Sunday, November 30, 2014

MoneyScience News

MoneyScience News


Blog Post: TheFinancialServicesClub: The Finanser's Week: 24th November ' 30th November 2014

Posted: 29 Nov 2014 11:07 PM PST

Our biggest stories of the past week are ...read more...

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Saturday, November 29, 2014

MoneyScience News

MoneyScience News


Blog Post: PatrickBurns: US market portrait 2014 week 48

Posted: 29 Nov 2014 02:46 AM PST

US large cap market returns. read more...

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ORBilu: Biryukov Alex - Deanonymisation of clients in Bitcoin P2P network

Posted: 28 Nov 2014 09:56 AM PST

Deanonymisation of clients in #Bitcoin P2P network http://t.co/fNAvaJgnHj — moneyscience (@moneyscience) November 28, 2014

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Women's Views on News

Women's Views on News


Going orange to end violence against women

Posted: 28 Nov 2014 02:11 AM PST

UN women, violence against women, orange your neighbourhood16 Days of Activism against Gender-Based Violence.

A United Nations call to "Orange Your Neighbourhood" kicked off on 25 November with people around the world displaying the colour to symbolise hope for a future free from violence against women and girls.

And for the first time ever both the iconic Empire State Building and UN Headquarters in New York shone in orange light.

In Times Square, one of the world's most visited tourist attractions, the NASDAQ and Reuters Tower screens flashed the colour along with anti-violence messages on the International Day to End Violence against Women.

"We need this eye-catching colour everywhere so that the message is loud and clear: we all need to work together to stop violence against women and girls right now," UN Women’s executive director Phumzile Mlambo-Ngcuka said.

"That includes men and boys standing up for what's right and working with us and the women's movement to tackle gender inequality.

"We have to end this universal violation of human rights.

"We know what works; now we are insisting on the commitment of political action and commensurate resources to that agenda."

‘Orange Your Neighbourhood’ is part of the UN Secretary-General's ‘UNiTE to End Violence against Women‘ campaign.

The orange theme is to carry on throughout related events during the 16 Days of Activism against Gender-Based Violence, which run from 25 November until 10 December – Human Rights Day.

This year's commemoration will be marked by a clarion call to partners to demonstrate their support to end a pandemic of violence that affects one billion women.

People will tie orange ribbons on landmarks. Marchers dressed in orange will raise awareness and discuss community-wide solutions.

One of the biggest events of the Latin American region is a marathon in Mexico City, the result of a partnership between UN Women and TV Azteca, one of the region's top media groups.

In Africa, among a series of creative initiatives, a film forum will be hosted in Uganda screening stories focusing on the experiences of women’s lives, and a collaborative venture with Talk Radio 702 in South Africa, will promote the idea of zero tolerance for gender-based violence.

In the Asia-Pacific region, public spaces in India will turn orange to promote awareness among local communities, and youth champions in Cambodia will take anti-violence messages online to galvanize action through social media.

And in the Arab States, several activities are planned, many with a special focus on violence against women in Gaza.

High-profile events in Eastern Europe and Central Asia include a series of awareness-raising forums in Kosovo (under UN Security Council Resolution 1244) on the violence that young girls face in high schools, and more than 100 events in Kyrgyzstan engaging Members of Parliament, government officials, donors, and civil society.

As part of the mobilisation by partners, influential media outlets and their journalists are expected to show personal commitment to the cause by symbolically using orange in their studios or in their attire, urging audiences to do their part to end violence against women and girls.

Partnerships with the private sector are also to play a catalytic role this year: United Colors of Benetton, for example, is running a campaign which aims to contribute to increasing awareness.

Erik Ravelo, the Head of Social Engagement Campaigns of Fabrica, Benetton Group's communications research centre, and creative director of their campaign, said: "We have always focused on socially responsible communication initiatives and are happy to lend our creativity as part of efforts to raise awareness on the issue of violence against women: we chose a flower instead of a stone to say no to a human rights violation that causes permanent physical and emotional scars and that is reflected in all social classes."

Because despite recent progress in many countries to stop violence, gaps remain, with devastating consequences.

Around the world, women are beaten in their homes, harassed on the streets and bullied on the Internet.

One in three women experiences physical or sexual violence at some point in her life – mostly by an intimate partner.

And of all the women killed in 2012, nearly half died at the hands of a partner or family member.

Far too often, crimes go unpunished and perpetrators walk free.

But now a critical juncture has been reached with global recognition that violence against women and girls is a serious but solvable problem.

Momentum is growing as the world gears up in 2015 to mark the 20th anniversary of the Beijing Platform for Action, as well as the end of the Millennium Development Goals and the framing of a bold new global development agenda.

"Together we must make 2015 the year that marks the beginning of the end of gender inequality," Mlambo-Ngcuka said. "Now is the time for action."

Friday, November 28, 2014

MoneyScience News

MoneyScience News


Blog Post: TheFinancialServicesClub: Do banks really need to change?

Posted: 28 Nov 2014 12:58 AM PST

One of the comments that floated on the network in the last week was: banks can ignore digital.read more...

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Arthur Charpentier on Twitter

Posted: 28 Nov 2014 12:32 AM PST

MT @Ewjoachim @ramez "Is truncating the y-axis dishonest?" http://ift.tt/1zCmmHD — Arthur Charpentier (@freakonometrics) November 28, 2014

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The Astonishing Rise of Angela Merkel

Posted: 28 Nov 2014 12:32 AM PST

"The astonishing rise of Angela Merkel, the most powerful woman in the world." http://t.co/IX0zBU60Qu — Arthur Charpentier (@freakonometrics) November 27,…

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Susan Athey On How Digital Currency Could Transform Our Lives

Posted: 27 Nov 2014 03:01 AM PST

How Digital Currency Could Transform Our Lives: Part 1 of a study - by @Susan_Athey @Forbes #Bitcoin http://t.co/MVtXoG4SQz — Michael Parsons (@BitcoinByte)…

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Here's How Fictional Dust Explains Radio Static

Posted: 27 Nov 2014 01:47 AM PST

Here's how the Cantor Set Explains Radio Static http://t.co/1ZzIfFYp6l — moneyscience (@moneyscience) November 27, 2014

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How Were Rosetta/Philae Operations Scheduled? (IT Best Kept Secret Is Optimization)

Posted: 27 Nov 2014 01:09 AM PST

"Constraint Programming" and the Rosetta/Philae Optimisation Problem - http://t.co/51afj7QnGF @developerworks via @JFPuget — moneyscience (@moneyscience)…

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The Future of Bitcoin - The Practical Quant's blog - MoneyScience

Posted: 27 Nov 2014 12:52 AM PST

The Practical #Quant: The Future of Bitcoin http://t.co/1jhK6igP45 — moneyscience (@moneyscience) November 26, 2014

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Published / Preprint: Risk-Sensitive Mean-Field Type Control under Partial Observation. (arXiv:1411.7231v1 [math.OC])

Posted: 26 Nov 2014 05:37 PM PST

We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.

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Blog Post: ThePracticalQuant: The Future of Bitcoin

Posted: 26 Nov 2014 08:37 AM PST

I'm hosting a webcast on Dec 3rd - featuring Kieren James-Lubin - titled The Future of Bitcoin, A Data-Driven Perspective:The Bitcoin ecosystem in 2014 is often compared to the internet in 1993. Taking a holistic, data-driven perspective, I'll project where Bitcoin might be in a decade.

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Blog Post: iMFdirect: Challenges Ahead: Managing Spillovers

Posted: 26 Nov 2014 07:04 AM PST

By Olivier Blanchard, Luc Laeven, and Esteban Vesperoniread more...

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Vendor News: Fidessa steps into China

Posted: 26 Nov 2014 01:29 AM PST

Published / Preprint: Risk minimization and portfolio diversification. (arXiv:1411.6657v1 [q-fin.PM])

Posted: 25 Nov 2014 05:30 PM PST

We consider the risk minimization problem, with capital at risk as the coherent measure, under the Black-Scholes setting. The problem is studied, when there exists additional correlation constraint between the desired portfolio and another financial index, and the closed form solution for the optimal portfolio is obtained. We also mention to variance reduction and getting better diversified...

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Published / Preprint: On Trading American Put Options with Interactive Volatility. (arXiv:1411.6938v1 [q-fin.PR])

Posted: 25 Nov 2014 05:30 PM PST

We introduce a simple stochastic volatility model, which takes into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset price hits a certain level) is exponentially distributed. We obtain explicit optimal stopping rules in various cases one of which is interestingly complex because of an unexpectedly...

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Search for topical articles, influencers and conversations

Posted: 25 Nov 2014 02:07 PM PST

100+ leading blogs for statisticians and like-minded professionals http://t.co/PUjLqIFnND — Machine Learning (@ML_toparticles) November 25, 2014

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http://www.scs.stanford.edu/~rumble/papers/latency_hotos11.pdf?utm_content=bufferf09f0&utm_medium=social&utm_source=twitter.com&utm_campaign=buffer

Posted: 25 Nov 2014 04:56 AM PST

#HFT redux we've crossed the chasm http://t.co/dS0MaasOMn — Graeme Burnett (@graeme_burnett) November 25, 2014

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Forget Bond Dealers: Trading Among Investors May Be Norm

Posted: 25 Nov 2014 04:56 AM PST

Money managers may find it easier to replace their boring bond traders with computer software: http://t.co/6kEsRBXEGU — Bloomberg News (@BloombergNews)…

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Interview: Spencer Greenberg, Chairman, Rebellion Research - insideBIGDATA

Posted: 25 Nov 2014 04:09 AM PST

#MachineLearning & #BigData Interview: Spencer Greenberg, Chairman, Rebellion Research http://t.co/Tsxj8dKbjD @RebellionAI @insideBigData — Hedge Fund Focus…

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Published / Preprint: Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs. (arXiv:1411.6080v1 [q-fin.MF])

Posted: 24 Nov 2014 05:37 PM PST

This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We establish the conditions under which the starting-stopping and switching problems admit the same optimal starting and/or stopping strategies. We rigorously prove that...

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Published / Preprint: Identifying A Screening Model with Multidimensional Private Information. (arXiv:1411.6250v1 [q-fin.EC])

Posted: 24 Nov 2014 05:37 PM PST

In this paper I study nonparametric identification of a screening model when consumers have multivariate private information about their preferences. In particular, I consider the multiproduct nonlinear pricing model developed by Rochet and Chon\'e (1998), and determine conditions under which the cost function and the joint density of preferences are identified. When the utility function is...

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Published / Preprint: On robust representation of conditional risk measures on a $L^\infty$-type module. (arXiv:1411.6256v1 [math.FA])

Posted: 24 Nov 2014 05:37 PM PST

The purpose of this paper is to establish a robust representation theorem for conditional risk measures by using a module-based convex analysis, where risk measures are defined on a $L^\infty$-type module. We define and study a Fatou property for this kind of risk measures, which is a generalization of the already known Fatou property for static risk measures. In order to prove this robust...

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Published / Preprint: How Does Household Portfolio Diversification Vary with Financial Literacy and Financial Advice?

Posted: 24 Nov 2014 05:29 AM PST

Household investment mistakes are an important concern for researchers and policymakers alike. Portfolio underdiversification ranks among those mistakes that are potentially most costly. However, its roots and empirical importance are poorly understood. I estimate quantitatively meaningful diversification statistics and investigate their relationship with key variables. Nearly all households that...

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Published / Preprint: Incentivizing Calculated Risk-Taking: Evidence from an Experiment with Commercial Bank Loan Officers

Posted: 24 Nov 2014 02:18 AM PST

We conduct an experiment with commercial bank loan officers to test how performance compensation affects risk assessment and lending. High-powered incentives lead to greater screening effort and more profitable lending decisions. This effect is muted, however, by deferred compensation and limited liability, two standard features of loan officer compensation contracts. We find that career concerns...

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Published / Preprint: Investment Decisions of Nonprofit Firms: Evidence from Hospitals

Posted: 24 Nov 2014 01:46 AM PST

This paper examines investment choices of nonprofit hospitals. It tests how shocks to cash flows caused by the performance of the hospitals’ financial assets affect hospital expenditures. Capital expenditures increase, on average, by 10â€"28 cents for every dollar received from financial assets. The sensitivity is similar to that found earlier for shareholder owned corporations. Executive...

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Published / Preprint: Defined Contribution Pension Plans: Sticky or Discerning Money?

Posted: 24 Nov 2014 01:46 AM PST

Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. However, participants’ inertia could be offset by DC plan sponsors, who adjust the plan's investment options. We examine these countervailing influences on flows into U.S. mutual funds. We find...

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Blog Post: TheAlephBlog: Lagging Long Yields

Posted: 23 Nov 2014 12:57 AM PST

I’m a very intellectually curious person — I could spend most of my time researching investing questions if I had the resources to do that and that alone.  This post at the blog will be a little more wonky than most.  If you don’t like reading about bonds, Fed Policy, etc., you can skip down to the conclusion and read that.read more...

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Vendor News: November 21, 2014 - SS&C GlobeOp Forward Redemption Indicator: November notifications 5.05%

Posted: 21 Nov 2014 01:13 AM PST

Published / Preprint: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization. (arXiv:1411.5453v1 [q-fin.CP])

Posted: 20 Nov 2014 05:37 PM PST

In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic control problem. This product simultaneously deals with financial risk, mortality risk and human behaviour. We assume that market is complete in financial...

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Published / Preprint: Two maxentropic approaches to determine the probability density of compound risk losses. (arXiv:1411.5625v1 [q-fin.RM])

Posted: 20 Nov 2014 05:37 PM PST

Here we present an application of two maxentropic procedures to determine the probability density distribution of compound sums of random variables, using only a finite number of empirically determined fractional moments. The two methods are the Standard method of Maximum Entropy (SME), and the method of Maximum Entropy in the Mean (MEM). We shall verify that the reconstructions obtained satisfy...

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Published / Preprint: Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model. (arXiv:1106.2781v2 [math.OC] UPDATED)

Posted: 20 Nov 2014 05:37 PM PST

This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, which were only previously treated separately in certain special cases of risk...

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Blog Post: WealthandCapitalMarketsBlog: Buy side insight for Fixed Income platforms

Posted: 20 Nov 2014 10:37 AM PST

Time keeps becoming scarcer and we all become more selective on what conference we will attend or speak at. But yesterday, as I was by chance  in Paris, I dropped by one of the potentially nth conference on fixed income, and was presently surprised by the value of its content. Congrats to Trading Screen for pulling it off.read more...

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