MoneyScience News |
- Blog Post: TheReformedBroker: Hot Links: Murdered-Out
- Blog Post: RobertPestonBlog: Did the Bank of England cause the boom and bust?
- Published / Preprint: On risk management determinants: what really matters?
- Published / Preprint: The role of multivariate skew-Student density in the estimation of stock market crashes
- Blog Post: TheFinancialServicesClub: Things worth reading: 27th March 2012
- RT @ClearRisk: Spreadsheet risk: The devil is in the data http://t.co/JolbouCi #riskmanagement
- Blog Post: TheAlephBlog: Replacing Defined Contributions
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @insis @erasmusnieuws @utexasmccombs
- Crumbs. A 16-year-old builds a working scientific calculator in Minecraft - http://t.co/V6cX7yXi #tcm
- Blog Post: Falkenblog: Hedge Fund Profits Near Zero
- Published / Preprint: The Wishart short rate model. (arXiv:1203.5513v1 [q-fin.PR])
- Published / Preprint: Heavy-Tail Distribution from Correlation of Discrete Stochastic Process. (arXiv:1203.5581v1 [math.ST])
- Published / Preprint: Asset Pricing under uncertainty. (arXiv:1203.5664v1 [q-fin.PR])
- Published / Preprint: We've walked a million miles for one of these smiles. (arXiv:1203.5703v1 [q-fin.PR])
- Published / Preprint: Quantile Mechanics 3: Series Representations of some Distributions appearing in Finance. (arXiv:1203.5729v1 [q-fin.CP])
- Blog Post: AllAboutAlpha: Conversing with the Oracles of The Daily Delphi
- Blog Post: FinanceClippings: Do equities always outperform in the long run?
- Vendor News: ITG launches POSIT Alert for Asia Pacific
- Blog Post: reszatonline: Europe's imagined financial centres I â history*
- Blog Post: FINalternatives: SS&C Makes Formal Bid For GlobeOp
- RT @DerwentCapital: "Thomson Reuters pushes trading into social media" - http://t.co/pMtVUYns
- Apologies in advance for light posting. This week is a long overdue development week at MoneyScience! #tcm
- Blog Post: ThreeToedSloth: Networks, Crowds, and More Networks (This Week at the Statistics and Machine Learning Seminars)
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @informaticacorp @sungardas @fitzanalytics @sungardfs
- Published / Preprint: Borrow Cheap, Buy High? The Determinants of Leverage and Pricing in Buyouts (CEPR DP8914)
- Published / Preprint: Aggregate Risk and the Choice between Cash and Lines of Credit (CEPR DP8913)
- More on Barclaycard's Near-Field Communications Problem - http://t.co/CkbIhPIA - Doh! #tcm
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @ricemba @iesebs @esadeexed @ieseexeced @insead
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @BPP @HandelshoyskBI @EuromedMgmt
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @essecventures @IsenbergUMass @DardenMBA
- Video: Algos: Whatâs Happening Now
| Blog Post: TheReformedBroker: Hot Links: Murdered-Out Posted: 27 Mar 2012 03:49 AM PDT Your morning financial links, expertly curated. Visit MoneyScience for the Complete Article.      |
| Blog Post: RobertPestonBlog: Did the Bank of England cause the boom and bust? Posted: 27 Mar 2012 02:39 AM PDT How much were central banks, notably the Bank of England and the US Federal Reserve, to blame for the financial boom and bust that's landed us with years of economic stagnation?read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On risk management determinants: what really matters? Posted: 27 Mar 2012 02:33 AM PDT The European Journal of Finance, Volume 0, Issue 0, Page 1-20, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Posted: 27 Mar 2012 02:33 AM PDT The European Journal of Finance, Volume 0, Issue 0, Page 1-17, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading: 27th March 2012 Posted: 27 Mar 2012 02:31 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| RT @ClearRisk: Spreadsheet risk: The devil is in the data http://t.co/JolbouCi #riskmanagement Posted: 27 Mar 2012 02:13 AM PDT moneyscience: RT @ClearRisk: Spreadsheet risk: The devil is in the data http://t.co/JolbouCi #riskmanagement Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Replacing Defined Contributions Posted: 27 Mar 2012 01:58 AM PDT I think that it is pretty certain that defined contribution [DC] plans 401(k)s, 403(b)s, 457s, much as they have grown to be dominant, have been a failure. Many, though not all people like the illusion of control, and seeing their cash balance — makes the pension plan tangible, even if they don’t get what they will really need at retirement.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Mar 2012 01:19 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @insis @erasmusnieuws @utexasmccombs Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 10:37 PM PDT fin_tech: Crumbs. A 16-year-old builds a working scientific calculator in Minecraft - http://t.co/V6cX7yXi #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Hedge Fund Profits Near Zero Posted: 26 Mar 2012 06:19 PM PDT The graph above shows the portion of hedge fund profits that go to the hedge funds, the fund-of-funds, and the investors, using total dollars from 1998-2010. This is from Simon Lack's presentation, which is derived from his book Hedge Fund Mirage. Notice 97% go to insiders, 3% to investors. Like most strategies or asset classes, the money made on a percent basis is large because it basically... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Wishart short rate model. (arXiv:1203.5513v1 [q-fin.PR]) Posted: 26 Mar 2012 05:30 PM PDT We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We propose a new closed form solution for the pricing of zero-coupon bonds and interest-rate derivatives, based on the Cameron-Martin approach outlined in Gnoatto and Grasselli (2011). Moreover, we derive sufficient conditions ensuring that the model replicates normal, inverse or humped... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 05:30 PM PDT We propose a stochastic process driven by the memory effect with novel distributions which include both exponential and leptokurtic heavy-tailed distributions. A class of the distributions is analytically derived from the continuum limit of the discrete binary process with the renormalized auto-correlation. The moment generating function with a closed form is obtained, thus the cumulants are... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Asset Pricing under uncertainty. (arXiv:1203.5664v1 [q-fin.PR]) Posted: 26 Mar 2012 05:30 PM PDT We study the effect of parameter uncertainty on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, using methods from the theory of Dirichlet forms. We apply these techniques to hedging procedures in order to compute the sensitivity of SDE trajectories with respect to parameter perturbations. We show that this analysis can justify endogenously the presence... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 05:30 PM PDT We derive a new, exact and transparent expansion for option smiles, which lends itself both to analytical approximation and, probably more importantly, to congenial numerical treatments. We show that the skew and the curvature of the smile can be computed as exotic options, for which the Hedged Monte Carlo method is particularly well suited. When applied to options on the S&P index, we find... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 05:30 PM PDT It has long been agreed by academics that the inversion method is the method of choice for generating random variates, given the availability of the quantile function. However for several probability distributions arising in practice a satisfactory method of approximating these functions is not available. The main focus of this paper will be to develop Taylor and asymptotic series representations... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: Conversing with the Oracles of The Daily Delphi Posted: 26 Mar 2012 05:05 PM PDT The Internet and technology have changed the face of trading forever. To get a glimpse of the future we sat down with the oracles of The Daily Delphi to see what the next newest thing might be. Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: Do equities always outperform in the long run? Posted: 26 Mar 2012 04:00 PM PDT An interesting overview of the equity risk premium from the psy-fi blog. A couple of key takeaways: First a quote from Buffet: Warren Buffett, as usual, looks at this differently. Taking a hindsight view of the twentieth century in US markets: “To break things down another way, we had three huge, secular bull markets that covered about 44 years, during which the Dow gained more than 11,000... Visit MoneyScience for the Complete Article.    |
| Vendor News: ITG launches POSIT Alert for Asia Pacific Posted: 26 Mar 2012 01:34 PM PDT New Electronic Crossing Platform Expands Buyside Liquidity in Asia HONG KONG/NEW YORK, March 26, 2012 /PRNewswire/ -- ITG (NYSE:ITG) a leading agency research broker and financial technology firm, today announced the launch of POSIT Alert® for Australia, Hong Kong and Japan trading. POSIT Alert is a premier global platform for sourcing large blocks of liquidity, actively alerting... Visit MoneyScience for the Complete Article.    |
| Blog Post: reszatonline: Europe's imagined financial centres I â history* Posted: 26 Mar 2012 12:43 PM PDT *Â This is the first part of a shortened and revised version of a paper published as Centres of Finance, Centres of Imagination: On Collective Memory and Cultural Identity in European Financial Market Places, in: GaWC Research Bulletin 92, 20th August 2002. Part II will be on Collective Memory and Cultural Identity, Part III on [...] Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: SS&C Makes Formal Bid For GlobeOp Posted: 26 Mar 2012 12:03 PM PDT SS&C Technologies has made its offer for hedge fund administrator GlobeOp Financial Services official.read more... Visit MoneyScience for the Complete Article.    |
| RT @DerwentCapital: "Thomson Reuters pushes trading into social media" - http://t.co/pMtVUYns Posted: 26 Mar 2012 08:10 AM PDT fin_tech: RT @DerwentCapital: "Thomson Reuters pushes trading into social media" - http://t.co/pMtVUYns Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 07:18 AM PDT BusinessSchools: Apologies in advance for light posting. This week is a long overdue development week at MoneyScience! #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 07:15 AM PDT I am behind in posting my talk announcements: Andrew Thomas, "Marginal-Additive Models and Processes for Network-Correlated Outcomes" Abstract: A key promise of social networks is the ability to detect and model the correlation of personal attributes along the structure of the network, in either static or dynamic settings. The basis for most of these models, the Markov Random Field on a lattice,... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 05:54 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @informaticacorp @sungardas @fitzanalytics @sungardfs Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 05:46 AM PDT Borrow Cheap, Buy High? The Determinants of Leverage and Pricing in Buyouts Author(s): Per Johan Strömberg CEPR Discussion Paper Number 8914 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 01/03/2012 Keyword(s): capital structure, credit cycles, leveraged buyouts, Private equity JEL(s): G24,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Aggregate Risk and the Choice between Cash and Lines of Credit (CEPR DP8913) Posted: 26 Mar 2012 05:46 AM PDT Aggregate Risk and the Choice between Cash and Lines of Credit Author(s): Viral V Acharya, Heitor Almeida, Murillo Campello CEPR Discussion Paper Number 8913 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 01/03/2012 Keyword(s): asset beta, bank lines of credit, cash holdings, liquidity... Visit MoneyScience for the Complete Article.    |
| More on Barclaycard's Near-Field Communications Problem - http://t.co/CkbIhPIA - Doh! #tcm Posted: 26 Mar 2012 05:14 AM PDT fin_tech: More on Barclaycard's Near-Field Communications Problem - http://t.co/CkbIhPIA - Doh! #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2012 12:32 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @ricemba @iesebs @esadeexed @ieseexeced @insead Visit MoneyScience for the Complete Article.    |
| Posted: 21 Mar 2012 12:46 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @BPP @HandelshoyskBI @EuromedMgmt Visit MoneyScience for the Complete Article.    |
| Posted: 20 Mar 2012 01:36 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @essecventures @IsenbergUMass @DardenMBA Visit MoneyScience for the Complete Article.    |
| 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.    |
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