MoneyScience News |
- Blog Post: TheFinancialServicesClub: Some bankers do have their head in the sand (luckily most don't)
- Vendor News: October 21, 2014 - SS&C GlobeOp Forward Redemption Indicator: October notifications 3.12%
- Published / Preprint: Impact of shadow banks on financial contagion. (arXiv:1410.4847v1 [q-fin.RM])
- Published / Preprint: A polynomial distribution applied to income and wealth distribution. (arXiv:1410.4866v1 [q-fin.GN])
- Published / Preprint: Assessing the Inequalities of Wealth in Regions: the Italian Case. (arXiv:1410.4922v1 [q-fin.EC])
- Published / Preprint: Robust Fundamental Theorem for Continuous Processes. (arXiv:1410.4962v1 [q-fin.MF])
- Published / Preprint: RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy. (arXiv:1410.5068v1 [q-fin.EC])
- Published / Preprint: Portfolio Selection with Multiple Spectral Risk Constraints. (arXiv:1410.5328v1 [q-fin.PM])
- Blog Post: iMFdirect: Banks Should Help, Not Hinder the Economy
- Wells Fargo's fail: employee publicly asks for raise and bank quotes T's & C's - The Financial Services Club's blog - MoneyScience
- European Banks See ECB Exams as Step to Unlocking Lending
- Dirty Development Money
- Published / Preprint: Global Value Trees. (arXiv:1410.4694v1 [q-fin.GN])
- Published / Preprint: Arbitrage free markets geometry. (arXiv:1410.4807v1 [q-fin.MF])
- Responsible Man Sets Aside Small Portion Of Every Paycheck For Bank To Gamble With
- Blog Post: TheAlephBlog: Meeting the 'Bond Kingâ
- Vendor News: Fidessa takes Best Execution Management System crown in Financial News Awards
- algorithm-spotted-ebola-outbreak-9-days-who-announced-it-263875
- Behavioural economics in policymaking: Andrew Leigh
- Consistency of internal risk measure estimates. (arXiv:1410.4382v1 [q-fin.RM]) - Quantitative Finance at arXiv's blog - MoneyScience
- Regret and economic decision-making | vox
- Published / Preprint: Consistency of internal risk measure estimates. (arXiv:1410.4382v1 [q-fin.RM])
- Published / Preprint: An Econophysical dynamic approach of expenditure and income distribution in the UK. (arXiv:1410.3851v1 [q-fin.GN])
- Published / Preprint: An econophysical approach of polynomial distribution applied to income and expenditure. (arXiv:1410.3860v1 [q-fin.GN])
- Published / Preprint: A statistical physics analysis of expenditure in the UK. (arXiv:1410.3865v1 [q-fin.GN])
- Published / Preprint: 15Oct/Recovery of financial market infrastructures, final report issued by CPMI-IOSCO
- Published / Preprint: Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
- Published / Preprint: Window Dressing in Mutual Funds
- Published / Preprint: Trading for Status
- Published / Preprint: Peer Effects in Risk Aversion and Trust
| Posted: 21 Oct 2014 01:18 AM PDT So I just chaired a panel discussion between three global transaction bankers at Eurofinance 2014 in Budapest. The outline of the session was:read more... Visit MoneyScience for the Complete Article. |
| Posted: 21 Oct 2014 01:06 AM PDT |
| Published / Preprint: Impact of shadow banks on financial contagion. (arXiv:1410.4847v1 [q-fin.RM]) Posted: 20 Oct 2014 05:39 PM PDT An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of the following three representative topologies of an interbank loan network between shadow banks and regulated banks. (1) Random mixing network: shadow banks and... Visit MoneyScience for the Complete Article. |
| Posted: 20 Oct 2014 05:39 PM PDT Income and wealth distribution affect stability of a society to a large extent and high inequality affects it negatively. Moreover, in the case of developed countries, recently has been proven that inequality is closely related to all negative phenomena affecting society. So far, Econophysics papers tried to analyse income and wealth distribution by employing distributions such as Fermi-Dirac,... Visit MoneyScience for the Complete Article. |
| Posted: 20 Oct 2014 05:39 PM PDT This paper discusses region wealth size distributions, through their member cities aggregated tax income. As an illustration, the official data of the Italian Ministry of Economics and Finance has been considered, for all Italian municipalities, over the period 2007-2011. Yearly data of the aggregated tax income is transformed into a few indicators: the Gini, Theil, and Herfindahl-Hirschman... Visit MoneyScience for the Complete Article. |
| Posted: 20 Oct 2014 05:39 PM PDT We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first kind is introduced; it postulates that a nonnegative, nonvanishing claim cannot be superhedged for free by using simple trading strategies.... Visit MoneyScience for the Complete Article. |
| Posted: 20 Oct 2014 05:39 PM PDT The paper presents the newly developed dynamic spatial general equilibrium model of European Commission, RHOMOLO. The model incorporates several elements from economic geography in a novel and theoretically consistent way. It describes the location choice of different types of agents and captures the interplay between agglomeration and dispersion forces in determining the spatial equilibrium. The... Visit MoneyScience for the Complete Article. |
| Posted: 20 Oct 2014 05:39 PM PDT We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our algorithm solves portfolio selection problems with multiple CVaR constraints. In each step, the algorithm solves very simple separable convex quadratic programs;... Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: Banks Should Help, Not Hinder the Economy Posted: 20 Oct 2014 09:07 AM PDT By Will Kerry and Andrea Maechler read more... Visit MoneyScience for the Complete Article. |
| Posted: 20 Oct 2014 07:28 AM PDT .@Chris_Skinner - Wells Fargo's fail: employee publicly asks for raise and bank quotes T's & C's http://t.co/zvpGt7g6DT — moneyscience (@moneyscience) October… Visit MoneyScience for the Complete Article. |
| European Banks See ECB Exams as Step to Unlocking Lending Posted: 20 Oct 2014 02:40 AM PDT What should we expect from the ECB stress tests? ...a step to unlocking lending -- here's our analysis: http://t.co/oCDAI5vhEP — Elisa Martinuzzi… Visit MoneyScience for the Complete Article. |
| Posted: 20 Oct 2014 01:52 AM PDT "Illicit financial flows currently amount to nearly ten times the total sum of international aid," says @BjornLomborg http://t.co/RY6DwwlQJs — Vikas Shah… Visit MoneyScience for the Complete Article. |
| Published / Preprint: Global Value Trees. (arXiv:1410.4694v1 [q-fin.GN]) Posted: 19 Oct 2014 05:37 PM PDT The fragmentation of production across countries has become an important feature of the globalization in recent decades and is often conceptualized by the term, global value chains (GVCs). When empirically investigating the GVCs, previous studies are mainly interested in knowing how global the GVCs are rather than how the GVCs look like. From a complex networks perspective, we use the World... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Arbitrage free markets geometry. (arXiv:1410.4807v1 [q-fin.MF]) Posted: 19 Oct 2014 05:37 PM PDT The article presents a description of geometry of Banach structures forming mathematical base of the 'Fundamental Theorem of asset Pricing' type phenomena. In this connection we uncover the role of plasterable cones and reflexive subspaces. Visit MoneyScience for the Complete Article. |
| Responsible Man Sets Aside Small Portion Of Every Paycheck For Bank To Gamble With Posted: 18 Oct 2014 11:41 AM PDT The Onion: Responsible Man Sets Aside Small Portion Of Every Paycheck For Bank To Gamble With http://t.co/zjBjbYtD1b — Risk Management (@Risk_Mgmt) October 18,… Visit MoneyScience for the Complete Article. |
| Blog Post: TheAlephBlog: Meeting the 'Bond Kingâ Posted: 17 Oct 2014 04:07 AM PDT Photo Credit: ~Sage~ || King of the Beasts, eh?read more... Visit MoneyScience for the Complete Article. |
| Vendor News: Fidessa takes Best Execution Management System crown in Financial News Awards Posted: 17 Oct 2014 04:06 AM PDT |
| algorithm-spotted-ebola-outbreak-9-days-who-announced-it-263875 Posted: 17 Oct 2014 02:13 AM PDT RT @Geopolitics2020 "An Algorithm Spotted the Ebola Outbreak Nine Days Before WHO Announced It" http://t.co/le6CuyFHQE — Arthur Charpentier (@freakonometrics)… Visit MoneyScience for the Complete Article. |
| Behavioural economics in policymaking: Andrew Leigh Posted: 17 Oct 2014 02:13 AM PDT RT @hormetic Very nice article on applications of #behavioraleconomics http://t.co/gWUpF60acb ht @JustinWolfers @ALeighMP — Dennis A V Dittrich (@davdittrich)… Visit MoneyScience for the Complete Article. |
| Posted: 17 Oct 2014 02:13 AM PDT Research: Consistency of internal risk measure estimates. (arXiv:1410.4382v1 [q-fin.RM]) http://t.co/Fjh4af2GOH — moneyscience (@moneyscience) October 17,… Visit MoneyScience for the Complete Article. |
| Regret and economic decision-making | vox Posted: 17 Oct 2014 02:13 AM PDT "Regret and economic decision-making" http://t.co/ZMSbFRk3hd by http://t.co/402YlBB6Iq — Arthur Charpentier (@freakonometrics) October 16, 2014 Visit MoneyScience for the Complete Article. |
| Published / Preprint: Consistency of internal risk measure estimates. (arXiv:1410.4382v1 [q-fin.RM]) Posted: 16 Oct 2014 05:38 PM PDT This paper concerns the computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are correct. We draw the distinction between `external' and `internal' risk measures and concentrate on the latter, where we observe data in real time, make predictions and observe outcomes. It is argued that evaluation of such... Visit MoneyScience for the Complete Article. |
| Posted: 15 Oct 2014 05:38 PM PDT We extend the exploration regarding dynamic approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution which characterizes the behavior of dynamic systems in certain situations, we extend also our analysis to mean income data from the UK that span for a time... Visit MoneyScience for the Complete Article. |
| Posted: 15 Oct 2014 05:38 PM PDT Polynomial distribution can be applied to dynamic systems in certain situations. Macroeconomic systems characterized by economic variables such as income and wealth can be modelled similarly using polynomials. We extend our previous work to data regarding income from a more diversified pool of countries, which contains developed countries with high income, developed countries with middle income,... Visit MoneyScience for the Complete Article. |
| Posted: 15 Oct 2014 05:38 PM PDT Most papers which explored so far macroeconomic variables took into account income and wealth. Equally important as the previous macroeconomic variables is the expenditure or consumption, which shows the amount of goods and services that a person or a household purchased. Using statistical distributions from Physics, such as Fermi-Dirac and polynomial distributions, we try to fit the data... Visit MoneyScience for the Complete Article. |
| Posted: 15 Oct 2014 07:09 AM PDT Press release about the CPMI and IOSCO issuing a final report on the recovery of financial market infrastructures (15 October 2014) Visit MoneyScience for the Complete Article. |
| Posted: 15 Oct 2014 01:45 AM PDT Investors face significant barriers in evaluating the performance of investment advisors. We focus on commodity trading advisors (CTAs) and show that from 1994 to 2012, CTA excess returns to investors (i.e., net of fees) were insignificantly different from zero while gross excess returns (i.e., before fees) were 6.1%, which implies that managers captured the performance in fees. Moreover, we find... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Window Dressing in Mutual Funds Posted: 15 Oct 2014 01:45 AM PDT We provide a rationale for window dressing wherein investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers make a risky bet on their performance during a reporting delay period, which affects investors' interpretation of the conflicting signals and hence their capital allocations.... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Trading for Status Posted: 15 Oct 2014 01:45 AM PDT We show that Keeping-Up-with-the-Joneses preferences can explain several puzzling retail investor behaviors, including the excessive trading of small local stocks. Status concerns lead households, especially those living in affluent areas, to demand these stocks to track their neighbors' wealth. This demand varies procyclically with the stock market's value and generates household trading. Using... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Peer Effects in Risk Aversion and Trust Posted: 15 Oct 2014 01:45 AM PDT Existing evidence shows that risk aversion and trust are largely determined by environmental factors. We test whether one such factor is peer influence. Using random assignment of MBA students to peer groups and predetermined survey responses of economic attitudes, we find causal evidence of positive peer effects in risk aversion and no effects in trust. After the first year of the MBA program,... Visit MoneyScience for the Complete Article. |
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