MoneyScience News |
- 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 |
| 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. |
| 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. |
| 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. |
| 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. |
| 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. |
| 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. |
| Posted: 28 Sep 2015 06:01 AM PDT |
| 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. |
| Posted: 28 Sep 2015 02:45 AM PDT Visit MoneyScience for the Complete Article. |
| 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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