Monday, July 14, 2014

MoneyScience News

MoneyScience News


Published / Preprint: Protecting whistle-blowers in the UK financial industry

Posted: 14 Jul 2014 04:05 AM PDT



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Published / Preprint: South Korea's efforts for structural changes in corporate governance of large Korean business groups after the Asian financial crisis

Posted: 14 Jul 2014 04:05 AM PDT



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Published / Preprint: Corporate governance, firm performance and complementarities in a developed market: A study of the Australian case for the period 2000â2003

Posted: 14 Jul 2014 04:05 AM PDT



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Published / Preprint: Materiality disclosure and litigation risks: A Canadian perspective

Posted: 14 Jul 2014 04:05 AM PDT



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Published / Preprint: Portfolio optimization in the case of an asset with a given liquidation time distribution. (arXiv:1407.3154v1 [q-fin.PM])

Posted: 14 Jul 2014 03:50 AM PDT

Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his portfolio instantly and waits for a more favorable offer. To minimize losses in this case we need to develop new methods. One of the steps moving the theory towards...

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Published / Preprint: Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index). (arXiv:1407.3180v1 [physics.soc-ph])

Posted: 14 Jul 2014 03:50 AM PDT

In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({\em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of evolutive Kendall's coefficient for a series of partial rankings. The theoretical framework consists of a four-layer multiplex network. Regarding the treatment of...

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Published / Preprint: CVA under Partial Risk Warehousing and Tax Implications. (arXiv:1407.3201v1 [q-fin.PR])

Posted: 14 Jul 2014 03:50 AM PDT

Given the limited CDS market it is inevitable that CVA desks will partially warehouse credit risk. Thus realistic CVA pricing must include both warehoused and hedged risks. Furthermore, warehoused risks may produce profits and losses which will be taxable. Paying for capital use, will also generate potentially taxable profits with which to pay shareholder dividends. Here we extend...

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Blog Post: TheAlephBlog: Aiming for Transparency

Posted: 14 Jul 2014 03:50 AM PDT

Here’s another letter from a reader:read more...

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Blog Post: ThePracticalQuant: Databricks Cloud makes it easier to build Data Products

Posted: 14 Jul 2014 03:50 AM PDT

Here is a link to Ali Ghodsi's talk and demo that took the Spark Summit by storm. The demo really captures the power of Databricks Cloud: complex, high-performance, big data analytics at massive scale, accessible to anyone who can write simple scripts (currently supports SQL, Python, Scala). The demo culminates when Ali shows how easy it is to build a dashboard, that uses streaming data...

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Practice may not make perfect

Posted: 14 Jul 2014 01:30 AM PDT

The Economist | Genetics and music: Practice may not make perfect http://t.co/uTyL184otQ — Greg B Davies (@GregBDavies) July 14, 2014

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Vendor News: July 14, 2014 - SS&C GlobeOp Hedge Fund Performance Index: June performance 1.16%; Capital Movement Index: July net flows decline 1.77%

Posted: 14 Jul 2014 01:07 AM PDT

The Epic Story Of How A 'Genius' Hedge Fund Almost Caused A Global Financial Meltdown

Posted: 14 Jul 2014 01:00 AM PDT

The Fall Of Long-Term Capital Management. The LTCM story has long been a cautionary tale - http://t.co/K6zMtMIkds — moneyscience (@moneyscience) July 14, 2014

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The 1% of scientific publishing

Posted: 14 Jul 2014 01:00 AM PDT

The 1% of scientific publishing http://t.co/LtLoxVaFV7 — moneyscience (@moneyscience) July 14, 2014

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Victor Ricciardi talks about his book Investor Behavior: The Psychology of Financial Planning and Investing - MoneyScience's blog - MoneyScience

Posted: 13 Jul 2014 12:56 PM PDT

Victor Ricciardi talks about Investor Behavior - MoneyScience's blog - MoneyScience http://t.co/7wSZLLRlMw @moneyscience — Behavioral Finance…

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