MoneyScience News |
- Blog Post: QFINANCE: Charles Goodhart warns of regulatory overkill
- Blog Post: TheFinancialServicesClub: Things worth reading: 28th March 2012
- Blog Post: HighFrequencyTradingReview: High-Frequency Trades Seen Boosting Commodity-Stocks Link [Bloomberg]
- Blog Post: TheMonetaryFuture: Why the P2P Foundation is Paying Its Salaries in Bitcoin
- Published / Preprint: Heavy-Tail Distribution from Correlation of Discrete Stochastic Process
- Published / Preprint: We've walked a million miles for one of these smiles
- Published / Preprint: Optimal Trading with Linear Costs
- Published / Preprint: Rent distribution in a simple model of housing price formation
- Published / Preprint: Effect of correlations on network controllability
- Published / Preprint: Activity driven modeling of dynamic networks
- Published / Preprint: Aftershock prediction for high-frequency financial markets' dynamics
- Blog Post: FINalternatives: He's Out: Cohen Loses Dodgers Bidding
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @iesebs
- Blog Post: TheAlephBlog: A Pox on Promoted Stocks (2)
- @Cassinthenews: ICAEW joins Cass M&A Research Centre http://t.co/UQoO8p2q
- Blog Post: CLANSMAN2: Bigger euro bailout fund needed to create space to boost growth, OECD says
- Blog Post: PsyFiBlog: Risk := ON
- Blog Post: Falkenblog: Theory vs. Data
- Blog Post: AllAboutAlpha: The Great Gasoline Trade Behind Pump Prices
- Blog Post: TalesfromaTradingDesk: my-Channels ' Moving into Low Latency Mesaging
- Published / Preprint: Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (arXiv:1203.5903v1 [q-fin.PR])
- Published / Preprint: Optimal Trading with Linear Costs. (arXiv:1203.5957v1 [q-fin.PM])
- Published / Preprint: From Nuclear Reactions to High-Frequency Trading: an R-function Approach. (arXiv:1203.6021v1 [q-fin.GN])
- Blog Post: TimingLogic: Bering Sea Shows Second Highest Ice Extent In Recorded Satellite History
- ICMA Centre News: Trading Competition 2012 http://t.co/W9JQDKhO
- Blog Post: TheReformedBroker: My Fantasy Linkfest at Abnormal Returns!
- ICAEW joins Cass M&A Research Centre
- The Harry M Markowitz Award winning paper: Predicting Financial Distress and the Performance of Distressed Stocks http://t.co/WJygTKgf
- The Second Annual Harry M Markowitz Award from The Journal Of Investment Management - http://t.co/acUF4UR0
- Research Library: The National Transportation Safety Board: A Model for Systemic Risk Management (pdf)
- Blog Post: RobertPestonBlog: Big business and Treasury capture government
- Research Library: The Supply and Demand of Alpha (pdf)
- Research Library: Predicting Financial Distress and the Performance of Distressed Stocks (pdf)
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @sellsidetech @lowlatency @ialdridge @tradeweb
- The Second Annual Harry M Markowitz Award Winners
| Blog Post: QFINANCE: Charles Goodhart warns of regulatory overkill Posted: 28 Mar 2012 04:52 AM PDT      |
| Blog Post: TheFinancialServicesClub: Things worth reading: 28th March 2012 Posted: 28 Mar 2012 04:28 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Mar 2012 03:52 AM PDT By Maria Kolesnikovaread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheMonetaryFuture: Why the P2P Foundation is Paying Its Salaries in Bitcoin Posted: 28 Mar 2012 03:37 AM PDT By Michel Bauwens P2P Foundation Wednesday, March 28, 2012 http://blog.p2pfoundation.net/why-the-p2p-foundation-is-paying-its-salaries-in-bitcoin/2012/03/28 The P2P Foundation thinks that readers may be interested in the following recent development. First, one word about the structure of the P2P Foundation. The Foundation is first of all a virtual and physical community of contributors,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Heavy-Tail Distribution from Correlation of Discrete Stochastic Process Posted: 28 Mar 2012 02:22 AM PDT We propose a stochastic process driven by the memory effect with 718 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: We've walked a million miles for one of these smiles Posted: 28 Mar 2012 02:12 AM PDT We derive a new, exact and transparen 7b6 t 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.    |
| Published / Preprint: Optimal Trading with Linear Costs Posted: 28 Mar 2012 02:12 AM PDT We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch between the maximum allowed long position and the maximum allowed short position, whenever the predictor exce 62e eds a threshold value, for which we establish... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Rent distribution in a simple model of housing price formation Posted: 28 Mar 2012 02:12 AM PDT We consider a 790 simple stochastic model of a urban housing market, in which the interaction of tenants and landlords induces rent (or price) fluctuations. We simulate the model numerically and measure the equilibrium price distribution, which is found to be well-described by a lognormal law. We also study the influence of the density of agents (or equivalently, the vacancy rate) on the price... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Effect of correlations on network controllability Posted: 28 Mar 2012 02:12 AM PDT A dynamical system is controllable if by imposing appropriate external signals on a subset of its nodes called driver nodes, it can be driven from any initial state to any desired state in finite time. Here we study the impact of various network characteristics on the minimal number of driver nodes required to control a network. We find that clustering and modularity have no discernible impact,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Activity driven modeling of dynamic networks Posted: 28 Mar 2012 02:12 AM PDT Network modeling plays a critical role in identifying statistical regularities and structural principles common to many systems. The large majority of recent modeling approaches are connectivity driven, in the sense that the structural pattern of the network is at the basis of the mechanisms ruling the network formation. Connectivity driven models necessarily provide a time-aggregated... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Aftershock prediction for high-frequency financial markets' dynamics Posted: 28 Mar 2012 01:47 AM PDT The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. Its present-day description relies on an empirical characterization proposed by... Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: He's Out: Cohen Loses Dodgers Bidding Posted: 28 Mar 2012 12:41 AM PDT Steven Cohen was rebuffed yesterday in his bid to buy baseball's Los Angeles Dodgers. Instead of the SAC Capital Advisors founder, outgoing Dodgers owner Frank McCourt picked a group led by Los Angeles Lakers legend Magic Johnson.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Mar 2012 12:32 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @iesebs Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: A Pox on Promoted Stocks (2) Posted: 28 Mar 2012 12:10 AM PDT By this time, I would think that it would be worth the the time of penny stock promoters to put a big red X over my house, and not send me any more promotions. But alas, I got another one, Stevia First, Inc. This is a weird one, a really, really weird one, as I will attempt to explain.read more... Visit MoneyScience for the Complete Article.    |
| @Cassinthenews: ICAEW joins Cass M&A Research Centre http://t.co/UQoO8p2q Posted: 27 Mar 2012 11:52 PM PDT BusinessSchools: @Cassinthenews: ICAEW joins Cass M&A Research Centre http://t.co/UQoO8p2q Visit MoneyScience for the Complete Article.    |
| Blog Post: CLANSMAN2: Bigger euro bailout fund needed to create space to boost growth, OECD says Posted: 27 Mar 2012 10:56 PM PDT Euro area finance ministers meeting this week need to boost the firepower of the European stability funds to at least one trillion euros, OECD Secretary-General Angel GurrÃa said today.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: PsyFiBlog: Risk := ON Posted: 27 Mar 2012 09:42 PM PDT Quantitative Squeezing As the immediate fears of market immolation have faded the switch in investors’ heads marked “Risk†has moved to the OFF position. All those little signs of uncertainty, the mass synchronisation of share price movements, the endless twittering and wittering about the imminent end of the known world have faded, to replaced by the normal measures of complacency in the... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Theory vs. Data Posted: 27 Mar 2012 08:44 PM PDT One interesting interpretation of Freud is that he modeled his approach based on his readings of Sherlock Holmes (see Sebastiano Timpanora). In those books, Holmes would trace the faintest clues and infallibly solve a puzzle that would daunt your average person. Freud then though if he could supply a dynamic explanation for virturall every reported dream or error, the soundness of his method... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: The Great Gasoline Trade Behind Pump Prices Posted: 27 Mar 2012 06:48 PM PDT Futures tell the future, at least as it relates to gas pump prices. Visit MoneyScience for the Complete Article.    |
| Blog Post: TalesfromaTradingDesk: my-Channels ' Moving into Low Latency Mesaging Posted: 27 Mar 2012 06:29 PM PDT So my-Channels, not content to deliver “real-time streaming across Enterprise, Web and Mobile”, and also now pushing into the low-latency enterprise space. Should we expect the same move from PUSH Technologies and Lightstreamer? Should Informatica Ultra Messaging (29West) and Solace Systems be worried? Is this a direct result of Solace System moving into the Real-time Internet Data... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Mar 2012 05:30 PM PDT In this paper quasi-closed-form solutions are derived for the price of equity and VIX derivatives under the assumption that the underlying follows a 3/2 process with jumps in the index. The newly-found formulae allow for an empirical analysis to be performed. In the case of the pure-diffusion 3/2 model, the dynamics are rich enough to capture the observed upward-sloping implied-volatility skew in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal Trading with Linear Costs. (arXiv:1203.5957v1 [q-fin.PM]) Posted: 27 Mar 2012 05:30 PM PDT We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch between the maximum allowed long position and the maximum allowed short position, whenever the predictor exceeds a threshold value, for which we establish an... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Mar 2012 05:30 PM PDT The R-function theory of Thomas is used to model neutron inelastic scattering and the fine, intermediate, and gross structure observed in the Dow Jones Industrial Average on a typical trading day. Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Bering Sea Shows Second Highest Ice Extent In Recorded Satellite History Posted: 27 Mar 2012 04:38 PM PDT Just released over at NASA. Apparently, global warming causes an increase in ice formation. 20-30% higher than the average for the last 30 years. Hey Al, give back the Nobel Prize. Hey, Nobel Prize committee. you need to get politics out of your selection process. Giving Al Gore the Nobel Peace Prize has made a mockery of your organization. ... Visit MoneyScience for the Complete Article.    |
| ICMA Centre News: Trading Competition 2012 http://t.co/W9JQDKhO Posted: 27 Mar 2012 12:06 PM PDT BusinessSchools: ICMA Centre News: Trading Competition 2012 http://t.co/W9JQDKhO Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: My Fantasy Linkfest at Abnormal Returns! Posted: 27 Mar 2012 10:59 AM PDT I took over AR today... Visit MoneyScience for the Complete Article.    |
| ICAEW joins Cass M&A Research Centre Posted: 27 Mar 2012 07:11 AM PDT World leading accountancy body to help identify new M&A research topics Visit MoneyScience for the Complete Article.    |
| Posted: 27 Mar 2012 06:43 AM PDT BusinessSchools: The Harry M Markowitz Award winning paper: Predicting Financial Distress and the Performance of Distressed Stocks http://t.co/WJygTKgf Visit MoneyScience for the Complete Article.    |
| Posted: 27 Mar 2012 06:43 AM PDT BusinessSchools: The Second Annual Harry M Markowitz Award from The Journal Of Investment Management - http://t.co/acUF4UR0 Visit MoneyScience for the Complete Article.    |
| Posted: 27 Mar 2012 06:28 AM PDT Eric Fielding, Andrew W. Lo, and Jian Helen Yang Abstract We propose the National Transportation Safety Board (NTSB) as a model organization for addressing systemic risk in industries and contexts other than transportation. When adopted by regulatory agencies and the transportation industry, the safety recommendations of the NTSB have been remarkably effective in reducing the number of... Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: Big business and Treasury capture government Posted: 27 Mar 2012 06:27 AM PDT It looks to me like the triumph of big business - or rather the triumph of the Treasury's view of what big businesses need and want.read more... Visit MoneyScience for the Complete Article.    |
| Research Library: The Supply and Demand of Alpha (pdf) Posted: 27 Mar 2012 06:23 AM PDT Harry Markowitz, Robert Snigaroff and David Wroblewski Abstract This paper analyzes the supply and demand for alpha by institutional investors and them money managers who serve them. A large database of products offered by such managers is used to estimate how the demand for such products increases as a function of achieved excess returns and how the ability to produce such excess returns... Visit MoneyScience for the Complete Article.    |
| Research Library: Predicting Financial Distress and the Performance of Distressed Stocks (pdf) Posted: 27 Mar 2012 06:18 AM PDT John Y. Campbell, Jens Hilscher, and Jan Szilagyi Abstract In this paper we consider the measurement and pricing of distress risk. We present a model of corporate failure in which accounting and market-based measures forecast the likelihood of future financial distress. Our best model is more accurate than leading alternative measures of corporate failure risk. We then use our measure... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Mar 2012 05:55 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @sellsidetech @lowlatency @ialdridge @tradeweb Visit MoneyScience for the Complete Article.    |
| The Second Annual Harry M Markowitz Award Winners Posted: 27 Mar 2012 05:41 AM PDT The winning paper provides a new, more accurate model for predicting financial distress and the performance of distressed stocks Special Selection panel consists of Nobel Prize winners Harry M. Markowitz, Robert C. Merton, Myron S. Scholes, and William F. Sharpe read more... Visit MoneyScience for the Complete Article.    |
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