MoneyScience News |
- I've been redeveloping the homepage on MoneyScience - check it out for an overview of what's been going on - http://t.co/3bdRidNh #tcm
- Statistical Insight into the Typical University of Chicago Student - http://t.co/g79PCpBT @uchicagonews
- I've been redeveloping the homepage on MoneyScience - check it out for an overview of what's been going on - http://t.co/xL8Zszop #tcm
- I've been redeveloping the homepage on MoneyScience - check it out for an overview of what's been going on - http://t.co/Vrl1veeo #tcm
- Blog Post: TheReformedBroker: MOODYS CUTS DEBT RATING ON SIX'¦.never mind, I lost interest
- 14 Valentines from an Economist - http://t.co/fnAEqoWu via @ritholtz #tcm #valentine
- Political responses to UK credit rating threat - http://t.co/XQtlsHwH #tcm
- 14 Valentines from an Economist - http://t.co/SLjZsKw4 via @ritholtz #tcm #valentine
- Blog Post: TheFinancialServicesClub: On Valentine's Day, do you love your bank?
- Blog Post: HighFrequencyTradingReview: Mantaro Announces the Lowest Latency 10G Ethernet FPGA IP Solution
- Published / Preprint: Predatory trading and risk minimisation: how to (b)eat the competition
- Published / Preprint: Identifying States of a Financial Market
- Published / Preprint: Ensemble properties of high frequency data and intraday trading rules
- Published / Preprint: Visualizing Communication on Social Media: Making Big Data Accessible
- Published / Preprint: Financial black swans driven by ultrafast machine ecology
- Published / Preprint: How the Scientific Community Reacts to Newly Submitted Preprints: Article Downloads, Twitter Mentions, and Citations
- Published / Preprint: Core-Periphery Structure in Networks
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @fundacaofia @alumnifutures @cornell_univ
- Blog Post: PsyFiBlog: Trimmed by the Hedge Funds
- Blog Post: ThreeToedSloth: Of Variance Explained; or, Chronicles of Deaths Smoothed
- Published / Preprint: A Note On Confidence Momentum And Term Structure of Confidence with Applications to Financial Markets
- Blog Post: Falkenblog: How to Detect Blather
- Published / Preprint: Ensemble properties of high frequency data and intraday trading rules. (arXiv:1202.2447v1 [q-fin.TR])
- Published / Preprint: A Dynamical Approach to Operational Risk Measurement. (arXiv:1202.2532v1 [q-fin.RM])
- Published / Preprint: Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model. (arXiv:1202.2559v1 [stat.AP])
- Published / Preprint: Minimax Option Pricing Meets Black-Scholes in the Limit. (arXiv:1202.2585v1 [q-fin.CP])
- Published / Preprint: A Bayesian Networks Approach to Operational Risk. (arXiv:0906.3968v2 [q-fin.RM] UPDATED)
- Published / Preprint: From Smile Asymptotics to Market Risk Measures. (arXiv:1107.4632v2 [q-fin.GN] UPDATED)
- Published / Preprint: A Mean-Reverting SDE on Correlation matrices. (arXiv:1108.5264v2 [math.PR] UPDATED)
- Published / Preprint: On the Existence of Bertrand-Nash Equilibrium Prices Under Logit Demand. (arXiv:1012.5832v2 [q-fin.GN] CROSS LISTED)
- Blog Post: AllAboutAlpha: Topsy Filters Twitter Investment Signals so Investors Get Tomorrow's News
- Blog Post: FINalternatives: San Francisco's Galiam Capital Launches Quant Fund
- Free Access to Research by IAFE/Sungard Financial Engineer of the Year Robert Engle - http://t.co/UGMxKxG2 @tandf_economics #tcm #quant
- Free Access to Research by Robert Engle at Taylor and Francis
- An Introduction to QuantLib Development, London, 21-23rd May, 2012 - 15% 'Early Bird' before March 31st - http://t.co/4EhoDT89 #quant #tcm
- The Physics of Finance blog on the black swans & ultrafast machines paper - http://t.co/PtJcFhMT more comment http://t.co/kFUyLQXa #tcm
- An Introduction to QuantLib Development, London, 21-23rd May, 2012 - 15% 'Early Bird' before March 31st - http://t.co/irIACtRP #quant #tcm
- Blog Post: TimingLogic: A Gasping Plea From The Status Quo ' Why The World Needs America
- Blog Post: FamaFrenchForum: Fama on EconTalk Podcast
- Published / Preprint: Measuring Systemic Risk (CEPR DP8824)
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @fstechnology @sungardtrading @chriseko
| Posted: 14 Feb 2012 04:25 AM PST BusinessSchools: I've been redeveloping the homepage on MoneyScience - check it out for an overview of what's been going on - http://t.co/3bdRidNh #tcm Visit MoneyScience for the Complete Article.      |
| Posted: 14 Feb 2012 04:25 AM PST BusinessSchools: Statistical Insight into the Typical University of Chicago Student - http://t.co/g79PCpBT @uchicagonews Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 04:11 AM PST moneyscience: I've been redeveloping the homepage on MoneyScience - check it out for an overview of what's been going on - http://t.co/xL8Zszop #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 04:00 AM PST fin_tech: I've been redeveloping the homepage on MoneyScience - check it out for an overview of what's been going on - http://t.co/Vrl1veeo #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: MOODYS CUTS DEBT RATING ON SIX'¦.never mind, I lost interest Posted: 14 Feb 2012 03:24 AM PST Ratings agencies have become irrelevant. Visit MoneyScience for the Complete Article.    |
| 14 Valentines from an Economist - http://t.co/fnAEqoWu via @ritholtz #tcm #valentine Posted: 14 Feb 2012 02:45 AM PST moneyscience: 14 Valentines from an Economist - http://t.co/fnAEqoWu via @ritholtz #tcm #valentine Visit MoneyScience for the Complete Article.    |
| Political responses to UK credit rating threat - http://t.co/XQtlsHwH #tcm Posted: 14 Feb 2012 02:45 AM PST moneyscience: Political responses to UK credit rating threat - http://t.co/XQtlsHwH #tcm Visit MoneyScience for the Complete Article.    |
| 14 Valentines from an Economist - http://t.co/SLjZsKw4 via @ritholtz #tcm #valentine Posted: 14 Feb 2012 02:45 AM PST BusinessSchools: 14 Valentines from an Economist - http://t.co/SLjZsKw4 via @ritholtz #tcm #valentine Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: On Valentine's Day, do you love your bank? Posted: 14 Feb 2012 02:20 AM PST Well, it’s Valentine’s Day and there’s the usual raft of bank-related love and hate going around.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 01:21 AM PST Mantaro now offers the lowest latency 10G Ethernet Solution for Altera and Xilinx FPGAs. It is specifically targeted for demanding financial, high-frequency trading and high performance computing applications.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Predatory trading and risk minimisation: how to (b)eat the competition Posted: 14 Feb 2012 12:28 AM PST We present a model of predatory traders interacting with each other in the presence of a central reserve (which dissipates their wealth through say, taxation), as well as inflation. This model is examined on a network for the purposes of corre 6cd lating complexity of interactions with systemic risk. We suggest the use of selective networking to enhance the survival rates of arbitrarily chosen... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Identifying States of a Financial Market Posted: 14 Feb 2012 12:28 AM PST The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such time series, stationary situations have been extensively studied and correlations have been found to be a very powerful tool. Yet most natural processes are... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Ensemble properties of high frequency data and intraday trading rules Posted: 14 Feb 2012 12:28 AM PST We demonstrate that a stochastic model consistent with the scaling properties of financial assets is able to replicate the empirical statistical properties of the S&P 500 high frequency data within a window of three hours in each trading day. This result extends previous findings obtained for EUR/USD exchange rates. We apply the forecast capabilities of the model to implement an explicit trading... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Visualizing Communication on Social Media: Making Big Data Accessible Posted: 14 Feb 2012 12:28 AM PST The broad adoption of the web as a communication medium has made it possible to study social behavior at a new scale. With social media networks such as Twitter, we can collect large data sets of online discourse. Social science researchers and journalists, however, may not have tools available to make sense of large amounts of data or of the structure of large social networks. In this paper, we... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial black swans driven by ultrafast machine ecology Posted: 14 Feb 2012 12:13 AM PST Society's drive toward ever faster socio-technical systems, means that there is an urgent need to understand the threat from 'black swan' extreme events that might emerge. On 6 May 2010, it took just five minutes for a spontaneous mix of human and machine interactions in the global trading cyberspace to generate an unprecedented system-wide Flash Crash. However, little is known about what lies... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 12:13 AM PST We analyze the online response of the scientific community to the preprint publication of scholarly articles. We employ a cohort of 4,606 scientific articles submitted to the preprint database arXiv.org between October 2010 and April 2011. We study three forms of reactions to these preprints: how they are downloaded on the arXiv.org site, how they are mentioned on the social media site Twitter,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Core-Periphery Structure in Networks Posted: 14 Feb 2012 12:13 AM PST Intermediate-scale (or 'meso-scale') structures in networks have received cons 934 iderable attention, as the algorithmic detection of such structures makes it possible to discover network features that are not apparent either at the local scale of nodes and edges or at the global scale of summary statistics. Numerous types of meso-scale structures can occur in networks, but investigations of... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 11:31 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @fundacaofia @alumnifutures @cornell_univ Visit MoneyScience for the Complete Article.    |
| Blog Post: PsyFiBlog: Trimmed by the Hedge Funds Posted: 13 Feb 2012 11:09 PM PST Secrecy and Suspicion The increasing importance of hedge funds in the market has attracted attention, especially since they've become every politicians' favorite target when discussions move to market stability and manipulation. The secrecy associated with their activities arouses both mystique and suspicion. New research suggests that this secrecy is important to hedge fund outperformance and,... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThreeToedSloth: Of Variance Explained; or, Chronicles of Deaths Smoothed Posted: 13 Feb 2012 09:03 PM PST Attention conservation notice: 1500 word pedagogical-statistical rant, with sarcasm, mathematical symbols, computer code, and a morally dubious affectation of detachment from the human suffering behind the numbers. Plus the pictures are boring. Does anyone know when the correlation coefficient is useful, as opposed to when it is used? If so, why not tell us? — Tukey (1954: 721) If you have... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 08:30 PM PST This note is based on a recent confidence index introduced in the context of compensating probability factors for deviations of subjective probability measures from equivalent martingale measures. The index is adjusted for loss gain probability spreads, and it explains momentum in confidence. We introduce a confidence matrix operator which shows how a subject transforms gain domain into fear of... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: How to Detect Blather Posted: 13 Feb 2012 05:54 PM PST Macroeconomists dislike criticism like anyone else, and especially hate the idea that their opinions are no better than anyone else. So, I especially liked this little quip from one of the most insecure economists blogging today, Brad DeLong, who was invited to speak on macro at some poli-sci class:Professor Intro:Brad’s a great guy, we go way back ...he blogs...here’s BradJ.Bradford DeLong:... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:34 PM PST We demonstrate that a stochastic model consistent with the scaling properties of financial assets is able to replicate the empirical statistical properties of the S&P 500 high frequency data within a window of three hours in each trading day. This result extends previous findings obtained for EUR/USD exchange rates. We apply the forecast capabilities of the model to implement an explicit... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:34 PM PST We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated by internal frauds, human errors or failed transactions. In order to encompass the most heterogeneous set of processes, in our approach the losses of each... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:34 PM PST We study a new parametric approach for particular hidden stochastic models such as the Stochastic Volatility model. This method is based on contrast minimization and deconvolution. After proving consistency and asymptotic normality of the estimation leading to asymptotic confidence intervals, we provide a thorough numerical study, which compares most of the classical methods that are used in... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:34 PM PST Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset's future market price. In short, an option has a particular payout that is based on the market price for an asset on a given date in the future. In 1973, Black and Scholes proposed a valuation model for options that essentially estimates the tail risk of the asset... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:34 PM PST A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using only internal loss data, and takes into account in a simple and realistic way the correlations among different processes of the bank. The internal losses are averaged over a variable time horizon,... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:34 PM PST The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex monetary measures of risk. In particular, we make use of indifference pricing by dynamic convex risk... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:34 PM PST We introduce a mean-reverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the well-known Wright-Fisher diffusion. We provide conditions that ensure weak and strong uniqueness of the SDE, and describe its ergodic limit. We also shed light on a useful connection with Wishart processes that makes understand how we get the full... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:34 PM PST This article presents a proof of the existence of Bertrand-Nash equilibrium prices with multi-product firms and under the Logit model of demand that does not rely on restrictive assumptions on product characteristics, firm homogeneity or symmetry, product costs, or linearity of the utility function. The proof is based on conditions for the indirect utility function, fixed-point equations derived... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: Topsy Filters Twitter Investment Signals so Investors Get Tomorrow's News Posted: 13 Feb 2012 05:25 PM PST Alpha is often found in the company of those investors who are earliest in seeing the first hints of future events unfolding. Topsy is a new source of that capability. Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: San Francisco's Galiam Capital Launches Quant Fund Posted: 13 Feb 2012 10:28 AM PST Galiam Capital, a San Francisco-based algorithmic fund, launched on February 1 with over $100 million in AUM.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 09:06 AM PST BusinessSchools: Free Access to Research by IAFE/Sungard Financial Engineer of the Year Robert Engle - http://t.co/UGMxKxG2 @tandf_economics #tcm #quant Visit MoneyScience for the Complete Article.    |
| Free Access to Research by Robert Engle at Taylor and Francis Posted: 13 Feb 2012 08:42 AM PST Celebrate Robert Engle being awarded the 2011 IAFE/Sungard Financial Engineer of the Year Award, with FREE* access to his published articles throughout February. Want to find out more about previous winners? As a taster, we’d like to offer you complimentary access to their most recent work.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 08:36 AM PST fin_tech: An Introduction to QuantLib Development, London, 21-23rd May, 2012 - 15% 'Early Bird' before March 31st - http://t.co/4EhoDT89 #quant #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 08:36 AM PST fin_tech: The Physics of Finance blog on the black swans & ultrafast machines paper - http://t.co/PtJcFhMT more comment http://t.co/kFUyLQXa #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 08:28 AM PST BusinessSchools: An Introduction to QuantLib Development, London, 21-23rd May, 2012 - 15% 'Early Bird' before March 31st - http://t.co/irIACtRP #quant #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: A Gasping Plea From The Status Quo ' Why The World Needs America Posted: 13 Feb 2012 08:06 AM PST Somehow it doesn’t surprise me that this article is one of the most read at the Wall Street Journal given its readership. That along with an article highlighting the design of a new $100,000+ automobile. Or that the author’s book is apparently selling well in the Washington political bubble. Confirmation bias is a favorite delusion of the political mind. In other... Visit MoneyScience for the Complete Article.    |
| Blog Post: FamaFrenchForum: Fama on EconTalk Podcast Posted: 13 Feb 2012 07:15 AM PST EFF: I spoke with EconTalk host Russ Roberts about how the efficient market hypothesis relates to marcoeconomic events of the past few years, with some additional thoughts on behavioral finance and the evolving nature of financial academic research. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Measuring Systemic Risk (CEPR DP8824) Posted: 13 Feb 2012 05:47 AM PST Measuring Systemic Risk Author(s): Viral V Acharya, Lasse H Pedersen, Thomas Philippon, Matthew P Richardson CEPR Discussion Paper Number 8824 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), International Macroeconomics (IM) Date of Publication: 01/02/2012 Keyword(s): bailout, financial regulation, systemic risk,... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Feb 2012 05:01 AM PST fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @fstechnology @sungardtrading @chriseko Visit MoneyScience for the Complete Article.    |
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