MoneyScience News |
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @niemanncapital @fintechsteph @fin_tech @fstechnology
- Blog Post: TheFinancialServicesClub: Banking evolutions create revolutions
- Published / Preprint: Revisiting the demand for money function: evidence from the random coefficients approach
- Published / Preprint: Quantile regression estimates and the analysis of structural breaks
- Published / Preprint: Statistical signatures in times of panic: markets as a self-organizing system
- Vendor News: NYSE Euronext Announces Acquisition of Strategic Shareholder Interest in Fixnetix
- Blog Post: MagicMathsandMoney: The mathematical equation that caused the banks to crash (?!?)
- The arrival of the Titan Supercomputer with fundamental new architectures will challenge every science discipline http://t.co/OKJJgISB #tcm
- The arrival of the Titan Supercomputer with fundamental new architectures will challenge every science discipline http://t.co/h7BukDSK #tcm
- Research on the "Enron corpus" a body of 500k emails shows language predicts if mssgs sent up/down the org chart http://t.co/ri0CdMS5 #tcm
- Motherhood ' and the policies that make it incompatible with a tenure-track research career - http://t.co/xiwaHyU3 #tcm
- Blog Post: FINalternatives: Duet Gets Aggressive With New Fund
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @robinsoncollege @booth_insider @utexasmccombs
- Blog Post: TheAlephBlog: Individual Investing Can Be Tough
- Blog Post: HighFrequencyTradingReview: NYSE Euronext Announces Acquisition of Strategic Shareholder Interest in Fixnetix
- Blog Post: AllAboutAlpha: When the Boss is the Rogue Trader
- Published / Preprint: Loan and nonloan flows in the Australian interbank network. (arXiv:1202.3182v1 [q-fin.GN])
- Published / Preprint: Quasi-Monte Carlo methods for the Heston model. (arXiv:1202.3217v1 [q-fin.CP])
- Blog Post: TheReformedBroker: Shit Wall Street Says
- RT @TandF_Economics The winners of the 2012 Oscars will be unveiled next Sunday! Click here to get your Oscar-re... http://t.co/MUH8y6BT
- Blog Post: ThreeToedSloth: How the North American Mammalian Paleofauna Got a Crook in Its Curve (Advanced Data Analysis from an Elementary Point of View)
- Blog Post: TimingLogic: Defeat Eric Cantor's Insider Trading Scam For His Cronies By Signing Congressional Petition
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @automatedtrader @sassoftware @moneyscience @hftreview
- Blog Post: reszatonline: On Krugman, Lehman, banks and bailouts
- Occupy the SEC: Comment letter on the Volcker Rule
- Blog Post: iMFdirect: Get the Basics in Economics from the IMF's One-Stop Shop
- Published / Preprint: A Message from the Editor
- Published / Preprint: Executive Summaries
- Published / Preprint: Morgan Stanley Roundtable on The State of Global Private Equity
- Published / Preprint: An Empirical Model of Optimal Capital Structure1
- Published / Preprint: The Evolution of Private Equity in Emerging Markets: The Case of Poland
- Published / Preprint: Financing Shipping Companies and Shipping Operations: A RiskâManagement Perspective
- Published / Preprint: Creating Value at the Intersection of Sourcing, Hedging and Trading
- Published / Preprint: Spinâoffs: Tackling the Conglomerate Discount
- Published / Preprint: PreâIssuance Hedging of FixedâRate Debt
- Published / Preprint: Market Interest in Nonfinancial Information
- Blog Post: QFINANCE: If Hector Sants gets PRA role, it will be the ultimate reward for failure
- Published / Preprint: PRICING CHAINED OPTIONS WITH CURVED BARRIERS
- Published / Preprint: RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
- Published / Preprint: FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAYâOFFS
- Published / Preprint: A STRUCTURAL RISKâNEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
- Published / Preprint: BUYâLOW AND SELLâHIGH INVESTMENT STRATEGIES
- Blog Post: substructural: Flash Crash Research
- Blog Post: NumericalAlgorithmsGroup: How to solve a NLLS problem using SQP method in Excel?
- RT @hftreview: Managed Futures Case Study: Interview with Jay R.Feuerstein & Bruce Mumford of 2100 Xenon - http://t.co/zhc8j2vi #hft
| Posted: 16 Feb 2012 04:57 AM PST fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @niemanncapital @fintechsteph @fin_tech @fstechnology Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Banking evolutions create revolutions Posted: 16 Feb 2012 04:32 AM PST I’m working on a technology in banking conference with a client that’s had me chair their meetings for some years now. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2012 03:21 AM PST Quantitative Finance, Volume 0, Issue 0, Page 1-12, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Quantile regression estimates and the analysis of structural breaks Posted: 16 Feb 2012 03:21 AM PST Quantitative Finance, Volume 0, Issue 0, Page 1-8, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Statistical signatures in times of panic: markets as a self-organizing system Posted: 16 Feb 2012 03:21 AM PST Quantitative Finance, Volume 0, Issue 0, Page 1-13, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Vendor News: NYSE Euronext Announces Acquisition of Strategic Shareholder Interest in Fixnetix Posted: 16 Feb 2012 03:20 AM PST NYSE Euronext Announces Acquisition of Strategic Shareholder Interest in Fixnetixread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: MagicMathsandMoney: The mathematical equation that caused the banks to crash (?!?) Posted: 16 Feb 2012 03:05 AM PST Claiming that the Black-Scholes equation had anything to do with theCredit Crisis of 2007-2009 is a bit like claiming Daimler-Maybach wereresponsible for bombing Hiroshima. Sure the planes used the internalcombustion engine, but the causal relationship is being stretched beyondreason. The claim that Black-Scholes was involved in the Credit Crisis has been madeby Ian Stewart in a piece,... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2012 01:55 AM PST fin_tech: The arrival of the Titan Supercomputer with fundamental new architectures will challenge every science discipline http://t.co/OKJJgISB #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2012 01:53 AM PST moneyscience: The arrival of the Titan Supercomputer with fundamental new architectures will challenge every science discipline http://t.co/h7BukDSK #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2012 01:53 AM PST moneyscience: Research on the "Enron corpus" a body of 500k emails shows language predicts if mssgs sent up/down the org chart http://t.co/ri0CdMS5 #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2012 01:53 AM PST moneyscience: Motherhood â€" and the policies that make it incompatible with a tenure-track research career - http://t.co/xiwaHyU3 #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Duet Gets Aggressive With New Fund Posted: 16 Feb 2012 12:11 AM PST London-based Duet Group bets that its clients are feeling frisky.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 11:54 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @robinsoncollege @booth_insider @utexasmccombs Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Individual Investing Can Be Tough Posted: 15 Feb 2012 11:35 PM PST I am glad I began investing 20+ years ago. If I were considering starting now, I would likely not do it. Why?read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 10:19 PM PST -Integrates with NYSE Technologies’ Complementary Expertise in Low-Latency Managed Trading Solutions- -Extends Services Reach, Creates Customer Value & Strengthens the Capital Markets Community-read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: When the Boss is the Rogue Trader Posted: 15 Feb 2012 06:10 PM PST The Global Association of Risk Professionals has surveyed risk managers, analysts and academics to get a sense of the implications of the demise of MF Global Holdings for the role of risk managers. Its findings add to a growing sense that the firm’s last chief executive, Jon Corzine, a former New Jersey Governor and U.S. Senator, was an edge-dwelling trader at heart, eager (as Dealbook put it... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 05:30 PM PST High-value transactions between Australian banks are settled in the Reserve Bank Information and Transfer System (RITS) administered by the Reserve Bank of Australia. RITS operates on a real-time gross settlement (RTGS) basis and settles payments sourced from the SWIFT, the Austraclear, and the interbank transactions entered directly into RITS. In this paper, we analyse a dataset received from... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Quasi-Monte Carlo methods for the Heston model. (arXiv:1202.3217v1 [q-fin.CP]) Posted: 15 Feb 2012 05:30 PM PST In this paper, we discuss the application of quasi-Monte Carlo methods to the Heston model. We base our algorithms on the Broadie-Kaya algorithm, an exact simulation scheme for the Heston model. As the joint transition densities are not available in closed-form, the Linear Transformation method due to Imai and Tan, a popular and widely applicable method to improve the effectiveness of quasi-Monte... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Shit Wall Street Says Posted: 15 Feb 2012 03:33 PM PST Video. Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 01:59 PM PST moneyscience: RT @TandF_Economics The winners of the 2012 Oscars will be unveiled next Sunday! Click here to get your Oscar-re... http://t.co/MUH8y6BT Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 12:59 PM PST In which extinct charismatic megafauna give us an excuse to practice basic programming, bootstrapping, and specification testing. Assignment, R Advanced Data Analysis from an Elementary Point of View Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 12:52 PM PST Eric Cantor needs to find a new job other than shilling for the corporate state and subverting democracy for political favors. I look forward to the day when he is sent packing from Congress. Sign the congressional petition here. Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 09:54 AM PST fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @automatedtrader @sassoftware @moneyscience @hftreview Visit MoneyScience for the Complete Article.    |
| Blog Post: reszatonline: On Krugman, Lehman, banks and bailouts Posted: 15 Feb 2012 09:31 AM PST In a recent column Paul Krugman expressed his astonishment about a message spread by Economics of Contempt that John Taylor from Stanford University and John H. Cochrane from the University of Chicago “are denying the importance of the Lehman shockâ€. If this is true it is not really news â€" the Cochrane text is of winter 2009/2010, the Taylor interview was conducted in December 2009, so the... Visit MoneyScience for the Complete Article.    |
| Occupy the SEC: Comment letter on the Volcker Rule Posted: 15 Feb 2012 09:28 AM PST Via Felix Salmon and pretty much everyone else comes coverage of Occupy the SEC's recent open letter commenting on the Volcker Rule.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Get the Basics in Economics from the IMF's One-Stop Shop Posted: 15 Feb 2012 08:44 AM PST The IMF’s Finance & Development magazine has just come out with a useful web compilation of stories in its “Back to Basics” series on economics.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Message from the Editor Posted: 15 Feb 2012 08:26 AM PST    |
| Published / Preprint: Executive Summaries Posted: 15 Feb 2012 08:26 AM PST    |
| Published / Preprint: Morgan Stanley Roundtable on The State of Global Private Equity Posted: 15 Feb 2012 08:26 AM PST In this discussion led by Alan Jones, Morgan Stanley's head of Global Private Equity, the University of Chicago's Steve Kaplan begins by surveying 25 years of academic research on private equity. Starting with Kaplan's own Ph.D. dissertation on leveraged buyouts during the 1980s, finance academics have provided a large and growing body of studies documenting the ability of private equity firms to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: An Empirical Model of Optimal Capital Structure1 Posted: 15 Feb 2012 08:26 AM PST The authors provide a reasonably userâ€friendly and intuitive model for arriving at a company's optimal, or valueâ€maximizing, leverage ratio that is based on the estimation of companyâ€specific cost and benefit functions for debt financing. The benefit functions are downwardâ€sloping, reflecting the drop in the incremental value of debt with increases in the amount used. The cost functions... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Evolution of Private Equity in Emerging Markets: The Case of Poland Posted: 15 Feb 2012 08:26 AM PST In the last ten years, there has been a pronounced shift toward emerging markets in institutional investor allocations of capital to private equity. While the lion's share of the allocations to emerging markets have gone to the “BRIC†nations, lesserâ€known markets like Poland are threatening to steal the spotlight. Economic stabilization, development of the private sector, a favorable... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 08:26 AM PST Shipping has always been a volatile and cyclical business. The extreme changes in revenues, operating cash flows, and asset values during the recent financial crises have upset the usual means of financing shipping companies. While bank debt will remain important in the future, the new regulatory environment has been forcing shipping banks to shift these risks from their balance sheets to capital... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Creating Value at the Intersection of Sourcing, Hedging and Trading Posted: 15 Feb 2012 08:26 AM PST Higher commodity prices, along with higher currency and commodity price volatility, have combined with challenging economic circumstances to make for difficult economics within many industries today. These factors can introduce risk to both topâ€line revenue and the cost structure, and wreak havoc on net cash flow and profitability. To the extent that high prices and increasing price volatility... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Spinâoffs: Tackling the Conglomerate Discount Posted: 15 Feb 2012 08:26 AM PST Spinâ€offs and other restructuring actions have risen sharply in 2011, driven by the need to streamline business models and increase corporate values. These transactions can be an effective tool for addressing the conglomerate valuation discount that has been a pervasive phenomenon over the past decade, affecting conglomerates in most regions across the world.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: PreâIssuance Hedging of FixedâRate Debt Posted: 15 Feb 2012 08:26 AM PST This article analyzes several corporate hedging strategies to manage interest rate risk on fixedâ€rate debt prior to issuance. The authors start by considering these strategies using a highly stylized model: a binomial forward interest rate tree that, while simple in design, illustrates derivative pricing methodologies that are used in practice. Under a given rate volatility assumption, they... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Market Interest in Nonfinancial Information Posted: 15 Feb 2012 08:25 AM PST During the past two decades, more and more companies have volunteered to provide “corporate social responsibility†or “sustainability†reports that include information about their environmental, social, and governance (ESG) policies and performance. Such reporting has come about largely in response to demands by a wide range of stakeholders for information about how the company's... Visit MoneyScience for the Complete Article.    |
| Blog Post: QFINANCE: If Hector Sants gets PRA role, it will be the ultimate reward for failure Posted: 15 Feb 2012 08:14 AM PST    |
| Published / Preprint: PRICING CHAINED OPTIONS WITH CURVED BARRIERS Posted: 15 Feb 2012 08:05 AM PST This paper studies barrier options which are chained together, each with payoff contingent on curved barriers. When the underlying asset price hits a primary curved barrier, a secondary barrier option is given to a primary barrier option holder. Then if the asset price hits another curved barrier, a third barrier option is given, and so on. We provide explicit price formulas for these options... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 08:05 AM PST We propose a simple multiperiod model of price impact from trading in a market with multiple assets, which illustrates how feedback effects due to distressed selling and short selling lead to endogenous correlations between asset classes. We show that distressed selling by investors exiting a fund and short selling of the fund’s positions by traders may have nonnegligible impact on the realized... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 08:05 AM PST We introduce a new class of numerical schemes for discretizing processes driven by Brownian motions. These allow the rapid computation of sensitivities of discontinuous integrals using pathwise methods even when the underlying densities postdiscretization are singular. The two new methods presented in this paper allow Greeks for financial products with trigger features to be computed in the LIBOR... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 08:05 AM PST We develop a structural riskâ€neutral model for energy market modifying along several directions the approach introduced in Aïd et al. In particular, a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus on pricing and hedging electricity derivatives. The hedging instruments are forward contracts on fuels... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: BUYâLOW AND SELLâHIGH INVESTMENT STRATEGIES Posted: 15 Feb 2012 08:05 AM PST Buyâ€low and sellâ€high investment strategies are a recurrent theme in the considerations of many investors. In this paper, we consider an investor who aims at maximizing the expected discounted cashâ€flow that can be generated by sequentially buying and selling one share of a given asset at fixed transaction costs. We model the underlying asset price by means of a general oneâ€dimensional... Visit MoneyScience for the Complete Article.    |
| Blog Post: substructural: Flash Crash Research Posted: 15 Feb 2012 07:58 AM PST Unsurprisingly, given the interest of regulators and trading firms, there is a growing literature on the May 6, 2010 Flash Crash and "mini-flash crashes" throughout recent history. Unofficial high-speed liquidity providers, free from any contractual obligations, can become high-speed liquidity takers. Filimonov and Sornette investigate prediction of endogenous-feedback loops in the research paper... Visit MoneyScience for the Complete Article.    |
| Blog Post: NumericalAlgorithmsGroup: How to solve a NLLS problem using SQP method in Excel? Posted: 15 Feb 2012 07:51 AM PST NLLS stands for nonlinear least-squares and SQP is sequential quadratic programming. So essentially this is an optimization problem, and everyone knows that NAG Library's chapter e04 is the best place to look for optimization solvers. The appropriate NAG routine in our C Library is nag_opt_nlin_lsq (e04unc). A few weeks ago one of our users contacted NAG and asked for an example program of using... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 06:56 AM PST fin_tech: RT @hftreview: Managed Futures Case Study: Interview with Jay R.Feuerstein & Bruce Mumford of 2100 Xenon - http://t.co/zhc8j2vi #hft Visit MoneyScience for the Complete Article.    |
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