MoneyScience News |
- 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. |
| 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. |
| 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. |
| 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. |
| 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. |
| 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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