MoneyScience News

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• Published / Preprint: Does Banque de France control inflation and unemployment?. (arXiv:1311.1097v1 [q-fin.GN])
• Published / Preprint: On time scaling of semivariance in a jump-diffusion process. (arXiv:1311.1122v1 [q-fin.ST])
• Published / Preprint: Modeling of Volatility with Non-linear Time Series Model. (arXiv:1311.1154v1 [q-fin.ST])
• Vendor News: November 5, 2013 - SS&C Expands Evansville, Indiana Office Space
• Blog Post: TheFinancialServicesClub: Things worth reading: 5th November 2013
• Published / Preprint: On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory. (arXiv:1311.0354v1 [q-fin.RM])
• Published / Preprint: On Agents and Equilibria. (arXiv:1311.0414v1 [q-fin.GN])
• Published / Preprint: Default Clustering in Large Pools: Large Deviations. (arXiv:1311.0498v1 [math.PR])
• Published / Preprint: Multivariate stochastic volatility modelling using Wishart autoregressive processes. (arXiv:1311.0530v1 [q-fin.CP])
• Published / Preprint: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series. (arXiv:1311.0657v1 [q-fin.ST])
• Published / Preprint: On strong binomial approximation for stochastic processes and applications for financial modelling. (arXiv:1311.0675v1 [q-fin.CP])
• Published / Preprint: Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield. (arXiv:1311.0688v1 [q-fin.PR])
• Vendor News: China Securities banks on Fidessa for international expansion

Published / Preprint: Does Banque de France control inflation and unemployment?. (arXiv:1311.1097v1 [q-fin.GN]) Posted: 05 Nov 2013 05:39 PM PST We re-estimate statistical properties and predictive power of a set of Phillips curves, which are expressed as linear and lagged relationships between the rates of inflation, unemployment, and change in labour force. For France, several relationships were estimated eight years ago. The change rate of labour force was used as a driving force of inflation and unemployment within the Phillips curve... Visit MoneyScience for the Complete Article.

Published / Preprint: On time scaling of semivariance in a jump-diffusion process. (arXiv:1311.1122v1 [q-fin.ST]) Posted: 05 Nov 2013 05:39 PM PST The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular, we derive an exact formula for the semivariance when the volatility is kept constant, explaining how it should be scaled when considering a lower frequency. We... Visit MoneyScience for the Complete Article.

Published / Preprint: Modeling of Volatility with Non-linear Time Series Model. (arXiv:1311.1154v1 [q-fin.ST]) Posted: 05 Nov 2013 05:38 PM PST In this paper nonlinear time series models are used to describe volatility in financial time series data. To describe volatility two of the nonlinear time series are combined into TAR (Threshold Auto-Regressive Model) with AARCH (Asymmetric Auto- Regressive Conditional Heteroskedasticity) error term and its parameter estimation is studied. Visit MoneyScience for the Complete Article.

Vendor News: November 5, 2013 - SS&C Expands Evansville, Indiana Office Space Posted: 05 Nov 2013 06:07 AM PST

Blog Post: TheFinancialServicesClub: Things worth reading: 5th November 2013 Posted: 05 Nov 2013 04:02 AM PST Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.

Published / Preprint: On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory. (arXiv:1311.0354v1 [q-fin.RM]) Posted: 05 Nov 2013 04:02 AM PST In this paper we introduce a new coherent cumulative risk measure on $\mathcal{R}_L^p$, the space of c\`adl\`ag processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive L\'evy process. Moreover, we study the problem of capital allocation in an... Visit MoneyScience for the Complete Article.

Published / Preprint: On Agents and Equilibria. (arXiv:1311.0414v1 [q-fin.GN]) Posted: 05 Nov 2013 04:02 AM PST This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is that "agents" are meta-individual, hierarchically structured objects, that include as irreducible components groupings of different dimensions. We also explore... Visit MoneyScience for the Complete Article.

Published / Preprint: Default Clustering in Large Pools: Large Deviations. (arXiv:1311.0498v1 [math.PR]) Posted: 05 Nov 2013 04:02 AM PST We study large deviations and rare default clustering events in a dynamic large heterogeneous pool of interconnected components. Defaults come as Poisson events and the default intensities of the different components in the system interact through the empirical default rate and via systematic effects that are common to all components. We establish the large deviations principle for the empirical... Visit MoneyScience for the Complete Article.

Published / Preprint: Multivariate stochastic volatility modelling using Wishart autoregressive processes. (arXiv:1311.0530v1 [q-fin.CP]) Posted: 05 Nov 2013 04:02 AM PST A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step procedure is adopted. The first step is the conditional inference on the autoregressive parameters and the second step is the unconditional inference, based on a... Visit MoneyScience for the Complete Article.

Published / Preprint: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series. (arXiv:1311.0657v1 [q-fin.ST]) Posted: 05 Nov 2013 04:02 AM PST In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient $\rho_{DMCA}(\lambda)$ with a moving average window length $\lambda$. We analytically show that the coefficient ranges between -1 and 1 as a standard correlation... Visit MoneyScience for the Complete Article.

Published / Preprint: On strong binomial approximation for stochastic processes and applications for financial modelling. (arXiv:1311.0675v1 [q-fin.CP]) Posted: 05 Nov 2013 04:02 AM PST This paper considers binomial approximation of continuous time stochastic processes. It is shown that, under some mild integrability conditions, a process can be approximated in mean square sense and in other strong metrics by adapted binomial processes, i.e., by processes with fixed size binary increments at sampling points. In addition, possibility of approximation of solutions of stochastic... Visit MoneyScience for the Complete Article.

Published / Preprint: Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield. (arXiv:1311.0688v1 [q-fin.PR]) Posted: 05 Nov 2013 04:02 AM PST We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive matrices. In this setting we find a representation for the long-term yield and investigate the yield's asymptotic behaviour. Visit MoneyScience for the Complete Article.

Vendor News: China Securities banks on Fidessa for international expansion Posted: 21 Oct 2013 12:50 AM PDT

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