MoneyScience News |
- Blog Post: FINalternatives: Ex-Deutsche Bank Securitization Head Partners With Harvest
- Blog Post: TalesfromaTradingDesk: JP Morgan: 2011 Revenue Per Trade
- The largest hedge funds in the Americas - those managing $1 bn+ grew by $1.335 trillion last year http://t.co/ZNKIoPqH #tcm
- RT @StanleyEpstein: A closer look at Barclay's âPingitâ http://t.co/AgWBZgos
- RT @StanleyEpstein: A closer look at Barclay's âPingitâ http://t.co/FSFc5FRL
- Published / Preprint: Some results on relocation policies
- Blog Post: HighFrequencyTradingReview: Where is Server I/O Headed and is it Keeping Up with Compute and Storage?
- 'Early Bird' Discount: An Introduction to #QuantLib Development with Luigi Ballabio - London, 21-23rd May http://t.co/irIACtRP #tcm
- Blog Post: RobertPestonBlog: How many cheers for British companies?
- 'Early Bird' Discount: An Introduction to #QuantLib Development with Luigi Ballabio - London, 21-23rd May http://t.co/TMAxJ66N #tcm
- Greece's secret 2001 loan from Goldman Sachs Group was a costly mistake from the start. http://t.co/fiLmsDi9 #tcm
- 'Early Bird' Discount: An Introduction to #QuantLib Development with Luigi Ballabio - London, 21-23rd May http://t.co/4EhoDT89 #tcm
- Blog Post: TheAlephBlog: Buy-and-Hold Can't Die
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @isenbergumass
- Blog Post: TheFinancialServicesClub: A crowdsourced bank mobile app
- Blog Post: PsyFiBlog: Saliance is Golden
- Blog Post: Falkenblog: VXX Expensive Again
- Blog Post: TimingLogic: Tipping Point? Rush Limbaugh And The Politics Of Hate.
- Published / Preprint: Implied volatility formula of European Power Option Pricing. (arXiv:1203.0599v1 [q-fin.PR])
- Published / Preprint: Incorporating fat tails in financial models using entropic divergence measures. (arXiv:1203.0643v1 [q-fin.ST])
- Published / Preprint: Default Clustering in Large Portfolios: Typical Events. (arXiv:1104.1773v2 [q-fin.RM] UPDATED)
- Blog Post: AllAboutAlpha: PwC on Public Pension Managers Who 'Doâ Hedge Funds
- Blog Post: iMFdirect: Youth Speaking Out
- Blog Post: TheReformedBroker: Media: China Slowing, Jobs on Tap
- RT @TandF_Economics We are offering 7 days FREE ACCESS to 4 top Finance Journals! Sign in / register to start yo... http://t.co/u2EjqGsp
- Cass professor presents to the crème of the Spanish legal industry
- Blog Post: FinanceClippings: Damodaran on Apple's cash pile
- Published / Preprint: 05Mar/Paul Tucker appointed CPSS Chairman
- Published / Preprint: Does the Current Account Still Matter? (CEPR DP8888)
- Published / Preprint: The Theory of the Firm goes Global (CEPR DP8880)
- Published / Preprint: What Explains the Rise in CEO Pay in Germany? A Panel Data Analysis for 1977-2009 (CEPR DP8879)
- In case you missed it on Friday, Here's the Week in MoneyScience Digest 02/03/12 - http://t.co/gmThInnF
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @moonlightpr @sellsidetech @fin_tech @informaticacorp
- Myths behind High Frequency Trading - Jack Bouroudjian at #HFT Review - http://t.co/24Idebf2 #tcm
- Blog Post: mathfinance: Interview: Patrick Burns Quantitative Finance in R
- Blog Post: QFINANCE: Gauging China's economic future: fair to middling
- Call for Abstract: ECCS '12 Satellite Meeting: Data-Driven Modeling of Contagion Processes
- Inside UCLâs Financial Computing Center: The Future of Finance is Happening
- Video - Systemic Risk: Insights from Networks - Daron Acemoglu
- UC Berkeley study finds unethical behavior motivated by positive attitudes to greed
- Study proposes new measure of world equity market segmentation
| Blog Post: FINalternatives: Ex-Deutsche Bank Securitization Head Partners With Harvest Posted: 06 Mar 2012 04:46 AM PST More than a year after setting up his hedge fund, former Deutsche Bank securitized products chief Gregory Park is set to launch his maiden offeringâ€"as a joint venture.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TalesfromaTradingDesk: JP Morgan: 2011 Revenue Per Trade Posted: 06 Mar 2012 04:38 AM PST DealBreaker provides some thoughts on the data offered in JPM’s investor day slides. Interesting to see the average revenue per trade for FX vs IRSread more... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2012 04:04 AM PST moneyscience: The largest hedge funds in the Americas - those managing $1 bn+ grew by $1.335 trillion last year http://t.co/ZNKIoPqH #tcm Visit MoneyScience for the Complete Article.    |
| RT @StanleyEpstein: A closer look at Barclay's âPingitâ http://t.co/AgWBZgos Posted: 06 Mar 2012 03:51 AM PST moneyscience: RT @StanleyEpstein: A closer look at Barclay’s “Pingit†http://t.co/AgWBZgos Visit MoneyScience for the Complete Article.    |
| RT @StanleyEpstein: A closer look at Barclay's âPingitâ http://t.co/FSFc5FRL Posted: 06 Mar 2012 03:39 AM PST fin_tech: RT @StanleyEpstein: A closer look at Barclay’s “Pingit†http://t.co/FSFc5FRL Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Some results on relocation policies Posted: 06 Mar 2012 02:52 AM PST The European Journal of Finance, Volume 0, Issue 0, Page 1-12, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2012 02:20 AM PST An Interview with Yaron Haviv of Mellanox Technologiesread more... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2012 02:05 AM PST BusinessSchools: 'Early Bird' Discount: An Introduction to #QuantLib Development with Luigi Ballabio - London, 21-23rd May http://t.co/irIACtRP #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: How many cheers for British companies? Posted: 06 Mar 2012 02:01 AM PST With growth so weak for so long, and because of the widespread view that Britain is too dependent on consumer spending and financial services, there is an important political battle over how to transform the UK into more of an export-led, investment-driven economy.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2012 01:48 AM PST moneyscience: 'Early Bird' Discount: An Introduction to #QuantLib Development with Luigi Ballabio - London, 21-23rd May http://t.co/TMAxJ66N #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2012 01:48 AM PST moneyscience: Greece’s secret 2001 loan from Goldman Sachs Group was a costly mistake from the start. http://t.co/fiLmsDi9 #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2012 01:47 AM PST fin_tech: 'Early Bird' Discount: An Introduction to #QuantLib Development with Luigi Ballabio - London, 21-23rd May http://t.co/4EhoDT89 #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Buy-and-Hold Can't Die Posted: 06 Mar 2012 01:10 AM PST There’s this mistaken idea trotting around in the popular media, which usually only shows its face in bear or sideways markets: buy-and-hold investing is dead. This is wrong in several ways:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2012 12:12 AM PST BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @isenbergumass Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: A crowdsourced bank mobile app Posted: 06 Mar 2012 12:00 AM PST Today, I read a few headlines that make me sit up and take note.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: PsyFiBlog: Saliance is Golden Posted: 05 Mar 2012 11:50 PM PST New Frames As so often in the past Warren Buffett has stirred up a swarm of annoyed investors, this time by explaining why he thinks gold as an asset class isn’t so much overvalued as irrelevant. He’s done this in a way typical of the man, by changing our frame of reference, to give us an entirely new perspective on the issue. This gives us an insight not just into gold's current status as... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: VXX Expensive Again Posted: 05 Mar 2012 06:04 PM PST Looking at the SPX index, actual annualized volatility has been below 10 for the past couple months, which is very low historically. Funny you don't hear about Taleb or Spitznagel when vol crashes, only when it spikes (talk about a convex payoff!). See below for a chart. The VIX futures, which are closely related, show that not only is the VIX spot relatively high, but the future volatilities... Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Tipping Point? Rush Limbaugh And The Politics Of Hate. Posted: 05 Mar 2012 06:01 PM PST I would suppose most everyone has heard the deafening roar of mainstream media infatuation with Rush Limbaugh’s recent remarks. There is little doubt in my mind that after hearing endless displays of bizarre behavior over the years that Rush Limbaugh is, at best, a misogynist bully. His behavior is quite consistently erratic. He projects his insecurities outward onto the... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Mar 2012 05:33 PM PST We derive the implied volatility estimation formula in European power call options pricing, where the payoff functions are in the form of $V=(S^{\alpha}_T-K)^{+}$ and $V=(S^{\alpha}_T-K^{\alpha})^{+}$ ($\alpha>0$)respectively. Using quadratic Taylor approximations, We develop the computing formula of implied volatility in European power call option and extend the traditional... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Mar 2012 05:33 PM PST In the existing financial literature, entropy based ideas have been proposed in portfolio optimization, in model calibration for options pricing as well as in ascertaining a pricing measure in incomplete markets. The abstracted problem corresponds to finding a probability measure that minimizes the relative entropy (also called $I$-divergence) with respect to a known measure while it satisfies... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Mar 2012 05:33 PM PST We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical default profiles in the limit as the size of the pool grows. In our model, a firm defaults at a stochastic intensity that is influenced by an idiosyncratic risk process, a systematic risk process common to all firms, and past defaults. We prove a law of large numbers for the default... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: PwC on Public Pension Managers Who 'Doâ Hedge Funds Posted: 05 Mar 2012 05:22 PM PST The question in 2012 is not whether hedge funds (and other alternative investment vehicles) cxan attract pension funds, but how they should go about it. Alternatives managers will benefit most from the heightened interest of pension funds if they address the continuing concerns of their pension fund colleagues. For example, pension fund managers are well aware that investment in extic and... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Youth Speaking Out Posted: 05 Mar 2012 02:50 PM PST By Jeremy Cliftread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Media: China Slowing, Jobs on Tap Posted: 05 Mar 2012 01:46 PM PST Video. Visit MoneyScience for the Complete Article.    |
| Posted: 05 Mar 2012 01:33 PM PST moneyscience: RT @TandF_Economics We are offering 7 days FREE ACCESS to 4 top Finance Journals! Sign in / register to start yo... http://t.co/u2EjqGsp Visit MoneyScience for the Complete Article.    |
| Cass professor presents to the crème of the Spanish legal industry Posted: 05 Mar 2012 10:14 AM PST Professor Laura Empson spoke on her research on leadership and governance in law firms Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: Damodaran on Apple's cash pile Posted: 05 Mar 2012 08:57 AM PST Professor Damodaran pens an excellent analysis of Apple's huge pile of cash. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 05Mar/Paul Tucker appointed CPSS Chairman Posted: 05 Mar 2012 06:33 AM PST Press release about Paul Tucker being appointed CPSS Chairman (BIS Press Releases 5 March 2012) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Does the Current Account Still Matter? (CEPR DP8888) Posted: 05 Mar 2012 05:50 AM PST Does the Current Account Still Matter? Author(s): Maurice Obstfeld CEPR Discussion Paper Number 8888 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), International Macroeconomics (IM) Date of Publication: 01/03/2012 Keyword(s): Current account, External adjustment problems, Financial stability, Global imbalances,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Theory of the Firm goes Global (CEPR DP8880) Posted: 05 Mar 2012 05:50 AM PST The Theory of the Firm goes Global Author(s): Dalia Marin CEPR Discussion Paper Number 8880 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), Industrial Organization (IO), International Trade and Regional Economics (IT) Date of Publication: 01/03/2012 Keyword(s): corporate organisation across countries, empirical test... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Mar 2012 05:50 AM PST What Explains the Rise in CEO Pay in Germany? A Panel Data Analysis for 1977-2009 Author(s): Francesca Fabbri, Dalia Marin CEPR Discussion Paper Number 8879 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), Industrial Organization (IO), International Trade and Regional Economics (IT), Labour Economics (LE) Date of... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Mar 2012 05:03 AM PST BusinessSchools: In case you missed it on Friday, Here's the Week in MoneyScience Digest 02/03/12 - http://t.co/gmThInnF Visit MoneyScience for the Complete Article.    |
| Posted: 05 Mar 2012 04:57 AM PST fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @moonlightpr @sellsidetech @fin_tech @informaticacorp Visit MoneyScience for the Complete Article.    |
| Myths behind High Frequency Trading - Jack Bouroudjian at #HFT Review - http://t.co/24Idebf2 #tcm Posted: 05 Mar 2012 04:48 AM PST fin_tech: Myths behind High Frequency Trading - Jack Bouroudjian at #HFT Review - http://t.co/24Idebf2 #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: mathfinance: Interview: Patrick Burns Quantitative Finance in R Posted: 05 Mar 2012 04:04 AM PST Dr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written many papers on quantitative finance and statistics, he is also the author of the book The R Inferno and the R package BurStFin. Tell us a... Visit MoneyScience for the Complete Article.    |
| Blog Post: QFINANCE: Gauging China's economic future: fair to middling Posted: 05 Mar 2012 03:51 AM PST    |
| Call for Abstract: ECCS '12 Satellite Meeting: Data-Driven Modeling of Contagion Processes Posted: 05 Mar 2012 03:07 AM PST IMPORTANT DATES read more... Visit MoneyScience for the Complete Article.    |
| Inside UCLâs Financial Computing Center: The Future of Finance is Happening Posted: 03 Mar 2012 12:44 PM PST A fascinating article by Sam Knight over at the FT takes a look at University College London's Financial Computing Center and asks some very interesting questions about computational finance and the futue of finance generally.read more... Visit MoneyScience for the Complete Article.    |
| Video - Systemic Risk: Insights from Networks - Daron Acemoglu Posted: 28 Feb 2012 03:17 AM PST This talk was given at the 2012 American Finance Association meeting in Chicago. read more... Visit MoneyScience for the Complete Article.    |
| UC Berkeley study finds unethical behavior motivated by positive attitudes to greed Posted: 27 Feb 2012 10:38 PM PST The upper class has a higher propensity for unethical behavior, being more likely to believe – as did Gordon Gekko in the movie "Wall Street" – that "greed is good," according to a new study from the University of California, Berkeley. (abstract here)"The increased unethical tendencies of upper-class individuals are driven, in part, by their more favorable attitudes toward greed,"... Visit MoneyScience for the Complete Article.    |
| Study proposes new measure of world equity market segmentation Posted: 27 Feb 2012 11:36 AM PST NEW YORK – February 24, 2012 – A recent study in the Review of Financial Studies proposes a new, valuation-based measure of equity market segmentation. Equity market segmentation occurs when stocks of similar risk in different countries are priced differently. The study, by Columbia Business School Professor Geert Bekaert, Chazen Senior Scholar at The Jerome A. Chazen Institute of... Visit MoneyScience for the Complete Article.    |
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