MoneyScience News |
- Blog Post: HighFrequencyTradingReview: FPL Releases Industry Developed FIX Guidelines for Global Post-Trade Processing
- Video - Alan Kirman: FutureICT Perspectives for Economics
- 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
- Blog Post: TheReformedBroker: Kindness as Religion
- Blog Post: FINalternatives: Wisconsin's Capital Innovations Launches Inflation Protection Fund
- Blog Post: TheFinancialServicesClub: The Obsessive Compulsive Jim Cramer
- Cass Knowledge Newsletter - April 2012 - http://t.co/cZjNV0Fj @cassinthenews #tcm
- Cass Knowledge Newsletter - April 2012 - http://t.co/owd11lPb @cassinthenews #tcm
- Cass Knowledge newsletter - April 2012
- RT @TimHarford: Rethinking how we teach economics - debate in the NYT HT @lucymarcus http://t.co/rLYikCWt
- Blog Post: PatrickBurns: Replacing market indices
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @kelleyschool @bob_bruner @babson
- Blog Post: PsyFiBlog: The Tyranny of Numeracy
- Hal White's paper: A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity http://t.co/RA32WgWA
- Sad news. Econometrician, Professor Halbert L. White, Jr. has died http://t.co/pTDsqk4M
- Hal White Has Passed Away
- Blog Post: TimingLogic: Goldman Sachs: Doing God's Work Includes Investments In Under-Age Sex Trafficking And Prostitution
- Blog Post: Falkenblog: Low Vol Underperforming
- Published / Preprint: The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds. (arXiv:1203.6723v1 [q-fin.PR])
- Published / Preprint: Systemic losses in banking networks: indirect interaction of nodes via asset prices. (arXiv:1203.6778v1 [q-fin.RM])
- Published / Preprint: Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. (arXiv:1203.6899v1 [q-fin.CP])
- Blog Post: AllAboutAlpha: From Ring Knockouts to Court Deliberations: How Markets Predict
- Blog Post: EconometricsBeat: Unit Root Tests With Missing Observations
- Blog Post: mathfinance: Assistant Professor Salary: China vs. UK
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @kirkwy @nanexllc @techandtrading @carlcarrie
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
Posted: 02 Apr 2012 04:14 AM PDT |
Blog Post: TheReformedBroker: Kindness as Religion Posted: 02 Apr 2012 04:06 AM PDT |
Blog Post: FINalternatives: Wisconsin's Capital Innovations Launches Inflation Protection Fund Posted: 02 Apr 2012 03:41 AM PDT |
Blog Post: TheFinancialServicesClub: The Obsessive Compulsive Jim Cramer Posted: 02 Apr 2012 03:38 AM PDT |
Cass Knowledge Newsletter - April 2012 - http://t.co/cZjNV0Fj @cassinthenews #tcm Posted: 02 Apr 2012 03:25 AM PDT |
Cass Knowledge Newsletter - April 2012 - http://t.co/owd11lPb @cassinthenews #tcm Posted: 02 Apr 2012 03:25 AM PDT |
Cass Knowledge newsletter - April 2012 Posted: 02 Apr 2012 03:22 AM PDT |
Posted: 02 Apr 2012 01:55 AM PDT |
Blog Post: PatrickBurns: Replacing market indices Posted: 02 Apr 2012 01:33 AM PDT |
Posted: 02 Apr 2012 12:26 AM PDT |
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 canât 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... Visit MoneyScience for the Complete Article. |
Posted: 01 Apr 2012 10:54 PM PDT |
Sad news. Econometrician, Professor Halbert L. White, Jr. has died http://t.co/pTDsqk4M Posted: 01 Apr 2012 10:54 PM PDT |
Posted: 01 Apr 2012 10:08 PM PDT |
Posted: 01 Apr 2012 07:00 PM PDT |
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. Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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.... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
Posted: 01 Apr 2012 05:55 AM PDT |
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 |