MoneyScience News

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• Blog Post: ThePracticalQuant: Hardcore Data Science, NYC 2015
• Published / Preprint: Volume Weighted Average Price Optimal Execution. (arXiv:1509.08503v1 [q-fin.TR])
• Published / Preprint: Maximum likelihood estimators for a jump-type Heston model. (arXiv:1509.08869v1 [math.ST])

Blog Post: ThePracticalQuant: Hardcore Data Science, NYC 2015 Posted: 29 Sep 2015 07:56 PM PDT Ben Recht and I hosted another great edition of Hardcore Data Science in NYC yesterday. From the very first talk, the room was full, the audience was attentive, and the energy in the room was high â€" and it remained that way throughout the day.Here’s a link to my Twitter summary. Visit MoneyScience for the Complete Article.

Published / Preprint: Volume Weighted Average Price Optimal Execution. (arXiv:1509.08503v1 [q-fin.TR]) Posted: 29 Sep 2015 05:37 PM PDT We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing mean-variance of the slippage, with quadratic transaction costs. We devise multiple ways to solve it, in particular we study how to incorporate the information coming from the market during the... Visit MoneyScience for the Complete Article.

Published / Preprint: Maximum likelihood estimators for a jump-type Heston model. (arXiv:1509.08869v1 [math.ST]) Posted: 29 Sep 2015 05:37 PM PDT We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and non-normal asymptotic behavior. We also present some... Visit MoneyScience for the Complete Article.

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Women's Views on News

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Interactive sex law map launched Posted: 28 Sep 2015 01:09 AM PDT Major project shows the different ways countries criminalise sex work and prosititution. A map aiming to provide a global perspective on female sex work by displaying a detailed summary of the laws, regulations and policies in over 75 countries was launched recently. The ‘Sex Work Law Map’ was developed by the Sexuality, Poverty and Law Programme at the UK's Institute of Development Studies (IDS). It is hoped that more accurate and comprehensive accounts of the laws governing sex work nationally and internationally will help inform public policy, advocacy strategies and law reform to achieve positive change and realise equal human rights for sex workers. It is an interactive map that reveals trends and information that should benefit sexuality activists, human rights defenders, those with an interest in sustainable development and public health, journalists, legal practitioners, policy analysts and academics. For example, it shows that in many countries sex work is criminalised, not by laws that mention prostitution, but by less defined laws against public disorder, vagrancy and loitering. This kind of information has important implications for those working to develop feasible reforms that will reduce the risks and challenges faced by sex workers and prostituted women and girls. Given the complex and changeable nature of the legal environment, users of the map are encouraged to submit additional information and corrections as they find it, to ensure the resource is as useful and accurate as possible. This means that even after the launch, the map will be added to – and no doubt improved – over time. Many organisations have attempted to generate information about legal approaches to sex work by developing various models involving taxonomies and categories of sex work law. However the complex frameworks of law and regulation associated with sex work make it difficult to press into a formulaic model. And models that simply categorise sex work law fail to illuminate the outcomes of law enforcement which depend on the broader legal, political, economic and social settings. So here, for each country, the map provides an account of criminal law that directly addresses sex work. Where possible, information is also included about regulations and policies intended to prevent public nuisance or limit exploitation and disease. Enforcement practices are mentioned in most entries because they play a key part both in how sex workers experience the criminal justice system and in determining how and where sex work operates. The map can also be searched for particular regulatory frameworks that shape the sex industry and influence sex workers' lived experience and for groups of countries with similar legal approaches. The Map does not yet include all countries in the world, or each jurisdiction in the many federal systems in the world. Users of the map are invited to contribute entries for countries not currently covered by the map. To ensure consistency new entries should be similar in size, format and language to existing entries. Cheryl Overs, from the Institute of Development Studies, led the map's development – with support from the UK's Department for International Development (DFID). Explaining its importance, she said: "Because law and regulation play such an important role in determining sex worker's quality of life it is crucial that reliable information about sex work law can be accessed by the researchers, policymakers and professionals involved in planning and delivering health and welfare services to sex workers and their families. "It is also crucial for sex workers themselves, especially the activists campaigning for law reform."

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MoneyScience News

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• Blog Post: Luigi.Ballabio: QuantLib notebook: term structures and reference dates
• Published / Preprint: Optimal trading strategies - a time series approach. (arXiv:1509.07953v1 [q-fin.PM])
• Published / Preprint: Asymmetry of cross correlations between intra-day and overnight volatilities. (arXiv:1509.08079v1 [q-fin.ST])
• Published / Preprint: Performance v. Turnover: A Story by 4,000 Alphas. (arXiv:1509.08110v1 [q-fin.PM])
• Published / Preprint: Correctness of Backtest Engines. (arXiv:1509.08248v1 [q-fin.TR])
• Published / Preprint: Representation and approximation of ambit fields in Hilbert space. (arXiv:1509.08272v1 [math.PR])
• Published / Preprint: Sticky processes, local and true martingales. (arXiv:1509.08280v1 [q-fin.MF])
• Published / Preprint: High-frequency limit of Nash equilibria in a market impact game with transient price impact. (arXiv:1509.08281v1 [q-fin.TR])
• Published / Preprint: The spatial component of R&D networks. (arXiv:1509.08291v1 [physics.soc-ph])
• Blog Post: iMFdirect: Uncertain Times, Difficult Choices
• Vendor News: September 28, 2015 - SS&Câs Black Diamond Wins Twice at WealthManagement.com 2015 Industry Awards
• Published / Preprint: Auto enrolment, pension trusts and ethical finance: Banks and regulators have an increasing role in promoting Shariah finance
• Published / Preprint: General investorsâ views of information sources in Bangladesh
• Published / Preprint: AML compliance â A banking nightmare? The HSBC case study
• Published / Preprint: The effects of corporate disclosure practices on firm performance, risk and dividend policy
• Published / Preprint: The impact of company size and multiple directorships on corporate governance effectiveness
• Vendor News: Fidessa launches Sentinel Trading Compliance

Blog Post: Luigi.Ballabio: QuantLib notebook: term structures and reference dates Posted: 28 Sep 2015 10:35 PM PDT

Published / Preprint: Optimal trading strategies - a time series approach. (arXiv:1509.07953v1 [q-fin.PM]) Posted: 28 Sep 2015 05:54 PM PDT Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows to find an optimal trading strategy which - for a given return - is minimally exposed to market price fluctuations. The model... Visit MoneyScience for the Complete Article.

Published / Preprint: Asymmetry of cross correlations between intra-day and overnight volatilities. (arXiv:1509.08079v1 [q-fin.ST]) Posted: 28 Sep 2015 05:54 PM PDT We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively) correlated with the intra-day volatility during the \textit{following} day (allowing thus non-trivial predictions), it is much less correlated with the intra-day... Visit MoneyScience for the Complete Article.

Published / Preprint: Performance v. Turnover: A Story by 4,000 Alphas. (arXiv:1509.08110v1 [q-fin.PM]) Posted: 28 Sep 2015 05:54 PM PDT We analyze empirical data for 4,000 real-life trading portfolios (U.S. equities) with holding periods of about 0.7-19 trading days. We find a simple scaling C ~ 1/T, where C is cents-per-share, and T is the portfolio turnover. Thus, the portfolio return R has no statistically significant dependence on the turnover T. We also find a scaling R ~ V^X, where V is the portfolio volatility, and the... Visit MoneyScience for the Complete Article.

Published / Preprint: Correctness of Backtest Engines. (arXiv:1509.08248v1 [q-fin.TR]) Posted: 28 Sep 2015 05:54 PM PDT In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a correct working backtest engine is, however, a subtle task as shown by Maier-Paape and Platen (cf. arXiv:1412.5558 [q-fin.TR]). Several platforms are struggling on the correctness. read more... Visit MoneyScience for the Complete Article.

Published / Preprint: Representation and approximation of ambit fields in Hilbert space. (arXiv:1509.08272v1 [math.PR]) Posted: 28 Sep 2015 05:54 PM PDT We lift ambit fields as introduced by Barndorff-Nielsen and Schmiegel to a class of Hilbert space-valued volatility modulated Volterra processes. We name this class Hambit fields, and show that they can be expressed as a countable sum of weighted real-valued volatility modulated Volterra processes. Moreover, Hambit fields can be interpreted as the boundary of the mild solution of a certain first... Visit MoneyScience for the Complete Article.

Published / Preprint: Sticky processes, local and true martingales. (arXiv:1509.08280v1 [q-fin.MF]) Posted: 28 Sep 2015 05:53 PM PDT We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily close to $S$ in supremum norm. In the case where $S$ is a local martingale we may choose $Q$ arbitrarily close to the original probability in the... Visit MoneyScience for the Complete Article.

Published / Preprint: High-frequency limit of Nash equilibria in a market impact game with transient price impact. (arXiv:1509.08281v1 [q-fin.TR]) Posted: 28 Sep 2015 05:53 PM PDT We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact model with exponentially decaying price impact and quadratic transaction costs of size $\theta\ge0$. We show that, for $\theta=0$, equilibrium strategies and costs will oscillate indefinitely between two... Visit MoneyScience for the Complete Article.

Published / Preprint: The spatial component of R&D networks. (arXiv:1509.08291v1 [physics.soc-ph]) Posted: 28 Sep 2015 05:52 PM PDT We study the role of geography in R&D networks by means of a quantitative, micro-geographic approach. Using a large database that covers international R&D collaborations from 1984 to 2009, we localize each actor precisely in space through its latitude and longitude. This allows us to analyze the R&D network at all geographic scales simultaneously. Our empirical results show... Visit MoneyScience for the Complete Article.

Blog Post: iMFdirect: Uncertain Times, Difficult Choices Posted: 28 Sep 2015 09:06 AM PDT By Vitor Gaspar and Alejandro Werner              read more... Visit MoneyScience for the Complete Article.

Vendor News: September 28, 2015 - SS&Câs Black Diamond Wins Twice at WealthManagement.com 2015 Industry Awards Posted: 28 Sep 2015 06:01 AM PDT

Published / Preprint: Auto enrolment, pension trusts and ethical finance: Banks and regulators have an increasing role in promoting Shariah finance Posted: 28 Sep 2015 02:45 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: General investorsâ views of information sources in Bangladesh Posted: 28 Sep 2015 02:45 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: AML compliance â A banking nightmare? The HSBC case study Posted: 28 Sep 2015 02:45 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: The effects of corporate disclosure practices on firm performance, risk and dividend policy Posted: 28 Sep 2015 02:45 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: The impact of company size and multiple directorships on corporate governance effectiveness Posted: 28 Sep 2015 02:45 AM PDT Visit MoneyScience for the Complete Article.

Vendor News: Fidessa launches Sentinel Trading Compliance Posted: 28 Sep 2015 01:08 AM PDT

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