Monday, April 2, 2012

MoneyScience News

MoneyScience News


Blog Post: HighFrequencyTradingReview: FPL Releases Industry Developed FIX Guidelines for Global Post-Trade Processing

Posted: 02 Apr 2012 04:52 AM PDT

FPL Provides Guidance to Facilitate the Adoption of FIX Standards for Equity Post-Trade Processing, Creating the Potential for the Industry to Benefit from Increased Availability, Improved Risk Management, Enhanced Transparency, Reduced Costs and Increased Efficiencies for Post-Trade Processing read more...

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Video - Alan Kirman: FutureICT Perspectives for Economics

Posted: 02 Apr 2012 04:25 AM PDT

FutureICT is a pan-European science and technology project which I've covered several times here at MoneyScience. The objective: to inspire new information and communication technologies (ICT) and contribute to the most pressing scientific challenges of the 21st Century:read more...

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Useless for who, Ian? RT @Ian_Fraser: As Angela Knight steps down from BBA here's a reminder of how useless she's been http://t.co/nIvx8kVN

Posted: 02 Apr 2012 04:14 AM PDT

moneyscience: Useless for who, Ian? RT @Ian_Fraser: As Angela Knight steps down from BBA here's a reminder of how useless she's been http://t.co/nIvx8kVN

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Blog Post: TheReformedBroker: Kindness as Religion

Posted: 02 Apr 2012 04:06 AM PDT

MAKE KINDNESS YOUR RELIGION

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Blog Post: FINalternatives: Wisconsin's Capital Innovations Launches Inflation Protection Fund

Posted: 02 Apr 2012 03:41 AM PDT

Wisconsin-based investment firm Capital Innovations has launched the Capital Innovations Inflation Fund, blending the agribusiness, timber and infrastructure strategies of the firm’s three existing funds.read more...

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Blog Post: TheFinancialServicesClub: The Obsessive Compulsive Jim Cramer

Posted: 02 Apr 2012 03:38 AM PDT

I attended the first ever TEDx Wall Street  last week, and a fine show it was.read more...

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Cass Knowledge Newsletter - April 2012 - http://t.co/cZjNV0Fj @cassinthenews #tcm

Posted: 02 Apr 2012 03:25 AM PDT

moneyscience: Cass Knowledge Newsletter - April 2012 - http://t.co/cZjNV0Fj @cassinthenews #tcm

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Cass Knowledge Newsletter - April 2012 - http://t.co/owd11lPb @cassinthenews #tcm

Posted: 02 Apr 2012 03:25 AM PDT

BusinessSchools: Cass Knowledge Newsletter - April 2012 - http://t.co/owd11lPb @cassinthenews #tcm

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Cass Knowledge newsletter - April 2012

Posted: 02 Apr 2012 03:22 AM PDT

We enjoy receiving your feedback, so if you have any comments about the newsletter then we would like to hear them. Contact us on the email address below. read more...

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RT @TimHarford: Rethinking how we teach economics - debate in the NYT HT @lucymarcus http://t.co/rLYikCWt

Posted: 02 Apr 2012 01:55 AM PDT

BusinessSchools: RT @TimHarford: Rethinking how we teach economics - debate in the NYT HT @lucymarcus http://t.co/rLYikCWt

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Blog Post: PatrickBurns: Replacing market indices

Posted: 02 Apr 2012 01:33 AM PDT

If equity markets suddenly sprang into existence now, would we create market indices? I’m doubtful.read more...

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The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @kelleyschool @bob_bruner @babson

Posted: 02 Apr 2012 12:26 AM PDT

BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @kelleyschool @bob_bruner @babson

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Blog Post: PsyFiBlog: The Tyranny of Numeracy

Posted: 01 Apr 2012 11:25 PM PDT

Count the Errors It seems that numeracy is the next big idea because important people, whoever they are, have suddenly woken up to the fact that having a workforce that needs to understand linear regression, but which actually can’t count the number of shoes it needs to find in the morning, is probably going to be a drawback in a world where math is increasingly going to differentiate...

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Hal White's paper: A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity http://t.co/RA32WgWA

Posted: 01 Apr 2012 10:54 PM PDT

BusinessSchools: Hal White's paper: A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity http://t.co/RA32WgWA

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Sad news. Econometrician, Professor Halbert L. White, Jr. has died http://t.co/pTDsqk4M

Posted: 01 Apr 2012 10:54 PM PDT

BusinessSchools: Sad news. Econometrician, Professor Halbert L. White, Jr. has died http://t.co/pTDsqk4M

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Hal White Has Passed Away

Posted: 01 Apr 2012 10:08 PM PDT

Via Dave Giles, Mark Thoma, James Hamilton writes:read more...

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Blog Post: TimingLogic: Goldman Sachs: Doing God's Work Includes Investments In Under-Age Sex Trafficking And Prostitution

Posted: 01 Apr 2012 07:00 PM PDT

Taxpayer investment in saving Goldman Sachs seems to be paying off.  We seem to be nearing the edge of recoverability.   I suspect readers will appreciate a post I’m putting up after Easter. 

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Blog Post: Falkenblog: Low Vol Underperforming

Posted: 01 Apr 2012 06:33 PM PDT

Low volatility investors, now is the winter of our discontent. When the market does extremely well, high beta outperforms, low beta underperforms. Thus, even though low beta/volatility portfolios are up, they are not up nearly as much as the alternatives. That is benchmark risk, and why the low volatility strategy is not a slam dunk. These are data I maintain, for the US.

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Published / Preprint: The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds. (arXiv:1203.6723v1 [q-fin.PR])

Posted: 01 Apr 2012 05:32 PM PDT

The paper analyzes the mathematics of the relationship between the default risk and yield-to-maturity of a coupon bond. It is shown that the yield-to-maturity is driven not only by the default probability and recovery rate of the bond but also by other contractual characteristics of the bond that are not commonly associated with default risk, such as the maturity and coupon rate of the bond. In...

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Published / Preprint: Systemic losses in banking networks: indirect interaction of nodes via asset prices. (arXiv:1203.6778v1 [q-fin.RM])

Posted: 01 Apr 2012 05:32 PM PDT

A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing individual banks; associated with each node is a balance sheet consisting of assets and liabilities. Initial node failures are triggered by external correlated shocks...

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Published / Preprint: Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. (arXiv:1203.6899v1 [q-fin.CP])

Posted: 01 Apr 2012 05:32 PM PDT

We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the variance-gamma model, the CGMY model and the Heston model without correlation to illustrate our results....

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Blog Post: AllAboutAlpha: From Ring Knockouts to Court Deliberations: How Markets Predict

Posted: 01 Apr 2012 05:04 PM PDT

Consider the sort of information that was coming out of the Supreme Court building in Washington as oral arguments over the Patient Protection and Affordable Care Act (ObamaCare) proceeded last week. A lawyer, arguing that the recently enacted health care bill is constitutional under familiar commerce-clause precedents, found himself on the receiving end of rather aggressive questions from a...

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Blog Post: EconometricsBeat: Unit Root Tests With Missing Observations

Posted: 01 Apr 2012 01:20 PM PDT

Whenever we test the stationarity of our time-series data we use a "complete" historical time-series. That's to say, there can't be any "gaps" in the series,arising perhaps due to data observations that were not recorded, are contaminated, or are such extreme outliers that they are unbelievable and have to be discarded. If observations are missing, for whatever reason, then we can't apply...

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Blog Post: mathfinance: Assistant Professor Salary: China vs. UK

Posted: 01 Apr 2012 06:21 AM PDT

I will hopefully submit my PhD thesis by September, never thought I would one day work in academia, but started to seriously plan what to do after graduation: go back to industry or begin a new career at university? Spent this weekend searching for opportunities both in UK and China, with emphasis on assistant professor at finance department. The results are really surprising, I heard the salary...

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Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @kirkwy @nanexllc @techandtrading @carlcarrie

Posted: 01 Apr 2012 05:55 AM PDT

fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @kirkwy @nanexllc @techandtrading @carlcarrie

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