MoneyScience News |
- Blog Post: PatrickBurns: US market portrait 2014 week 22
- Blog Post: WealthandCapitalMarketsBlog: Big Banks' exodus from Commodities
- Blog Post: TheFinancialServicesClub: Amazon vs IBM, Google vs BMW ... digital disrupts everything
- Blog Post: TheAlephBlog: Classic: The Ins and Outs of Stable Value Funds
- Published / Preprint: Mixed Tempered Stable distribution. (arXiv:1405.7603v1 [q-fin.ST])
- Published / Preprint: VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution. (arXiv:1405.7611v1 [q-fin.RM])
- Vendor News: May 28, 2014 - SS&C Technologies Announces Webcast of its â2014 Analyst Dayâ
- Published / Preprint: Option Pricing in a Dynamic Variance-Gamma Model. (arXiv:1405.7342v1 [q-fin.PR])
- Published / Preprint: Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. (arXiv:1405.6111v2 [q-fin.CP] UPDATED)
- Published / Preprint: Agency Conflicts and Cash: Estimates from a Dynamic Model
- Published / Preprint: The Joint Cross Section of Stocks and Options
- Published / Preprint: Shaping Liquidity: On the Causal Effects of Voluntary Disclosure
- Published / Preprint: The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes
- Published / Preprint: 28May/Implementation monitoring for the PFMIs: first update to Level 1 assessment report
- Published / Preprint: On the stationarity of Dynamic Conditional Correlation models. (arXiv:1405.6905v1 [q-fin.MF])
- Published / Preprint: Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series. (arXiv:1405.6990v1 [q-fin.ST])
- Published / Preprint: Networks of Military Alliances, Wars, and International Trade. (arXiv:1405.6400v1 [physics.soc-ph])
- Published / Preprint: Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility. (arXiv:1405.6514v1 [math.PR])
- Sornette vs. Taleb Diametrically Opposite Approaches to Risk & Predictability
- Published / Preprint: Big Data, Socio-Psychological Theory, Algorithmic Text Analysis and Predicting the Michigan Consumer Sentiment Index. (arXiv:1405.5695v1 [q-fin.ST])
- Published / Preprint: Micro and Macro Benefits of Random Investments in Financial Markets. (arXiv:1405.5805v1 [q-fin.GN])
- Published / Preprint: Stationarity of Bivariate Dynamic Contagion Processes. (arXiv:1405.5842v1 [q-fin.MF])
- Blog Post: rob_daly: New Job, Similar Focus
- Published / Preprint: Ten years of dividend yields in Europe: 2000â2009
- Published / Preprint: The impact of fund characteristics on the use of analyst forecasts
- Published / Preprint: The real benchmark of DAX index products and the influence of information dissemination: A natural experiment
- Vendor News: Infosys annual report 2014 available online for ADS holders
- Blog Post: ThePracticalQuant: Welcome to Intelligence Matters
- Blog Post: emotionalfinance: New Personal Finance MOOC
| Blog Post: PatrickBurns: US market portrait 2014 week 22 Posted: 31 May 2014 02:06 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article. |
| Blog Post: WealthandCapitalMarketsBlog: Big Banks' exodus from Commodities Posted: 30 May 2014 08:44 PM PDT Goldman Sachs, Morgan Stanley, Barclays and JP Morgan used to be the biggest traders of commodity among banks. However, this space has witnessed many of the big banks exiting the business line in recent times. JPMorgan recently decided to exit physical commodities trading business by selling its raw-materials trading unit to Mercuria Energy Group Ltd. Morgan Stanley decided to sell its physical... Visit MoneyScience for the Complete Article. |
| Blog Post: TheFinancialServicesClub: Amazon vs IBM, Google vs BMW ... digital disrupts everything Posted: 30 May 2014 02:59 AM PDT I’ve not been surprised by disruptions in industries like music, movies, books and travel. All of these things can be digitised and have been. read more... Visit MoneyScience for the Complete Article. |
| Blog Post: TheAlephBlog: Classic: The Ins and Outs of Stable Value Funds Posted: 30 May 2014 02:59 AM PDT The following article was published at Realmoney.com in 2004. Â Rates were lower then but the issues remain the same.read more... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Mixed Tempered Stable distribution. (arXiv:1405.7603v1 [q-fin.ST]) Posted: 30 May 2014 02:31 AM PDT In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption leaves place to a semi-heavy tailed distribution. We show that, by choosing appropriately the parameters of the distribution and under the concrete specification of the mixing random variable, it is possible to obtain some... Visit MoneyScience for the Complete Article. |
| Posted: 30 May 2014 02:31 AM PDT Historical (Stressed-) Value-at-Risk ((S)VAR), and Expected Shortfall (ES), are widely used risk measures in regulatory capital and Initial Margin, i.e. funding, computations. However, whilst the definitions of VAR and ES are unambiguous, they depend on input distributions that are data-cleaning- and Data-Model-dependent. We quantify the scale of these effects from USD CDS (2004--2014), and from... Visit MoneyScience for the Complete Article. |
| Posted: 29 May 2014 03:39 AM PDT |
| Posted: 29 May 2014 03:19 AM PDT We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is time varying and follows an affine Garch model, trying to capture persistence of volatility shocks and also higher order conditional dynamics in a... Visit MoneyScience for the Complete Article. |
| Posted: 29 May 2014 03:19 AM PDT This paper is a further extension of the method proposed in Itkin, 2014 as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps. First, a second-order operator splitting on financial processes (diffusion and jumps) is applied to these PIDEs. To solve the diffusion equation, we use standard... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Agency Conflicts and Cash: Estimates from a Dynamic Model Posted: 28 May 2014 06:06 AM PDT Which agency problems affect corporate cash policy? To answer this question, we estimate a dynamic model of finance and investment with three mechanisms that misalign managerial and shareholder incentives: limited managerial ownership of the firm, compensation based on firm size, and managerial perquisite consumption. We find that perquisite consumption critically impacts cash policy. Size-based... Visit MoneyScience for the Complete Article. |
| Published / Preprint: The Joint Cross Section of Stocks and Options Posted: 28 May 2014 06:06 AM PDT Stocks with large increases in call (put) implied volatilities over the previous month tend to have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option-implied... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Shaping Liquidity: On the Causal Effects of Voluntary Disclosure Posted: 28 May 2014 06:06 AM PDT Can managers influence the liquidity of their firms’ shares? We use plausibly exogenous variation in the supply of public information to show that firms actively shape their information environments by voluntarily disclosing more information than regulations mandate and that such efforts improve liquidity. Firms respond to an exogenous loss of public information by providing more timely and... Visit MoneyScience for the Complete Article. |
| Posted: 28 May 2014 06:06 AM PDT The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday volatility are reduced by 7%, while aggregate returns are unaffected. Moreover, analysis of return... Visit MoneyScience for the Complete Article. |
| Posted: 28 May 2014 05:15 AM PDT Press release about the CPSS/IOSCO report "Implementation monitoring for the PFMIs: first update to Level 1 assessment report" (BIS Press Release 28 May 2014) Visit MoneyScience for the Complete Article. |
| Posted: 28 May 2014 03:28 AM PDT We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover, we study the existence of their finite moments. Visit MoneyScience for the Complete Article. |
| Posted: 28 May 2014 03:28 AM PDT The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian nature of process and a linear memory measure. We have extended a sense of a Hurst factor by consideration of a phase diffusion power law. It was shown that pre-catastrophic stabilization as an indicator of bifurcation... Visit MoneyScience for the Complete Article. |
| Posted: 27 May 2014 04:48 AM PDT We investigate the role of networks of military alliances in preventing or encouraging wars between groups of countries. A country is vulnerable to attack if some allied group of countries can defeat the defending country and its (remaining) allies based on their collective military strengths. We show that there do not exist any networks which contain no vulnerable countries and that are stable... Visit MoneyScience for the Complete Article. |
| Posted: 27 May 2014 04:48 AM PDT We consider stochastic control systems affected by a fast mean reverting volatility $Y(t)$ driven by a pure jump L\'evy process. Motivated by a large literature on financial models, we assume that $Y(t)$ evolves at a faster time scale $\frac{t}{\varepsilon}$ than the assets, and we study the asymptotics as $\varepsilon\to 0$. This is a singular perturbation problem that we... Visit MoneyScience for the Complete Article. |
| Sornette vs. Taleb Diametrically Opposite Approaches to Risk & Predictability Posted: 24 May 2014 12:37 PM PDT An ETH sponsored meeting and debate between Nassim Taleb and Didier Sornette. Edited to eliminate the parts of the conversation not involving either but otherwise comprehensive.read more... Visit MoneyScience for the Complete Article. |
| Posted: 22 May 2014 05:38 PM PDT We describe an exercise of using Big Data to predict the Michigan Consumer Sentiment Index, a widely used indicator of the state of confidence in the US economy. We carry out the exercise from a pure ex ante perspective. We use the methodology of algorithmic text analysis of an archive of brokers' reports over the period June 2010 through June 2013. The search is directed by... Visit MoneyScience for the Complete Article. |
| Posted: 22 May 2014 05:38 PM PDT In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained about the effectiveness of random strategies of investment, compared with some of the most used trading strategies for forecasting the behavior of real financial... Visit MoneyScience for the Complete Article. |
| Posted: 22 May 2014 05:38 PM PDT The Bivariate Dynamic Contagion Processes (BDCP) are a broad class of bivariate point processes characterized by the intensities as a general class of piecewise deterministic Markov processes. The BDCP describes a rich dynamic structure where the system is under the influence of both external and internal factors modelled by a shot-noise Cox process and a generalized Hawkes process respectively.... Visit MoneyScience for the Complete Article. |
| Blog Post: rob_daly: New Job, Similar Focus Posted: 22 May 2014 12:29 AM PDT New Job, Similar Focusread more... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Ten years of dividend yields in Europe: 2000â2009 Posted: 21 May 2014 11:37 PM PDT Visit MoneyScience for the Complete Article. |
| Published / Preprint: The impact of fund characteristics on the use of analyst forecasts Posted: 21 May 2014 11:37 PM PDT Visit MoneyScience for the Complete Article. |
| Posted: 21 May 2014 11:37 PM PDT Visit MoneyScience for the Complete Article. |
| Vendor News: Infosys annual report 2014 available online for ADS holders Posted: 19 May 2014 05:27 PM PDT Infosys Limited today announced that as in the previous years, it will furnish its annual reports to its ADS holders on its website in lieu of physical distribution. Visit MoneyScience for the Complete Article. |
| Blog Post: ThePracticalQuant: Welcome to Intelligence Matters Posted: 14 May 2014 09:16 PM PDT [A version of this post appears on the O'Reilly Radar blog and Forbes.]Editor's note: this post was co-authored by Ben Lorica and Roger MagoulasToday we're kicking off Intelligence Matters (IM), a new series exploring current issues in artificial intelligence, including the connection between artificial intelligence, human intelligence and the brain. IM offers a thoughtful take on recent... Visit MoneyScience for the Complete Article. |
| Blog Post: emotionalfinance: New Personal Finance MOOC Posted: 13 May 2014 06:55 AM PDT Visit MoneyScience for the Complete Article. |
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