MoneyScience News |
- Video: Algos: Whatâs Happening Now
- I have to say @TheEconomist Debates Feature is pretty cool: Up right now - High-frequency trading http://t.co/G0QodnVf #hft #tcm
- I have to say @TheEconomist Debates Feature is pretty cool: Up right now - High-frequency trading http://t.co/uOa45wDD #hft #tcm
- Blog Post: HighFrequencyTradingReview: Opening Cross: Low Latency, High Capacity, Non-Display: The Effects on FX and Beyond [Inside Market Data]
- Blog Post: PatrickBurns: The quality of variance matrix estimation
- The changing nature of cloud adoption - http://t.co/jNFjDfZg #tcm
- RT @carlcarrie: Video - Algorithmic Trading Exec discusses latest trends http://t.co/BuEJewoW #HFT #Trading
- The changing nature of cloud adoption - http://t.co/7qT8MjrX #tcm
- RT @carlcarrie: Video - Algorithmic Trading Exec discusses latest trends http://t.co/d7cVBZc1 #HFT #Trading
- Blog Post: TheFinancialServicesClub: Anonymous: dangerous or laughable?
- Blog Post: WealthandCapitalMarketsBlog: Changing nature of cloud adoption
- Banks' macho culture 'holds women back' - organisations are "filtering out" top female talent at all levels http://t.co/XMwZ9k1a #tcm
- Blog Post: PsyFiBlog: Hubble, Bubble, Index Trouble
- Published / Preprint: New: Getting at Systemic Risk Via an Agent-Based Model of the Housing Market
- Published / Preprint: New: Leverage Causes Fat Tails and Clustered Volatility
- Published / Preprint: New: Heterogeneity, Correlations and Financial Contagion
- Published / Preprint: New: How Does the Market React to Your Order Flow?
- Blog Post: Falkenblog: Are High Beta Assets Really Low Risk?
- Blog Post: TimingLogic: 70% Of U.S. Ground Beef Contains 'Pink Slimeâ
- Blog Post: AllAboutAlpha: Video: Ken Shoji, Founder & Managing Partner, Stissing Lake Advisors
- Published / Preprint: Consistent Long-Term Yield Curve Prediction. (arXiv:1203.2017v1 [q-fin.PR])
- Published / Preprint: Hedging of Game Options With the Presence of Transaction Costs. (arXiv:1103.1165v3 [q-fin.PM] UPDATED)
- Blog Post: TheReformedBroker: The Fed Has No Idea What Happens Next ' And Thatâs Okay
- Blog Post: BCMstrategy: The Risk Telescope ' The Day After
- US Government Agencies Comparing Notes On Algo Feeds
- Published / Preprint: 12Mar/March 2012 Quarterly Review discusses global market repercussions of euro area sovereign debt crisis
- Blog Post: TalesfromaTradingDesk: Windows 8 Metro ' IoC and Portable Class Libraries
- @FelixSalmon At Columbia Journalism School: Don't Blame Journalists For Failing To Prevent Financial Crisis http://t.co/R4BEaQa2 #tcm
- Pricing Climate Change - http://t.co/qKWInKcf #tcm
- An open letter to Jamie Dimon - http://t.co/aPLsdycK #tcm
- Blog Post: TheMonetaryFuture: Virtual Currencies and Roach Motels
- Blog Post: TheAlephBlog: Binary Pi
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @isenbergumass
| Video: Algos: Whatâs Happening Now Posted: 12 Mar 2012 04:45 AM PDT A short interview with Owain Self, UBS’s Gobal Head of Algorithmic Trading.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 12 Mar 2012 04:30 AM PDT moneyscience: I have to say @TheEconomist Debates Feature is pretty cool: Up right now - High-frequency trading http://t.co/G0QodnVf #hft #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 04:30 AM PDT fin_tech: I have to say @TheEconomist Debates Feature is pretty cool: Up right now - High-frequency trading http://t.co/uOa45wDD #hft #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 03:31 AM PDT By Max Bowie read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: The quality of variance matrix estimation Posted: 12 Mar 2012 03:07 AM PDT A bit of testing of the estimation of the variance matrix for S&P 500 stocks in 2011.read more... Visit MoneyScience for the Complete Article.    |
| The changing nature of cloud adoption - http://t.co/jNFjDfZg #tcm Posted: 12 Mar 2012 03:04 AM PDT moneyscience: The changing nature of cloud adoption - http://t.co/jNFjDfZg #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 03:04 AM PDT moneyscience: RT @carlcarrie: Video - Algorithmic Trading Exec discusses latest trends http://t.co/BuEJewoW #HFT #Trading Visit MoneyScience for the Complete Article.    |
| The changing nature of cloud adoption - http://t.co/7qT8MjrX #tcm Posted: 12 Mar 2012 02:49 AM PDT fin_tech: The changing nature of cloud adoption - http://t.co/7qT8MjrX #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 02:49 AM PDT fin_tech: RT @carlcarrie: Video - Algorithmic Trading Exec discusses latest trends http://t.co/d7cVBZc1 #HFT #Trading Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Anonymous: dangerous or laughable? Posted: 12 Mar 2012 01:40 AM PDT We have seen a great deal of activity from the activist online community called Anonymous in the last year.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Changing nature of cloud adoption Posted: 12 Mar 2012 01:00 AM PDT The concepts of data centres and virtualization have been around for long but the buzz and the hype around cloud computing has been a recent phenomenon. While the general buzz is high for cloud, the adoption rates have been much lower than expected.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 12:27 AM PDT moneyscience: Banks' macho culture 'holds women back' - organisations are "filtering out" top female talent at all levels http://t.co/XMwZ9k1a #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: PsyFiBlog: Hubble, Bubble, Index Trouble Posted: 12 Mar 2012 12:06 AM PDT Consequences, Consequences In a world in which our behavioral biases are continually encouraging us to stray into temptation, or at least into the grasping hands of the securities industry, we have to look for whatever small mercies we can find. Not the least amongst these is the humble index tracking fund, an asset type specifically created to minimise the opportunity for self-inflicted... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: New: Getting at Systemic Risk Via an Agent-Based Model of the Housing Market Posted: 11 Mar 2012 10:17 PM PDT Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: New: Leverage Causes Fat Tails and Clustered Volatility Posted: 11 Mar 2012 10:16 PM PDT We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing," i.e., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are approximately normally distributed and uncorrelated across time. This changes when the funds are allowed... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: New: Heterogeneity, Correlations and Financial Contagion Posted: 11 Mar 2012 10:16 PM PDT We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: New: How Does the Market React to Your Order Flow? Posted: 11 Mar 2012 10:16 PM PDT We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Are High Beta Assets Really Low Risk? Posted: 11 Mar 2012 08:16 PM PDT At Friday's conference, Sam Wilderman of GMO articulated his diagnosis of the low volatility anomaly: high beta stocks are low risk. He seems like a good guy, merely confused, so as a public service I'll try to explain why this makes about as much sense as the qwerty keyboard.His basic idea comes from the finding that high beta stocks tend to have higher betas in bull markets (good!) and lower... Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: 70% Of U.S. Ground Beef Contains 'Pink Slimeâ Posted: 11 Mar 2012 06:36 PM PDT Forty years ago we had literally thousands of meat processors in this country. When we had family farms and meat was produced and sold locally, oftentimes grocery stores would butcher their own local meat. There were even meat butchers who had their own retail establishments. Kids used to go to trade school to learn the craft of butchering. I’ve helped butcher farm... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: Video: Ken Shoji, Founder & Managing Partner, Stissing Lake Advisors Posted: 11 Mar 2012 05:47 PM PDT From Lynne Feldman, Director of Marketing at the CAIA Association: Ken Shoji, Chief Operating Officer, GSB Podium Advisors LLC, discusses risk management in hedge funds, including measurement, analysis, and reporting; liquidity management; risk budgeting and allocation; and tail risk strategies . Mr. Shoji spoke with Wendy L. Coleman, CAIA, CFA, FRM, Senior Advisor to the CAIA [...] Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Consistent Long-Term Yield Curve Prediction. (arXiv:1203.2017v1 [q-fin.PR]) Posted: 11 Mar 2012 05:35 PM PDT We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data, as it is the case for interest rates. Furthermore, the model structure allows to separate clearly the tasks of estimating the volatility structure and of... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Mar 2012 05:35 PM PDT We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support property. We show that the super-replication price is the cheapest cost of a trivial super-replication strategy. This result is an extension of previous papers (see... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: The Fed Has No Idea What Happens Next ' And Thatâs Okay Posted: 11 Mar 2012 02:36 PM PDT Rather than manufacturing confidence that I know what's about to happen, I now prefer to display and feel the confidence that I'll know what to do when it does happen. Visit MoneyScience for the Complete Article.    |
| Blog Post: BCMstrategy: The Risk Telescope ' The Day After Posted: 11 Mar 2012 01:39 PM PDT A collective sigh of relief is nearly audible this weekend. At least one set of contractual obligations (credit default swaps) will be honored on time, in full, and in the manner anticipated when the contracts were written. The months-long anticipation of this event, paired with generous (3-year) bank liquidity support by the European Central Bank and the direction of official sector support... Visit MoneyScience for the Complete Article.    |
| US Government Agencies Comparing Notes On Algo Feeds Posted: 11 Mar 2012 01:14 PM PDT Bloomberg Reports:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Mar 2012 01:01 PM PDT BIS Quarterly Review - 12 March 2012 (BIS Press Release) Visit MoneyScience for the Complete Article.    |
| Blog Post: TalesfromaTradingDesk: Windows 8 Metro ' IoC and Portable Class Libraries Posted: 11 Mar 2012 12:51 PM PDT CodePlex offers MetroIoc – a native WinRT Inversion of Control container, for use in Metro style apps. What is probably more interesting if that MEF in part of the Portable Class Libraries. MSDN Magaazine has an article from 2011, “Portable Class Libraries: A Primer”, which discusses DI frameworks – MEF and Unity. Finally, the BCL blog offers “Announcing Portable... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Mar 2012 10:46 AM PDT moneyscience: @FelixSalmon At Columbia Journalism School: Don't Blame Journalists For Failing To Prevent Financial Crisis http://t.co/R4BEaQa2 #tcm Visit MoneyScience for the Complete Article.    |
| Pricing Climate Change - http://t.co/qKWInKcf #tcm Posted: 11 Mar 2012 10:46 AM PDT moneyscience: Pricing Climate Change - http://t.co/qKWInKcf #tcm Visit MoneyScience for the Complete Article.    |
| An open letter to Jamie Dimon - http://t.co/aPLsdycK #tcm Posted: 11 Mar 2012 10:46 AM PDT moneyscience: An open letter to Jamie Dimon - http://t.co/aPLsdycK #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TheMonetaryFuture: Virtual Currencies and Roach Motels Posted: 11 Mar 2012 01:27 AM PST By Jon Matonis Forbes Tuesday, March 6, 2012 http://www.forbes.com/sites/jonmatonis/2012/03/06/virtual-currencies-and-roach-motels/ According to Google's Eric Schmidt at the recent Mobile World Congress in Barcelona, the company once considered issuing its own digital currency for use and circulation across its expanding global platform. After reviewing various proposals for the proposed Google... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Binary Pi Posted: 10 Mar 2012 09:43 PM PST 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.    |
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