MoneyScience News

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• Blog Post: TheFinancialServicesClub: Things worth reading: 31st October 2014
• Published / Preprint: Pricing and Hedging Long-Term Options. (arXiv:1410.8160v1 [q-fin.MF])
• Published / Preprint: Efficient price dynamics in a limit order market: an utility indifference approach. (arXiv:1410.8224v1 [q-fin.PR])
• Published / Preprint: Optimal Allocation of Trend Following Strategies. (arXiv:1410.8409v1 [q-fin.PM])
• Published / Preprint: When does the stock market listen to economic news? New evidence from copulas and news wires. (arXiv:1410.8427v1 [q-fin.EC])
• Published / Preprint: The Model Confidence Set package for R. (arXiv:1410.8504v1 [stat.CO])
• Phys.Org Mobile: 255 Terabits/s: Researchers demonstrate record data transmission over new type of fiber
• A closer look at the economics of Ebola
• The top 100 papers

Blog Post: TheFinancialServicesClub: Things worth reading: 31st October 2014 Posted: 31 Oct 2014 01:18 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.

Published / Preprint: Pricing and Hedging Long-Term Options. (arXiv:1410.8160v1 [q-fin.MF]) Posted: 30 Oct 2014 05:34 PM PDT In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by this property. To see this, we use the martingale extraction method through which a pricing operator is transformed into a semigroup operator, which is easier... Visit MoneyScience for the Complete Article.

Published / Preprint: Efficient price dynamics in a limit order market: an utility indifference approach. (arXiv:1410.8224v1 [q-fin.PR]) Posted: 30 Oct 2014 05:34 PM PDT We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the efficient price, that is, the asset price when a representative liquidity demander follows an optimal strategy. We show that a Pareto efficient allocation is... Visit MoneyScience for the Complete Article.

Published / Preprint: Optimal Allocation of Trend Following Strategies. (arXiv:1410.8409v1 [q-fin.PM]) Posted: 30 Oct 2014 05:34 PM PDT We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strategies, we derive analytical formulas for the mean and variance of the portfolio return. We construct then the optimal portfolio that maximizes risk-adjusted return by accounting for inter-asset correlations. The dynamic... Visit MoneyScience for the Complete Article.

Published / Preprint: When does the stock market listen to economic news? New evidence from copulas and news wires. (arXiv:1410.8427v1 [q-fin.EC]) Posted: 30 Oct 2014 05:34 PM PDT We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on the indexing of news wires. We find the impact of economic news on equity returns to be nonlinear and asymmetric. In particular, controlling for economic conditions and surprises associated with releases of economic data, we find that... Visit MoneyScience for the Complete Article.

Published / Preprint: The Model Confidence Set package for R. (arXiv:1410.8504v1 [stat.CO]) Posted: 30 Oct 2014 05:34 PM PDT This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of 'superior' models, where the null hypothesis of Equal Predictive Ability (EPA) is not rejected at a certain confidence level. The EPA statistic tests is calculated for... Visit MoneyScience for the Complete Article.

Phys.Org Mobile: 255 Terabits/s: Researchers demonstrate record data transmission over new type of fiber Posted: 30 Oct 2014 09:33 AM PDT 255 Terabits/s: Researchers demonstrate record data transmission over new type of fiber http://t.co/m8y0ssyujC — moneyscience (@moneyscience) October 28, 2014 Visit MoneyScience for the Complete Article.

A closer look at the economics of Ebola Posted: 30 Oct 2014 02:41 AM PDT "A closer look at the economics of Ebola" http://t.co/5gU6R79BkT — Arthur Charpentier (@freakonometrics) October 30, 2014 Visit MoneyScience for the Complete Article.

The top 100 papers Posted: 30 Oct 2014 01:38 AM PDT The top 100 most highly cited scientific papers of all time: http://t.co/vohP6Pw43Y — moneyscience (@moneyscience) October 30, 2014 Visit MoneyScience for the Complete Article.

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Women's Views on News

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One university taking on harassment Posted: 30 Oct 2014 04:46 AM PDT We Get It – Zero tolerance to sexual harassment at Manchester University. You probably know that sexual harassment can include unwanted groping, pinching or smacking of your body, uninvited kisses or bodily contact – but isn't just physical. Other examples of sexual harassment include wolfwhistling and catcalling, inappropriate sexual comments, and sexually-based insults, jokes, songs or taunts. It can be emotional, verbal, suggestive… Anything that makes someone feel uncomfortable. It can happen on campus, in halls, in bars or nightclubs, on public transport or online in Facebook groups or on Twitter. It can be someone you know well or it could be from somebody completely anonymous. Most people don’t report harassment as they think it’s not serious enough, or they feel embarrassed and ashamed. But students and staff have the right to study, live and socialise in a safe, supportive place and the University of Manchester is now taking all forms of sexual harassment very seriously. You never have to put up with it, and there is now always someone to talk to – click here for information on speaking confidentially to trained Harassment Advisors, as well as to access other support services. And the Students' Union operates a ‘Zero Tolerance to Sexual Harassment’ policy – click here to read it – and is an NUS accredited zero tolerance union: Should you experience sexual harassment on Union premises, please report it to any member of staff who will refer you to the Duty Manager. All of Duty Managers are specially trained and will deal with the situation immediately, and provide you with the support you need. And there is an Advice Service open to all students for confidential support during opening hours. Or if you have been affected by sexual harassment and need someone to talk to you can contact – email – the Women's Officer, Tabz O'Brien-Butcher. The Students' Union also has an active Women's Campaign which all self-identifying women students are able to take part in. And as part of the Women's Campaign, the Union runs a Students Against Sexual Harassment group which is open to all students (including non women) to develop campaigns and tackle sexual harassment on campus and in society. Click here if you want to get involved. Everyone deserves to be part of a learning community that they feel safe and secure in, staff and students alike – and can all play a role in ensuring that University of Manchester is a sexual harassment free zone. So: Think about your actions. Even if you would never knowingly harass someone, anything that creates an intimidating, humiliating or offensive environment, interferes with a student or staff member's learning, working or social surroundings or makes someone feel stressed or anxious is harassment, even if it's unintentional. What one person thinks is harmless 'banter' can have a real impact on many others' enjoyment and safety at University. And no one should have to feel uncomfortable for the sake of a joke. So if you see any form of sexual harassment taking place, and you feel safe to do so, challenge it. Or even if you don't know who was involved, report it. It's important that we know when, where and how sexual harassment takes place so that we can tackle it together. Talk to your mates about sexual harassment. What it is, how it makes people feel and why it's not OK. Encourage them to sign up to the We Get It pledge. Practice a culture of Zero Tolerance in your student societies and sports clubs. The Students' Union has policy on Zero Tolerance to Sexual Harassment, so make sure you've read it and that you're implementing it in your meetings, socials and online spaces. The Union will be running Zero Tolerance training for societies throughout February, so you can sign up. Join the Students Against Sexual Harassment group. And you could also tell the staff at the Union what else they can do to tackle sexual harassment; share your ideas by emailing.

Look at women’s work – and their pay Posted: 30 Oct 2014 03:00 AM PDT Women are still not paid equally for their labour. This week saw the highest recorded figures of women in work since records began in 1971, according to the Office for National Statistics (ONS). The figures say that 67.2 per cent of women are now in work – approximately 14 million women. This represents the smallest gap between employment rates for men and women since the start of the recording period. So what is this women's work? The style of women's work has always been significantly different from that of men, women often due to caring responsibilities are found in jobs at the lower paid end of the spectrum, with part-time hours, less in terms of pension rights and less security. A report published by the TUC back in September 2012 expanded on these well-known truths by stating that the recession impacted on the way that women were working and how content women were with their working life. The report found that women accounted for more than a third of those in self-employment and over half of the increase in self-employment since the recession. The number of women who work part-time but would prefer a full-time job was on the rise, and the numbers who didn't want a full-time job falling. Women make up the majority of underemployed workers – and the number of underemployed women workers has risen by 40 per cent since the start of the recession. Women are still not paid equally for their labour. In August the TUC raised the issue of women workers again, pointing out that the majority of women who work part-time hours actually earn less than the living wage. They pointed to 50 local authority areas where the majority of working women were earning less than the living wage by a pay gap of 34.2 per cent. And it's not just the public sector. The issue of women's pay is notorious. A poll commissioned by a third sector recruitment agency found that on average women fundraisers were paid 12 per cent less than their male counterparts. Estimates from the NCVO that women make up 73 per cent of the fundraising workforce. And then Asda hit the headlines – again – recently with an equal pay claim. Lawyers are currently arguing that although men and women work in different areas of the store their roles were similar enough that they should be paid at the same rate. The law firm representing the women is question said that in the private sector equality for women was still in the 1970s and more claims needed to be made. Frances O'Grady, talking at TUC Women's Conference in March 2014, also had no illusions. "With a record number of women now in work, we're absolutely right to talk about what kind of jobs women are doing," she said. "Research we [at the TUC] are publishing today shows that the best-paid occupations are dominated by men – and often no-go zones for part-time workers – underlining the devastating occupational segregation that continues to scar our labour market. "The upshot is we are simply not being fairly rewarded for the work we do. "Almost a third of us are in low-paid work, nearly double the proportion of men. "Four in ten part-time women earn less than the living wage. "And the gender pay gap costs full-time women over £5,000 a year." So although we are ‘working’ in record numbers we are still doing it for less. And according to the TUC and the private sector law firms we should be shouting about it. Lets hope Made in Dagenham provides the inspiration we all need.

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MoneyScience News

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• Blog Post: TheFinancialServicesClub: Things worth reading: 30th October 2014
• Published / Preprint: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window. (arXiv:1410.7799v1 [stat.CO])
• Published / Preprint: A new multivariate dependence measure based on comonotonicity. (arXiv:1410.7845v1 [q-fin.RM])
• Published / Preprint: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis. (arXiv:1410.7961v1 [q-fin.MF])
• Published / Preprint: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending. (arXiv:1410.8042v1 [q-fin.PM])
• Vendor News: October 29, 2014 - SS&C Technologies Reports Q3 2014 Results
• Blog Post: TheAlephBlog: Redacted Version of the October 2014 FOMC Statement
• Blog Post: iMFdirect: A Downturn Without Layoffs? Reconciling Growth And Labor Markets In Latin America

Blog Post: TheFinancialServicesClub: Things worth reading: 30th October 2014 Posted: 30 Oct 2014 01:08 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.

Published / Preprint: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window. (arXiv:1410.7799v1 [stat.CO]) Posted: 29 Oct 2014 05:38 PM PDT Bayesian model averaging has become a widely used approach to accounting for uncertainty about the structural form of the model generating the data. When data arrive sequentially and the generating model can change over time, Dynamic Model Averaging (DMA) extends model averaging to deal with this situation. Often in macroeconomics, however, many candidate explanatory variables are available and... Visit MoneyScience for the Complete Article.

Published / Preprint: A new multivariate dependence measure based on comonotonicity. (arXiv:1410.7845v1 [q-fin.RM]) Posted: 29 Oct 2014 05:38 PM PDT In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN Bulletin 41 (2011) 191-213) and Dhaene et al. (Journal of Computational and Applied Mathematics 263 (2014) 78-87). Some di?erences and relations between the new dependence measure and other multivariate measures are... Visit MoneyScience for the Complete Article.

Published / Preprint: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis. (arXiv:1410.7961v1 [q-fin.MF]) Posted: 29 Oct 2014 05:38 PM PDT In this dissertation, the main goal is visualisation of financial time series. We expect that visualisation of financial time series will be a useful auxiliary for technical analysis. Firstly, we review the technical analysis methods and test our trading rules, which are built by the essential concepts of technical analysis. Next, we compare the quality of linear principal component analysis and... Visit MoneyScience for the Complete Article.

Published / Preprint: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending. (arXiv:1410.8042v1 [q-fin.PM]) Posted: 29 Oct 2014 05:38 PM PDT In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time points or about the distribution of the asset returns are needed. The problem is stated as a dynamic... Visit MoneyScience for the Complete Article.

Vendor News: October 29, 2014 - SS&C Technologies Reports Q3 2014 Results Posted: 29 Oct 2014 01:08 PM PDT

Blog Post: TheAlephBlog: Redacted Version of the October 2014 FOMC Statement Posted: 29 Oct 2014 12:20 PM PDT Photo Credit: DonkeyHoteyread more... Visit MoneyScience for the Complete Article.

Blog Post: iMFdirect: A Downturn Without Layoffs? Reconciling Growth And Labor Markets In Latin America Posted: 29 Oct 2014 12:08 PM PDT By Bertrand Gruss read more... Visit MoneyScience for the Complete Article.

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