to firm value. In response to changing... Visit MoneyScience for the Complete Article. |
| Posted: 17 Sep 2013 01:07 AM PDT We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. We show that belief disagreement is positively related to (i) the wedge between index and individual volatility risk premia, (ii) the different slope of the smile of index and individual options, and... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Asset Pricing with Dynamic Margin Constraints Posted: 17 Sep 2013 01:06 AM PDT This paper provides a novel theoretical analysis of how endogenous time-varying margin requirements affect capital market equilibrium. I find that margin requirements, when there are no other market frictions, reduce the volatility and correlation of returns as well as the risk-free rate, but increase the market price of risk, the risk premium, and the price of risky assets. Furthermore, margin... Visit MoneyScience for the Complete Article. |
| Published / Preprint: A Mean-Variance Benchmark for Intertemporal Portfolio Theory Posted: 17 Sep 2013 01:06 AM PDT Mean-variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment. This description is useful when returns are not independent over time and investors have non-marketed income. Investors hedge their outside income streams. Then, their optimal payoff is split between an indexed perpetuity â€" the risk-free payoff â€" and a long-run mean-variance... Visit MoneyScience for the Complete Article. |
| Posted: 16 Sep 2013 10:25 PM PDT Mark Joshi writes:read more... Visit MoneyScience for the Complete Article. |
| Posted: 16 Sep 2013 10:19 PM PDT Mark Joshi writes:read more... Visit MoneyScience for the Complete Article. |
| Blog Post: TheAlephBlog: On Robotic Content Posted: 16 Sep 2013 09:49 PM PDT I use Yahoo Finance as a news source for the companies that I track. It is the most comprehensive free news source on the web for corporate news. If you know of a better one, let me know.read more... Visit MoneyScience for the Complete Article. |
| Posted: 16 Sep 2013 05:30 PM PDT Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanches dynamics in financial markets. We consider a community of interacting investors, distributed on a small world network, who bet on the bullish (increasing) or bearish (decreasing) behavior of the market compared to the day before, following... Visit MoneyScience for the Complete Article. |
| Posted: 16 Sep 2013 05:30 PM PDT We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of the fractional power series expansions of the value function and the no-trading... Visit MoneyScience for the Complete Article. |
| Posted: 16 Sep 2013 05:30 PM PDT We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of Longstaff-Schwartz that focuses on approximating the stopping strategy. We reinterpret the corresponding partitions of the state space into the continuation and stopping regions as statistical classification problems... Visit MoneyScience for the Complete Article. |
| Posted: 16 Sep 2013 05:30 PM PDT Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market correlations on the hourly time frame is seen to be significant initially (2009-2011) but gradually goes down, as the erstwhile leader instruments -- crude oil, the... Visit MoneyScience for the Complete Article. |
| Posted: 16 Sep 2013 05:30 PM PDT We consider networks with a specific type of nodes that can have either a discrete or continuous set of states. It is shown that no matter how complex the network is, its dynamical response to arbitrary inputs is defined in a simple way by its response to a monotone input. As illustrative applications, we propose and discuss a quasistatic mechanical model with objects interacting via friction... Visit MoneyScience for the Complete Article. |
| Posted: 16 Sep 2013 05:30 PM PDT In this short report, we discuss how coordinate-wise descent algorithms can be used to solve minimum variance portfolio (MVP) problems in which the portfolio weights are constrained by $l_{q}$ norms, where $1\leq q \leq 2$. A portfolio which weights are regularised by such norms is called a sparse portfolio (Brodie et al.), since these constraints facilitate sparsity (zero components) of... Visit MoneyScience for the Complete Article. |
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