MoneyScience News |
- 60 Minutes: The Case Against Lehman Brothers via @ritholtz http://t.co/YyShIvHc #tcm
- via @mebfaber - The Sohn Investment Idea Contest http://t.co/wMSdoHyT #tcm
- Blog Post: TheReformedBroker: Beat Rates, Forward Guidance and other things that aren't helping you right now
- Blog Post: QFINANCE: The Climate Change Trade: Your Portfolio May Never Look the Same
- UK companies pay record £18.8bn dividends - http://t.co/rm3iu5vE #tcm
- Olympic Economics: 20 Papers on Economics and the Olympic Games - http://t.co/pmfVWfTF #olympics #london2012
- RT @BCMstrategy: @carlcarrie: Paper on quasi-closed form solution for pricing VIX #derivatives assuming 3/2 jump model http://t.co/VGkrMpKP
- Published / Preprint: Large deviations for a mean field model of systemic risk
- Published / Preprint: Network structure of inter-industry flows
- Published / Preprint: Statistical Properties of Avalanches in Networks
- Olympic Economics: 20 Papers on Economics and the Olympic Games
- Blog Post: HighFrequencyTradingReview: Perseus Telecom & Reliance Globalcom Launch World"s Fastest Trans-Atlantic Trading Network
- Published / Preprint: Influence Spread in Large-Scale Social Networks - A Belief Propagation Approach
- Blog Post: PatrickBurns: A variance campaign that failed
- Blog Post: RobertPestonBlog: Is Hollande enemy or prisoner of finance?
- Blog Post: TheFinancialServicesClub: The Occupy Spring: shareholders meetings disrupted and a general strike ...
- Research Library: Private Equity Performance: What Do We Know? (pdf)
- Proceeding from the 2012 Collective Intelligence Conference, Cambridge, MA
- Blog Post: PsyFiBlog: Self-Organizing the Investment Blogosphere
- Speculation in oil markets? What have we learned?
- Published / Preprint: A finite-dimensional quantum model for the stock market. (arXiv:1204.4614v1 [q-fin.GN])
- Published / Preprint: Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds. (arXiv:1204.4631v1 [q-fin.CP])
- Published / Preprint: Any Regulation of Risk Increases Risk. (arXiv:1004.1670v4 [q-fin.RM] UPDATED)
- Blog Post: AllAboutAlpha: Video: David McMillan, CFA, Partner, Mercer Investment Consulting
- Blog Post: BCMstrategy: The Risk Telescope ' IMF Firewalls and Political Math
- Blog Post: Falkenblog: Robeco Low Volatility Conference
- Blog Post: TalesfromaTradingDesk: UBS Quod Studio ' Quant on Demand
- Blog Post: reszatonline: Just a coin: Belgium 1986
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @moneyscience @john_avery @techandtrading
| 60 Minutes: The Case Against Lehman Brothers via @ritholtz http://t.co/YyShIvHc #tcm Posted: 23 Apr 2012 04:37 AM PDT moneyscience: 60 Minutes: The Case Against Lehman Brothers via @ritholtz http://t.co/YyShIvHc #tcm Visit MoneyScience for the Complete Article.      |
| via @mebfaber - The Sohn Investment Idea Contest http://t.co/wMSdoHyT #tcm Posted: 23 Apr 2012 04:37 AM PDT moneyscience: via @mebfaber - The Sohn Investment Idea Contest http://t.co/wMSdoHyT #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2012 04:21 AM PDT The media loves a soundbite - especially an unambiguously positive or negative one. Such and such earnings report "beat the Street" or "gave a weaker [...] Visit MoneyScience for the Complete Article.    |
| Blog Post: QFINANCE: The Climate Change Trade: Your Portfolio May Never Look the Same Posted: 23 Apr 2012 04:02 AM PDT    |
| UK companies pay record £18.8bn dividends - http://t.co/rm3iu5vE #tcm Posted: 23 Apr 2012 03:29 AM PDT moneyscience: UK companies pay record £18.8bn dividends - http://t.co/rm3iu5vE #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2012 02:50 AM PDT BusinessSchools: Olympic Economics: 20 Papers on Economics and the Olympic Games - http://t.co/pmfVWfTF #olympics #london2012 Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2012 02:44 AM PDT moneyscience: RT @BCMstrategy: @carlcarrie: Paper on quasi-closed form solution for pricing VIX #derivatives assuming 3/2 jump model http://t.co/VGkrMpKP Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Large deviations for a mean field model of systemic risk Posted: 23 Apr 2012 02:33 AM PDT We consider a system of diffusion processes that intera 89a ct through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three parameters that characterize the system: the strength of the intrinsic stabilization, the strength of the external random perturbations, and the degree of cooperation or interaction between them. The... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Network structure of inter-industry flows Posted: 23 Apr 2012 02:33 AM PDT We study the structure of inter-industry relationships using networks of money flows between industries in 20 national economies. We find these networks var 638 y around a typical structure characterized by a Weibull link weight distribution, exponential industry size distribution, and a common community structure. The community structure is hierarchical, with the top level of the hierarchy... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Statistical Properties of Avalanches in Networks Posted: 23 Apr 2012 02:33 AM PDT We characterize the distributions of size and duration of avalanches propagating in complex networks. By an avalanche we mean the sequence of events initiated by the externally stimulated `excitation' of a network node, which may, with some probability, then stimulate subsequent firings of the nodes to which it is connected, resulting in a cascade of firings. This type of process is relevant to a... Visit MoneyScience for the Complete Article.    |
| Olympic Economics: 20 Papers on Economics and the Olympic Games Posted: 23 Apr 2012 02:24 AM PDT To complement the collection of papers I put together in 2010 on the FIFA World Cup, here's a first pass at collecting research on the upcoming Olympics. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2012 02:20 AM PDT Offers ultra low-latency link across Atlantic connecting US and UK read more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2012 02:15 AM PDT Influence maximization is the problem of finding a small set of seed nodes in a social network that maximizes the spread of influence under a certain diffusion model. The Greedy algorithm for influence maximization first proposed by Kempe, later improved by Leskovec suffers from two sources of computational deficiency: 1) the need to evaluate many candidate nodes before selecting a new seed in... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: A variance campaign that failed Posted: 23 Apr 2012 02:00 AM PDT they ought at least be allowed to state why they didn’t do anything and also to explain the process by which they didn’t do anything.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: Is Hollande enemy or prisoner of finance? Posted: 23 Apr 2012 01:33 AM PDT Although Francois Hollande began his campaign to be president of France by declaring that his true enemy is "the world of finance", the socialist victor in the first-round of voting is also - to an extent - a prisoner of that world.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2012 01:14 AM PDT Occupy Wall Street is seven months old.read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Private Equity Performance: What Do We Know? (pdf) Posted: 22 Apr 2012 11:12 PM PDT Via: Noah Smith who comments on this paper. Robert S. Harris, Tim Jenkinson and Steven N. Kaplan Abstract We present evidence on the performance of nearly 1400 U.S. private equity (buyout and venture capital) funds using a new research-quality dataset from Burgiss, sourced from over 200 institutional investors. Using detailed cash-flow data, we compare buyout and venture capital... Visit MoneyScience for the Complete Article.    |
| Proceeding from the 2012 Collective Intelligence Conference, Cambridge, MA Posted: 22 Apr 2012 10:59 PM PDT Via the always excellent, Complexity Digest:read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: PsyFiBlog: Self-Organizing the Investment Blogosphere Posted: 22 Apr 2012 10:55 PM PDT "Investing is hard. It is hard for everyone, including the most successful investors in the world. Nevertheless, investing is one of those adult responsibilities we all need to come to terms with.†Abnormal Returns: Winning Strategies from the Frontlines of the Investment Blogosphere by Tadas Viskanta Trying to understand the amorphous creature that is the financial blogosphere is... Visit MoneyScience for the Complete Article.    |
| Speculation in oil markets? What have we learned? Posted: 22 Apr 2012 10:49 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2012 05:34 PM PDT We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is an attempt to make this model consistent with the discrete nature of the stock price and is based on the mathematical formalism used in the case of the quantum systems with finite-dimensional Hilbert... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2012 05:34 PM PDT This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no assumption on the volatility of the yield. We actually calculate the initial value of the forward yield, we calculate the volatility of the yield, and we write the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Any Regulation of Risk Increases Risk. (arXiv:1004.1670v4 [q-fin.RM] UPDATED) Posted: 22 Apr 2012 05:34 PM PDT We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken on by the regulated financial entities are far more systemically concentrated than they would have been otherwise, making the entire financial system more... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: Video: David McMillan, CFA, Partner, Mercer Investment Consulting Posted: 22 Apr 2012 05:16 PM PDT From Lynne Feldman, Director of Marketing at the CAIA Association: CAIA Conversations: Mark O’Hare, Founder & CEO, Preqin from caia on Vimeo. David McMillan, CFA, Partner, Mercer Investment Consulting, discusses the role of consultants, risk management, trends in the hedge fund industry, and the need for educationâ€"now and in the future. Mr. McMillan spoke with Wendy L. [...] Visit MoneyScience for the Complete Article.    |
| Blog Post: BCMstrategy: The Risk Telescope ' IMF Firewalls and Political Math Posted: 22 Apr 2012 04:14 PM PDT ​Today’s issue of The Risk Telescope focuses on the political math supporting the IMF’s expanded firewall facilities, relying heavily on pie charts and tables. The conclusion is that the firewall is neither as large nor as solid as initial media and official statements suggest. Moreover, by potentially over-reaching on the rhetoric in order to generate good headlines, the... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Robeco Low Volatility Conference Posted: 22 Apr 2012 02:45 PM PDT I was at a conference sponsored by one of the world’s leading low volatility fund managers, Robeco. Low volatility investing was really pioneered there by Pim van Vliet, who was influenced by papers by Bob Haugen among others in graduate school (eg, Commonality of Stock Returns, 1996 JFE). That is, Pim believes, as I do, that higher risk generates lower-than-average returns, and this creates a... Visit MoneyScience for the Complete Article.    |
| Blog Post: TalesfromaTradingDesk: UBS Quod Studio ' Quant on Demand Posted: 22 Apr 2012 01:46 PM PDT Interesting read over on Financial News on UBS’s Quod Studio – gestures to create algo’s.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: reszatonline: Just a coin: Belgium 1986 Posted: 22 Apr 2012 12:22 PM PDT When I was a little girl, neighbors and friends of the family used to bring me coins from their travels which I kept in a small wooden box. For no special reason, I still have the box. Over the years, my treasure grew from my own travels, and those of my friends, and in this [...] Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2012 05:54 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @moneyscience @john_avery @techandtrading Visit MoneyScience for the Complete Article.    |
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