MoneyScience News |
- MoneyScience Daily is out! http://t.co/yz3zw0GO : Top stories today via @rjocean @portfolioprobe @mbatrainingco @tandf_economics
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @nitinnohria @niemanncapital @salfordsystems
- The first recorded appearance of the word 'freedomâ, in a Sumerian proclamation of a debt amnesty or jubilee http://t.co/Ov72opwo #tcm
- Scientists: This man has your number - original research about how life scientists work: http://t.co/S31MVll3 #tcm
- Weird stuff in high frequency markets http://t.co/mlfoNFUg commenting on this paper by Hasbrouck et al http://t.co/QquU5qOu #tcm #hft
- Weird stuff in high frequency markets http://t.co/1pig0L8q commenting on this paper by Hasbrouck et al http://t.co/eis7Q3su #tcm #hft
- Blog Post: TheReformedBroker: Hot Links: Mittens Takes Michigan
- Rethinking Basel
- Blog Post: TheAlephBlog: Notes on the 2011 Berkshire Hathaway Annual Report, Part 3 (On Acquisitions)
- Manchester Business School official promotional video
- Published / Preprint: TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK
- Video - Andrew Lo on diversification deficit disorder @AbnormalReturns http://t.co/vtFTzW5u #tcm
- The confusion reigning around what CSR ' corporate social responsibility â actually means - http://t.co/KsSBPkkk #tcm
- Great article from @FelixSalmon - Why journalists need to link - http://t.co/U4geB1yJ #tcm
- The confusion reigning around what CSR â corporate social responsibility â actually means - http://t.co/kTxdfZqE #tcm
- Elsevier vows to keep price of mathematics journals low - http://t.co/7pNIBJNY #tcm
- @MargRev urges caution on the Wealth / Ethics research which has been generating some interest. http://t.co/Fl8sjjHv
- The Shifting Hedge Fund Landscape: The New Dynamics of Hedge Fund Competitiveness
- Blog Post: TheFinancialServicesClub: Are bankers good, bad or really ugly?
- Published / Preprint: An endogenous volatility approach to pricing and hedging call options with transaction costs
- Published / Preprint: Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
- Blog Post: FINalternatives: Report: China To Welcome Foreign Hedge Funds
- Blog Post: RobertPestonBlog: Eurozone: Big banks on dope
- Published / Preprint: A multifractal approach towards inference in finance
- Published / Preprint: Quantum decision making by social agents
- Published / Preprint: Information flow in a network model and the law of diminishing marginal returns
- Published / Preprint: The Power of Local Information in Social Networks
- Published / Preprint: Collective behavior and critical fluctuations in the spatial spreading of obesity, diabetes and cancer
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @rotmanschool @richlyons @iesebs
- Blog Post: CLANSMAN2: LTRO: Criminal Political Behaviour by Merkozy with Van Rompuy as the Marionette
- Published / Preprint: Second-order Price Dynamics: Approach to Equilibrium with Perpetual Arbitrage
- Blog Post: AllAboutAlpha: The Shifting Hedge Fund Landscape: Operations and Due Diligence
- Published / Preprint: Homogenization and asymptotics for small transaction costs. (arXiv:1202.6131v1 [math.OC])
- Published / Preprint: Why are quadratic normal volatility models analytically tractable?. (arXiv:1202.6187v1 [q-fin.PR])
- Published / Preprint: On the Hedging of Options On Exploding Exchange Rates. (arXiv:1202.6188v1 [q-fin.PR])
- Published / Preprint: Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without L\'evy area simulation. (arXiv:1202.6283v1 [q-fin.CP])
- Published / Preprint: Reconstruction of financial network for robust estimation of systemic risk. (arXiv:1109.6210v2 [q-fin.RM] UPDATED)
- Published / Preprint: Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets. (arXiv:1110.0403v2 [q-fin.CP] UPDATED)
- Published / Preprint: Option calibration of exponential L\'evy models: Implementation and empirical results. (arXiv:1202.5983v1 [q-fin.PR] CROSS LISTED)
- Blog Post: FinanceClippings: Weird stuff in high frequency markets
- Blog Post: TimingLogic: U.S. Health Care: The Good News
- ICMA Centre News: How to Apply and Fees http://t.co/ffAjow2A
- Blog Post: iMFdirect: Africa's Growth Puzzle: Better Ways to Fill Infrastructure Gaps
- Smoothly running transport during the Olympics âall about changing behaviourâ
- Blog Post: substructural: Market Manipulation, Part 1
- Blog Post: HighFrequencyTradingReview: Redline Trading Solutions Introduces Ultra-low Latency Pre-Trade Risk Solution Delivering 15c3-5 Compliance in Less Than One Microsecond
- RT @LongTermGreed: IBM Busts Record for 'Superconductingâ Quantum Computer http://t.co/yLn8ACq6 #QuantumFrontRunning
- The fifth annual conference of the Cass-Capco Institute Paper Series on Risk - http://t.co/W88lNjCY @cassinthenews
- RT @infoarbitrage: 2+ years of Twitter Data | DataSift Blog http://t.co/a2m3ev2M Great video on the power of the @datasift platform #bigdata
- Published / Preprint: Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis (CEPR DP8859)
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @itrsgroup @advancedtrading @kathyburger @inasap
| Posted: 29 Feb 2012 04:58 AM PST moneyscience: MoneyScience Daily is out! http://t.co/yz3zw0GO â–¸ Top stories today via @rjocean @portfolioprobe @mbatrainingco @tandf_economics Visit MoneyScience for the Complete Article.      |
| Posted: 29 Feb 2012 04:58 AM PST fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @nitinnohria @niemanncapital @salfordsystems Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 04:44 AM PST moneyscience: The first recorded appearance of the word “freedomâ€, in a Sumerian proclamation of a debt amnesty or jubilee http://t.co/Ov72opwo #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 04:44 AM PST moneyscience: Scientists: This man has your number - original research about how life scientists work: http://t.co/S31MVll3 #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 04:44 AM PST moneyscience: Weird stuff in high frequency markets http://t.co/mlfoNFUg commenting on this paper by Hasbrouck et al http://t.co/QquU5qOu #tcm #hft Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 04:30 AM PST fin_tech: Weird stuff in high frequency markets http://t.co/1pig0L8q commenting on this paper by Hasbrouck et al http://t.co/eis7Q3su #tcm #hft Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Hot Links: Mittens Takes Michigan Posted: 29 Feb 2012 04:05 AM PST Your morning financial links, expertly curated. Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 04:04 AM PST read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 03:53 AM PST Though part of a series, this post is different. I went back through the last 35 years of shareholder letters to analyze Buffett’s approach to acquisitions. As Charlie Munger has said, Buffett is scary smart. I say this because he adjusted through many different eras, while running a business that was part conglomerate, part closed-end fund.read more... Visit MoneyScience for the Complete Article.    |
| Manchester Business School official promotional video Posted: 29 Feb 2012 03:50 AM PST Watch our new video and find out more about what we do... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK Posted: 29 Feb 2012 03:36 AM PST This paper develops a formula for a transform of a vector point process with totally inaccessible arrivals. The transform is expressed in terms of a Laplace transform under an equivalent probability measure of the point process compensator. The Laplace transform of the compensator can be calculated explicitly for a wide range of model specifications, because it is analogous to the value of a... Visit MoneyScience for the Complete Article.    |
| Video - Andrew Lo on diversification deficit disorder @AbnormalReturns http://t.co/vtFTzW5u #tcm Posted: 29 Feb 2012 03:30 AM PST moneyscience: Video - Andrew Lo on diversification deficit disorder @AbnormalReturns http://t.co/vtFTzW5u #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 03:30 AM PST moneyscience: The confusion reigning around what CSR â€" corporate social responsibility â€" actually means - http://t.co/KsSBPkkk #tcm Visit MoneyScience for the Complete Article.    |
| Great article from @FelixSalmon - Why journalists need to link - http://t.co/U4geB1yJ #tcm Posted: 29 Feb 2012 03:30 AM PST BusinessSchools: Great article from @FelixSalmon - Why journalists need to link - http://t.co/U4geB1yJ #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 03:30 AM PST BusinessSchools: The confusion reigning around what CSR â€" corporate social responsibility â€" actually means - http://t.co/kTxdfZqE #tcm Visit MoneyScience for the Complete Article.    |
| Elsevier vows to keep price of mathematics journals low - http://t.co/7pNIBJNY #tcm Posted: 29 Feb 2012 03:30 AM PST BusinessSchools: Elsevier vows to keep price of mathematics journals low - http://t.co/7pNIBJNY #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 03:30 AM PST BusinessSchools: @MargRev urges caution on the Wealth / Ethics research which has been generating some interest. http://t.co/Fl8sjjHv Visit MoneyScience for the Complete Article.    |
| The Shifting Hedge Fund Landscape: The New Dynamics of Hedge Fund Competitiveness Posted: 29 Feb 2012 02:39 AM PST Via AllAboutAlpha.com comes news of the fifth annual global survey of institutional hedge fund investors, and the second of two reports by Greenwich Associates and SEI on the shifting hedge fund landscape.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Are bankers good, bad or really ugly? Posted: 29 Feb 2012 02:37 AM PST It's a leap year, so I thought I'd celebrate by releasing some new books through my brilliant publishers, Searching Finance.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 02:35 AM PST Quantitative Finance, Volume 0, Issue 0, Page 1-14, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes Posted: 29 Feb 2012 02:27 AM PST Applied Mathematical Finance, Volume 0, Issue 0, Page 1-25, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Report: China To Welcome Foreign Hedge Funds Posted: 29 Feb 2012 01:47 AM PST The world's most populous countryâ€"and its second-largest economyâ€"may be the next big market for the world's hedge funds.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: Eurozone: Big banks on dope Posted: 29 Feb 2012 01:06 AM PST Here is the euro crisis in a nutshell.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A multifractal approach towards inference in finance Posted: 29 Feb 2012 12:31 AM PST We introduce tools for inference in the multifractal random walk introduced by Bacry et al. (2001). These tools include formulas for smoothing, filtering and volatility forecasting. In addition, we present methods for computing conditional densities for one- and multi-step returns. The inference techniques presented in this paper, including maximum likelihood estimation, are applied to data from... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Quantum decision making by social agents Posted: 29 Feb 2012 12:31 AM PST Decision making of agents who are members of a society is analyzed from the point of view of quantum decision theory. This generalizes the approach, developed earlier by the authors for separate individuals, to decision making under the influence of social interactions. The generalized approach not only avoids pa 5c1 radoxes, typical of classical decision making based on utility theory, but also... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 12:31 AM PST We analyze a simple dynamical network model which describes the limited capacity of nodes to process the input information. For a suitable choice of the parameters, the information flow pattern is characterized by exponential distribution of the incoming information and a fat-tailed distribution of the outgoing information, as a signature of the law of diminishing marginal returns. The analysis... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Power of Local Information in Social Networks Posted: 29 Feb 2012 12:31 AM PST We study the power of \textit{local information algorithms} for optimization problems on social networks. We focus on sequential algorithms for which the network topology is initially unknown and is revealed only within a local neighborhood of vertices that have been irrevocably added to the output set. The distinguishing feature of this setting is that locality is necessitated by constraints... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Feb 2012 12:31 AM PST Non-communicable diseases like diabetes, obesity and certain forms of cancer have been increasing in many countries at alarming levels. A difficulty in the conception of policies to reverse these trends is the identification of the drivers behind the global epidemics. Here, we implement a spatial spreading analysis to investigate whether diabetes, obesity and cancer show spatial correlations... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 11:49 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @rotmanschool @richlyons @iesebs Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 10:22 PM PST read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Second-order Price Dynamics: Approach to Equilibrium with Perpetual Arbitrage Posted: 28 Feb 2012 08:57 PM PST The notion that economies should normally be in equilibrium is by now well-established; equally well-established is that economies are almost never precisely in equilibrium. Using a very general formulation, we sh 632 ow that under dynamics that are second-order in time a price system can remain away from equilibrium with permanent and repeating opportunities for arbitrage, even when a damping... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: The Shifting Hedge Fund Landscape: Operations and Due Diligence Posted: 28 Feb 2012 05:44 PM PST One crucial takeaway from SEI's latest is that "the quality of operations is a major consideration in institutions' screening and evaluation of hedge funds." Eighty percent of respondents agreed with the observation that "operational strength is a hallmark of an institutional-quality hedge fund." One quarter of those say they agree "strongly." Only three percent disagree. Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 05:32 PM PST We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic control problem which can be solved in closed form in the one-dimensional case. Unlike the existing literature, we consider a general utility function and... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 05:32 PM PST We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from stopped Brownian motion by a simple transformation and a change of measure that only depends on the terminal value of the stopped Brownian motion. This explains... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 05:32 PM PST We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows strict local martingale dynamics. More precisely, we discuss a change of num\'eraire (change of currency) technique when the underlying is only a local... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 05:32 PM PST In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multidimensional SDEs driven by Brownian motion. Giles has previously shown that if we combine a numerical approximation with strong order of convergence $O(\D t)$ with MLMC we can reduce the computational complexity to estimate expected values of functionals of SDE solutions with a root-mean-square error of... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 05:32 PM PST In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct credit networks severely underestimate the risk of contagion by assuming a trivial (fully connected) topology, a type of network structure which can be very... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 05:32 PM PST Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time Markov process. As a result of this representation, along with a short-time asymptotic expansion of the claim's price process, we develop an efficient method for... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 05:32 PM PST Observing prices of European put and call options, we calibrate exponential L\'evy models nonparametrically. We discuss the implementation of the spectral estimation procedures for L\'evy models of finite jump activity as well as for self-decomposable L\'evy models and improve these methods. Confidence intervals are constructed for the estimators in the finite activity case. They... Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: Weird stuff in high frequency markets Posted: 28 Feb 2012 02:01 PM PST John Cochrane (of U. Chicago) has a really interesting post on some strange behavior that has been documented in high frequency trading environments. It seems as though some of these phenomena are driven by the interaction of multiple execution algorithms. A great quote: High frequency trading presents a lot of interesting puzzles. The Booth faculty lunchroom has hosted some... Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: U.S. Health Care: The Good News Posted: 28 Feb 2012 11:00 AM PST Now, let’s compare my snarky remarks about health care in the last post with a very different perspective. Fortunately, none of it involves politicians. In this documentary, health care delivery is being transformed by local health care professionals coming together for the benefit of community. Often with a clean sheet of paper, and asked how they could serve all people in their... Visit MoneyScience for the Complete Article.    |
| ICMA Centre News: How to Apply and Fees http://t.co/ffAjow2A Posted: 28 Feb 2012 10:45 AM PST BusinessSchools: ICMA Centre News: How to Apply and Fees http://t.co/ffAjow2A Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Africa's Growth Puzzle: Better Ways to Fill Infrastructure Gaps Posted: 28 Feb 2012 10:37 AM PST The issue of reviving or maintaining economic growth is a the forefront of policymakers’ minds all around the world. Of course, the policies needed to achieve that differ from region-to-region, country-to-country.read more... Visit MoneyScience for the Complete Article.    |
| Smoothly running transport during the Olympics âall about changing behaviourâ Posted: 28 Feb 2012 09:32 AM PST London's transport Commissioner Peter Hendy CBE speaks on 'Meeting the Olympic challenge' Visit MoneyScience for the Complete Article.    |
| Blog Post: substructural: Market Manipulation, Part 1 Posted: 28 Feb 2012 09:01 AM PST If the investment advice and forums are any indication, a lot of people consider the markets rigged and manipulated. But what is a good working definition of manipulation? There is price manipulation. That entails the defining what an "artificial" price is. Price manipulation is probably one of those things with a long, long history. One of the most famous cases is that of the Hunt brothers'... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 08:49 AM PST Performs comprehensive risk checks, compliance verifications, and control actions in a centralized view across asset classes, markets, and protocols read more... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 08:32 AM PST fin_tech: RT @LongTermGreed: IBM Busts Record for ‘Superconducting’ Quantum Computer http://t.co/yLn8ACq6 #QuantumFrontRunning Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 07:05 AM PST BusinessSchools: The fifth annual conference of the Cass-Capco Institute Paper Series on Risk - http://t.co/W88lNjCY @cassinthenews Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 06:30 AM PST fin_tech: RT @infoarbitrage: 2+ years of Twitter Data | DataSift Blog http://t.co/a2m3ev2M Great video on the power of the @datasift platform #bigdata Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 05:51 AM PST Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis Author(s): Viral V Acharya, Ouarda Merrouche CEPR Discussion Paper Number 8859 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 01/02/2012 Keyword(s): cash, contagion, counterparty risk, funding risk,... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2012 04:57 AM PST fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @itrsgroup @advancedtrading @kathyburger @inasap Visit MoneyScience for the Complete Article.    |
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