MoneyScience News |
- RT @TimHarford: More Or Less: Why Apple isn't worth more than Poland http://t.co/yP0TmSV7
- RT @a_biao: nice summary '@curationary: An Introduction to 6 Machine Learning Models http://t.co/UP7RlfUa via @ziteâ
- RT @a_biao: nice summary '@curationary: An Introduction to 6 Machine Learning Models http://t.co/7hUvcEsK via @ziteâ
- RT @TandF_Economics #FREEACCESS to the most downloaded articles on the Financial Crises, Behavioral Finance, Tra... http://t.co/yclNbna5
- Published / Preprint: Liquidity stress-tester: do Basel III and unconventional monetary policy work?
- Blog Post: RobertPestonBlog: How business can bypass banks
- Blog Post: TheFinancialServicesClub: Is there a future for cash?
- No such pipe, or this pipe has been deleted
- Blog Post: FinanceClippings: The VIX is low...
- Blog Post: AllAboutAlpha: What Do Day-One/Early-Stage Investors Want?
- Blog Post: TimingLogic: Tell The FDA To Get BPA Out Of Our Food Packaging
- Blog Post: Falkenblog: The Philosophy of the Ultra Wealthy
- Published / Preprint: Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook. (arXiv:1203.2250v1 [q-fin.GN])
- Published / Preprint: Bounds for rating override rates. (arXiv:1203.2287v1 [q-fin.RM])
- Published / Preprint: Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias. (arXiv:1203.2355v1 [math.PR])
- Published / Preprint: Counterparty Risk Valuation: A Marked Branching Diffusion Approach. (arXiv:1203.2369v1 [q-fin.CP])
- Published / Preprint: Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation. (arXiv:1203.2564v1 [stat.AP])
- Published / Preprint: Capital allocation for credit portfolios under normal and stressed market conditions. (arXiv:1009.5401v2 [q-fin.RM] UPDATED)
- Published / Preprint: Permit Allocation in Emissions Trading using the Boltzmann Distribution. (arXiv:1108.2305v2 [q-fin.GN] CROSS LISTED)
- Blog Post: TalesfromaTradingDesk: The Advent of HTML5-based Financial Apps
- RT @TimHarford: Greg Mankiw's Contorted Defense of Mitt Romney http://t.co/bDbTTVlt
- Blog Post: TheReformedBroker: Backstage Wall Street: Chapter List
- Blog Post: FINalternatives: Credit Suisse Spin-Off Seeks $400 Million
- Blog Post: substructural: Asset Classes
- Blog Post: HighFrequencyTradingReview: Sebi should study the impact of algorithmic trading before taming it [LiveMint.com]
- Video - Lies, damn lies and Libor rates - http://t.co/FE18ckXb @cassinthenews #tcm #derivatives
- Lies, damn lies and Libor rates
- RT @xignite: Alpha discovery and the new arms race #hft #marketdata http://t.co/neXYbtsc
- Published / Preprint: A Survey of Prediction Using Social Media
- Published / Preprint: Broadcasters and Hidden Influentials in Online Protest Diffusion
- Published / Preprint: Income distribution patterns from a complete social security database
- Vendor News: Tradar and Nedelma introduce Mobile Portfolio Reporting App for iPad
- Vendor News: SS&C to Acquire Thomson Reuters PORTIA Business
- GARP, 2011 Risk Manager of the Year Awarded to Aaron Brown, AQR Capital Management
| RT @TimHarford: More Or Less: Why Apple isn't worth more than Poland http://t.co/yP0TmSV7 Posted: 13 Mar 2012 04:44 AM PDT moneyscience: RT @TimHarford: More Or Less: Why Apple isn't worth more than Poland http://t.co/yP0TmSV7 Visit MoneyScience for the Complete Article.      |
| Posted: 13 Mar 2012 04:44 AM PDT moneyscience: RT @a_biao: nice summary “@curationary: An Introduction to 6 Machine Learning Models http://t.co/UP7RlfUa via @zite†Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 03:38 AM PDT fin_tech: RT @a_biao: nice summary “@curationary: An Introduction to 6 Machine Learning Models http://t.co/7hUvcEsK via @zite†Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 02:52 AM PDT moneyscience: RT @TandF_Economics #FREEACCESS to the most downloaded articles on the Financial Crises, Behavioral Finance, Tra... http://t.co/yclNbna5 Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Liquidity stress-tester: do Basel III and unconventional monetary policy work? Posted: 13 Mar 2012 02:39 AM PDT Applied Financial Economics, Volume 22, Issue 15, Page 1233-1257, August 2012. Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: How business can bypass banks Posted: 13 Mar 2012 01:41 AM PDT Banks in Europe, including the UK, are far more important to the provision of credit than is the case in the US. Roughly, European banks provide 80% of our credit needs, compared with 20% in the US - where securitisation that allows investors to lend is massively more significant.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Is there a future for cash? Posted: 13 Mar 2012 01:18 AM PDT The debate about cash is a regular one, and it does roll on and on.read more... Visit MoneyScience for the Complete Article.    |
| No such pipe, or this pipe has been deleted Posted: 12 Mar 2012 09:43 PM PDT This data comes from pipes.yahoo.com but the Pipe does not exist or has been deleted. Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: The VIX is low... Posted: 12 Mar 2012 06:08 PM PDT This is relevant to my MBA students who currently have an assignment on implied volatility: The VIX has declined steadily over the past few months, and at the same time, stocks have rebounded. From the graph it appears that the VIX is quite negatively correlated with the S&P 500. Something that is pointed out here and here. I decided to grab some data from yahoo finance... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: What Do Day-One/Early-Stage Investors Want? Posted: 12 Mar 2012 06:07 PM PDT Funds of funds dominate the world of institutional investors in Day 1 or early stage (D1/ES) hedge funds, and they do so for a simple reason. That is their business model. They exist to invest in hedge funds, and their goal is to be fully invested at all times, not to have a lot of money sitting around as cash. Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Tell The FDA To Get BPA Out Of Our Food Packaging Posted: 12 Mar 2012 05:59 PM PDT I eat almost nothing out of a can. Ever. And I buy nothing packaged in plastic unless it is frozen. My leftovers usually are stored in glass containers or BPA free plastic containers. Nothing is better than glass. It’s inert. I have already alerted the few food companies that I buy canned food products from that if they don’t change their packaging,... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: The Philosophy of the Ultra Wealthy Posted: 12 Mar 2012 05:53 PM PDT At the MIT Conference last Friday, our lunchtime keynote address was from Donald Sussman, the founder and chairman of Paloma Partners. He's a very rich guy and surely has made many savvy business decisions. For example, he mentioned that around 1992 he was invited with about 200 businessmen to hear a pitch by the Chinese government on investing in China. He not only paid his own way unlike... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 05:32 PM PDT In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a long-term rhythm where a period of above average returns tends to be followed by a period of below average returns. We demonstrate that this long-term stock market... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bounds for rating override rates. (arXiv:1203.2287v1 [q-fin.RM]) Posted: 12 Mar 2012 05:32 PM PDT Overrides of credit ratings are important correctives of ratings that are determined by statistical rating models. Financial institutions and banking regulators agree on this because on the one hand errors with ratings of corporates or banks can have fatal consequences for the lending institutions and on the other hand errors by statistical methods can be minimised but not completely avoided.... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 05:32 PM PDT We characterize the small-time asymptotic behavior of the exit probability of a L\'evy process out of a two-sided interval and of the law of its overshoot, conditionally on the terminal value of the process. The asymptotic expansions are given in the form of a first order term and a precise computable error bound. As an important application of these formulas, we develop a novel adaptive... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 05:31 PM PDT The purpose of this paper is to design an algorithm for the computation of the counterparty risk which is competitive in regards of a brute force "Monte-Carlo of Monte-Carlo" method (with nested simulations). This is achieved using marked branching diffusions describing a Galton-Watson random tree. Such an algorithm leads at the same time to a computation of the (bilateral) counterparty risk when... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 05:31 PM PDT A perturbative approach is used to derive approximations of arbitrary order to estimate high percentiles of sums of positive independent random variables that exhibit heavy tails. Closed-form expressions for the successive approximations are obtained both when the number of terms in the sum is deterministic and when it is random. The zeroth order approximation is the percentile of the maximum... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 05:31 PM PDT If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of the capital calculations conducted with the model. At first glance, this is totally different if the PDs are estimated as point-in-time (PIT) PDs. However, it can be argued that the reflection of... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 05:31 PM PDT In emissions trading, the initial allocation of permits is an intractable issue because it needs to be essentially fair to the participating countries. There are many ways to distribute a given total amount of emissions permits among countries, but the existing distribution methods, such as auctioning and grandfathering, have been debated. In this paper we describe a new method for allocating... Visit MoneyScience for the Complete Article.    |
| Blog Post: TalesfromaTradingDesk: The Advent of HTML5-based Financial Apps Posted: 12 Mar 2012 03:18 PM PDT Recently an interesting posting appeared on my RSS reader: Six Advantages of Developing Cross-Platform HTML5-based Financial Apps: Part 1. Now we all have our own views – its part of being human So here’s my view of the posting taking each points in turn:read more... Visit MoneyScience for the Complete Article.    |
| RT @TimHarford: Greg Mankiw's Contorted Defense of Mitt Romney http://t.co/bDbTTVlt Posted: 12 Mar 2012 01:40 PM PDT moneyscience: RT @TimHarford: Greg Mankiw’s Contorted Defense of Mitt Romney http://t.co/bDbTTVlt Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Backstage Wall Street: Chapter List Posted: 12 Mar 2012 12:04 PM PDT Here's the final list of chapters: Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Credit Suisse Spin-Off Seeks $400 Million Posted: 12 Mar 2012 11:50 AM PDT Credit Value Partners, a new hedge fund helmed by four former Credit Suisse, is open for new business.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: substructural: Asset Classes Posted: 12 Mar 2012 10:49 AM PDT Given the past few eventful weeks, I thought it would be interesting to review the state of the various asset classes. Below is a table with the 3-months returns for some ETF proxies for various asset classes.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2012 10:47 AM PDT By Mobis Philiposeread more... Visit MoneyScience for the Complete Article.    |
| Video - Lies, damn lies and Libor rates - http://t.co/FE18ckXb @cassinthenews #tcm #derivatives Posted: 12 Mar 2012 08:41 AM PDT BusinessSchools: Video - Lies, damn lies and Libor rates - http://t.co/FE18ckXb @cassinthenews #tcm #derivatives Visit MoneyScience for the Complete Article.    |
| Lies, damn lies and Libor rates Posted: 12 Mar 2012 08:38 AM PDT Cass Business School's Dr Nick Motson on the bank lending rate probe.read more... Visit MoneyScience for the Complete Article.    |
| RT @xignite: Alpha discovery and the new arms race #hft #marketdata http://t.co/neXYbtsc Posted: 12 Mar 2012 08:35 AM PDT fin_tech: RT @xignite: Alpha discovery and the new arms race #hft #marketdata http://t.co/neXYbtsc Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Survey of Prediction Using Social Media Posted: 12 Mar 2012 05:55 AM PDT Social media comprises interactive applications and platforms for creating, sharing and exchange of user-generated contents. The past ten years have brought huge growth in social media, especially online social networking services, and it is changing our ways to organize and communicate. It aggregates opinions and feelings of diverse groups of people at low cost. Mining the attributes and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Broadcasters and Hidden Influentials in Online Protest Diffusion Posted: 12 Mar 2012 05:47 AM PDT This paper explores the growth of o a41 nline mobilizations using data from the 'indignados' (the 'outraged') movement in Spain, which emerged under the influence of the revolution in Egypt and as a precursor to the global Occupy mobilizations. The data tracks Twitter activity around the protests that took place in May 2011, which led to the formation of camp sites in dozens of cities all over... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Income distribution patterns from a complete social security database Posted: 12 Mar 2012 05:47 AM PDT We analyze the income distribution of employees for 9 consecutive years (2001-2009) using a complete social security database for an economically important district of Romania. The database contains detailed information on more than half million taxpayers, including their monthly salaries from all employers where they worked. Besides studying the characteristic distribution functions in the high... Visit MoneyScience for the Complete Article.    |
| Vendor News: Tradar and Nedelma introduce Mobile Portfolio Reporting App for iPad Posted: 01 Mar 2012 10:35 PM PST Tradar and Nedelma introduce Mobile Portfolio Reporting Applicationread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: SS&C to Acquire Thomson Reuters PORTIA Business Posted: 01 Mar 2012 08:49 AM PST Acquisition Strengthens SS&C's Portfolio Management Suiteread more... Visit MoneyScience for the Complete Article.    |
| GARP, 2011 Risk Manager of the Year Awarded to Aaron Brown, AQR Capital Management Posted: 01 Mar 2012 12:11 AM PST The Global Association of Risk Professionals, (GARP, www.garp.org ) presented its 2011 Risk Manager of the Year Award today to Aaron Brown, Head of Risk Management for AQR Capital Management at the Association's 13th Annual Risk Management Convention & Exhibition at the New York Marriott Marquis in New York City. read more... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |