MoneyScience News |
- Blog Post: WealthandCapitalMarketsBlog: War of Words between Wealthfront and Schwab Heats Up
- Published / Preprint: On robust pricing--hedging duality in continuous time. (arXiv:1503.02822v1 [q-fin.MF])
- Published / Preprint: Some new results on Dufffie-type OTC markets. (arXiv:1503.03006v1 [q-fin.MF])
- Published / Preprint: 10Mar/Luiz Awazu Pereira da Silva appointed as BIS Deputy General Manager
- Blog Post: TheFinancialServicesClub: How will banks differentiate in the future?
- Vendor News: Infosys BPO Opens New Center in Puerto Rico in Collaboration with the Commonwealth Administration and PRIDCO
- Published / Preprint: Compounding approach for univariate time series with non-stationary variances. (arXiv:1503.02177v1 [physics.data-an])
- Published / Preprint: Detecting and interpreting distortions in hierarchical organization of complex time series. (arXiv:1503.02405v1 [physics.data-an])
- Published / Preprint: Cournot Games with Uncertainty: Coalitions, Competition, and Efficiency. (arXiv:1503.02479v1 [cs.GT])
- All Machine Learning Models Have Flaws
- Mathgen: Randomly generated math papers
- The Stock-Bond Disconnect
- Published / Preprint: Money Creation and the Shadow Banking System
- Published / Preprint: Human Capital as an Asset Class Implications from a General Equilibrium Model
- Published / Preprint: The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior
- Published / Preprint: The Costs of Closing Failed Banks: A Structural Estimation of Regulatory Incentives
- Published / Preprint: The Geography of Funding Markets and Limits to Arbitrage
- Published / Preprint: Predictable Corporate Distributions and Stock Returns
- Published / Preprint: Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock
| Blog Post: WealthandCapitalMarketsBlog: War of Words between Wealthfront and Schwab Heats Up Posted: 10 Mar 2015 07:47 PM PDT Chalk up a win to Wealthfront CEO Adam Nash in his war of words with Charles Schwab. By cleverly baiting his rival, Nash has managed to put his firm on the same footing as the industry colossus.read more... Visit MoneyScience for the Complete Article. |
| Posted: 10 Mar 2015 05:37 PM PDT We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available for static trading. Motivated by the notion of prediction set in Mykland (2003), we include in our... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Some new results on Dufffie-type OTC markets. (arXiv:1503.03006v1 [q-fin.MF]) Posted: 10 Mar 2015 05:37 PM PDT The extended Wild sums considered in this article generalize the classi- cal Wild sums of statistical physics. We first show how to obtain explicit solutions for the evolution equation of a large system where the interactions are given by a single, but general, interacting kernel which involves m components, for a fixed m >= 2. We then show how to retain the explicit formulas for the case of... Visit MoneyScience for the Complete Article. |
| Published / Preprint: 10Mar/Luiz Awazu Pereira da Silva appointed as BIS Deputy General Manager Posted: 10 Mar 2015 11:35 AM PDT The Board of Directors of the Bank for International Settlements (BIS) today announced the appointment of Luiz Awazu Pereira da Silva as Deputy General Manager from 1 October 2015 for a five-year term. (Press release) Visit MoneyScience for the Complete Article. |
| Blog Post: TheFinancialServicesClub: How will banks differentiate in the future? Posted: 10 Mar 2015 01:47 AM PDT I was asked this question today and, after thinking about it a while, I think banks are moving towards being lifestyle choices rather than payments processors. read more... Visit MoneyScience for the Complete Article. |
| Posted: 09 Mar 2015 08:40 PM PDT The Commonwealth of Puerto Rico and the Puerto Rico Industrial Development Company (PRIDCO) joined senior executives from Infosys BPO during the opening ceremony of its new center on the island. Visit MoneyScience for the Complete Article. |
| Posted: 09 Mar 2015 05:36 PM PDT A defining feature of non-stationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for long time horizons, however, averages over the time-dependent parameters. To model the long-term statistical behavior, we compound the local distribution with... Visit MoneyScience for the Complete Article. |
| Posted: 09 Mar 2015 05:36 PM PDT Hierarchical organization is a cornerstone of complexity and multifractality constitutes its central quantifying concept. For model uniform cascades the corresponding singularity spectra are symmetric while those extracted from empirical data are often asymmetric. Using the selected time series representing such diverse phenomena like price changes and inter-transaction times in the financial... Visit MoneyScience for the Complete Article. |
| Posted: 09 Mar 2015 05:36 PM PDT We investigate the impact of group formations on the efficiency of Cournot games where producers face uncertainties. In particular, we study a market model where producers must determine their output before an uncertainty production capacity is realized. In contrast to standard Cournot models, we show that the game is not efficient when there are many small producers. Instead, producers tend to... Visit MoneyScience for the Complete Article. |
| All Machine Learning Models Have Flaws Posted: 09 Mar 2015 09:46 AM PDT All Machine Learning Models Have Flaws http://t.co/MTjKYlziWj http://ift.tt/184cMWn — Data Science Central (@DataScienceCtrl) March 8, 2015 Visit MoneyScience for the Complete Article. |
| Mathgen: Randomly generated math papers Posted: 09 Mar 2015 09:20 AM PDT In a "publish or perish" bind? Secure tenure the easy way with computer generated mathematical research papers: http://t.co/ZmWmDMDGdh — Robert J Frey ن… Visit MoneyScience for the Complete Article. |
| Posted: 09 Mar 2015 08:18 AM PDT The Stock-Bond Disconnect by Kenneth Rogoff - @ProSyn http://t.co/VKj8cUJOJx — moneyscience (@moneyscience) March 9, 2015 Visit MoneyScience for the Complete Article. |
| Published / Preprint: Money Creation and the Shadow Banking System Posted: 09 Mar 2015 07:48 AM PDT It is widely argued that shadow banking grew rapidly before the recent financial crisis because of rising demand for "money-like" claims. This paper assesses a key premise of this argument: that investors actually treated short-term debt issued by shadow banks as a money-like claim. I present a model where the financial sector and the central bank jointly respond to demand for money-like claims.... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Human Capital as an Asset Class Implications from a General Equilibrium Model Posted: 09 Mar 2015 07:48 AM PDT This paper derives the value and risk of aggregate human capital in a stochastic equilibrium model with Duffie-Epstein preferences. A three-factor asset-pricing model is derived, where the factors are the market, the capital share, and investment in human capital. When the model is calibrated to match the historical ratio of wages to consumption in the United States, the weight of human capital... Visit MoneyScience for the Complete Article. |
| Posted: 09 Mar 2015 07:48 AM PDT I document a new stylized fact about how investors trade assets: individuals are more likely to sell the extreme winning and extreme losing positions in their portfolio ("the rank effect"). This effect is not driven by firm-specific information, holding period or the level of returns itself, but is associated with the salience of extreme portfolio positions. The rank effect is exhibited by both... Visit MoneyScience for the Complete Article. |
| Posted: 09 Mar 2015 07:48 AM PDT We estimate a dynamic model of the decision to close a troubled bank. Regulators trade off an aversion to closing banks against the risk that allowing a bank to continue will raise the eventual costs to the deposit insurance fund. Using a conditional choice probability approach, we estimate the costs associated with closing banks, both in direct costs to the insurance fund and in other costs... Visit MoneyScience for the Complete Article. |
| Published / Preprint: The Geography of Funding Markets and Limits to Arbitrage Posted: 09 Mar 2015 07:48 AM PDT We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. During the 2007–2008 crisis, we find the emergence of large pricing anomalies in EM sovereign bond markets. Neither liquidity nor short-selling constraints can explain these persistent events. We use both... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Predictable Corporate Distributions and Stock Returns Posted: 09 Mar 2015 07:48 AM PDT Corporate managers frequently announce corporate distributions, including stock splits, stock dividends, special dividends, and increases in regular dividends, on the anniversary of a like announcement at the same firm. The market appears to not fully appreciate the implications of current distributions for future distributions and stock returns, as a simple strategy that involves purchasing... Visit MoneyScience for the Complete Article. |
| Posted: 09 Mar 2015 07:48 AM PDT We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms' financial-reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the... Visit MoneyScience for the Complete Article. |
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