MoneyScience News |
- Blog Post: HighFrequencyTradingReview: Electronic trading tops 60% of global foreign exchange trading volume [FX-MM]
- Published / Preprint: Purchase and redemption decisions of mutual fund investors and the role of fund families
- Published / Preprint: The IPO of Industrial and Commercial Bank of China and the âChinese Modelâ of privatizing large financial institutions
- MT @Ian_Fraser: Ian Hannan is 'eccentric former soldier who led JP Morgan's hunt for gold in Afghanistan' http://t.co/mqVR3noV #tcm
- Voices in Finance: Quantitative prop trader: 'I wouldn't try to raise the price of rice and starve China' http://t.co/ci9KwaHA #tcm
- Blog Post: TheAlephBlog: Book Review: The Indomitable Investor
- Blog Post: TheFinancialServicesClub: Three principles for a new Wall Street
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @kelloggschool @essecventures @grenoble_em
- Blog Post: FINalternatives: Trafalgar's Kain Joins Prop. Firm Maven
- Blog Post: Falkenblog: JOBS Act to Bring Light to Hedge Funds
- Published / Preprint: General Intensity Shapes in Optimal Liquidation. (arXiv:1204.0148v1 [q-fin.TR])
- Published / Preprint: Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs. (arXiv:1204.0305v1 [q-fin.PM])
- Published / Preprint: When games meet reality: is Zynga overvalued. (arXiv:1204.0350v1 [q-fin.GN])
- Published / Preprint: Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix. (arXiv:1204.0426v1 [q-fin.ST])
- Published / Preprint: Pricing Variable Annuity Guarantees in a Local Volatility framework. (arXiv:1204.0453v1 [q-fin.PR])
- Published / Preprint: Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR. (arXiv:1103.2567v2 [q-fin.PR] UPDATED)
- Published / Preprint: One-year reserve risk including a tail factor: closed formula and bootstrap approaches. (arXiv:1107.0164v2 [q-fin.RM] UPDATED)
- Blog Post: AllAboutAlpha: A Paradox: Avoid Correlation by Following the Trends
- Blog Post: TheReformedBroker: The Josh and Joe Show Part I
- Blog Post: FinanceClippings: Pension fund risky bets fail to pay off.
- @icmacentre: Diversification of Equity with VIX Futures: Personal Views and Skewness Preference http://t.co/MgzJaKSe
- Blog Post: TalesfromaTradingDesk: Will Single Dealer Platforms Follow Tradeo?
- Blog Post: WealthandCapitalMarketsBlog: Social Impact and Trust in Social Media: How Will Investors Separate the Wheat from the Chaff?
- Blog Post: TimingLogic: Apple's Chief Puts Stamp On Labor Issues
- Bitcoin, the financial traders' anarchic new toy
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @sassoftware @hftreview @blackhorse @tradeweb
- Stanfords free Computer Science 101 course that planned to launch in February 2012 will now launch on 23 April http://t.co/4DPG4XTy #tcm
- Published / Preprint: A proposal for the resolution of systemically important assets and liabilities: The case of the repo market (CEPR DP8927)
- Stanfords free Computer Science 101 course that planned to launch in February 2012 will now launch on 23 April http://t.co/KHEzJRZx #tcm
| Posted: 03 Apr 2012 04:32 AM PDT Strong growth in electronic trading activity last year pushed electronic foreign exchange volumes above 60% of the overall global FX market for the first time, according to the results of Greenwich Associates recent Global Foreign Exchange Services Study.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 03 Apr 2012 02:42 AM PDT The European Journal of Finance, Volume 0, Issue 0, Page 1-18, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Posted: 03 Apr 2012 02:42 AM PDT The European Journal of Finance, Volume 0, Issue 0, Page 1-26, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Posted: 03 Apr 2012 02:34 AM PDT moneyscience: MT @Ian_Fraser: Ian Hannan is 'eccentric former soldier who led JP Morgan's hunt for gold in Afghanistan' http://t.co/mqVR3noV #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 03 Apr 2012 01:40 AM PDT moneyscience: Voices in Finance: Quantitative prop trader: 'I wouldn't try to raise the price of rice and starve China' http://t.co/ci9KwaHA #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Book Review: The Indomitable Investor Posted: 03 Apr 2012 12:51 AM PDT Most books that I don’t ask for are lousy. This one isn’t, and I love the title, because it indicates the long hard slog that it is to persevere in investing. IT IS A BUSINESS!! Without hard work it will not yield good results. Indomitable means persistence, and a lack of persistence will give a bad result.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Three principles for a new Wall Street Posted: 03 Apr 2012 12:34 AM PDT The second presentation that attracted my attention at TEDx Wall Street last week was Don Tapscott’s.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Apr 2012 12:29 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @kelloggschool @essecventures @grenoble_em Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Trafalgar's Kain Joins Prop. Firm Maven Posted: 02 Apr 2012 11:29 PM PDT A refugee from Trafalgar Asset Managers has joined a new proprietary trading firm.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: JOBS Act to Bring Light to Hedge Funds Posted: 02 Apr 2012 07:35 PM PDT A great example of way regulations tend to protect industries from competition more than help consumers, a great example is the law that prevents hedge funds from disseminating their performance. This allows funds to create massive amounts of survivorship bias via the use of several funds within one main brand, and it's much harder to quantify this because by law they can't tell you how they do.... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:31 PM PDT We study the optimal liquidation problem using limit orders. Albeit the seminal literature on optimal liquidation, rooted to Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk, it only answers the general question of the liquidation rhythm. The very question of the actual way to proceed with trading is then rarely dealt with since... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:31 PM PDT We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Making use of the completeness of the model without transaction costs, we reformulate and reduce the Hamilton-Jacobi-Bellman equation for this singular stochastic control problem to a non-standard... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: When games meet reality: is Zynga overvalued. (arXiv:1204.0350v1 [q-fin.GN]) Posted: 02 Apr 2012 05:31 PM PDT On December 16th, 2011, Zynga, the well-known social game developing company went public. This event followed other recent IPOs in the world of social networking companies, such as Groupon or Linkedin among others. With a valuation close to 7 billion USD at the time when it went public, Zynga became one of the biggest web IPOs since Google. This recent enthusiasm for social networking companies... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:31 PM PDT We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:31 PM PDT In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian motion with local volatility, while interest rates follow a Hull-White one-factor Gaussian model.... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:31 PM PDT We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA-discounting, in terms of credit and liquidity... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:31 PM PDT In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development Result (CDR) whose variance is identical to the closed-form expression of the prediction error proposed by W\"uthrich et al. (2008). In particular, we integrate the stochastic modeling of a tail... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: A Paradox: Avoid Correlation by Following the Trends Posted: 02 Apr 2012 05:11 PM PDT According to its advocates, trend following as a strategy works from the premise that price trends represent a process of consensus building. As a new idea takes hold, "the earliest adopters of this idea place their trades in accordance with it" and they get to watch in satisfaction as "a growing mass of market participants adopts the same thesis. Early adopters can surf the wave to the beach. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: The Josh and Joe Show Part I Posted: 02 Apr 2012 04:42 PM PDT Video. Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: Pension fund risky bets fail to pay off. Posted: 02 Apr 2012 02:32 PM PDT Pension Funds are increasingly chasing risky bets to try to hit return targets. These investments are frequently highly illiquid, expensive, and as it turns out, not that high returning. The shocking quote: The $26.3 billion Pennsylvania State Employees’ Retirement System has more than 46 percent of its assets in riskier alternatives, including nearly 400 private equity, venture capital... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 12:09 PM PDT BusinessSchools: @icmacentre: Diversification of Equity with VIX Futures: Personal Views and Skewness Preference http://t.co/MgzJaKSe Visit MoneyScience for the Complete Article.    |
| Blog Post: TalesfromaTradingDesk: Will Single Dealer Platforms Follow Tradeo? Posted: 02 Apr 2012 11:34 AM PDT Over the last n years we’ve seen a big increase in the number of available Single Dealer Platforms (SDP). Now with Tradeo’s social feature set, will we see SDP follow suite – some SDP’s already have a subset of Tradeo’s social features:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 10:55 AM PDT            Facebook pages. Twitter Accounts. Chatrooms. Blogs. Dedicated client social networks. All of these venues are not only places for people to “connectâ€, but have become sources of information on trends, investments, and companies. As Celent has noted in multiple reports and blogs, trends continue to show that individuals are trusting financial institutions less and less,... Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Apple's Chief Puts Stamp On Labor Issues Posted: 02 Apr 2012 10:46 AM PDT Yeah right. Tim Cook is the creator of Apple’s labor issues. Manufacturing and supply chain was his responsibility before Jobs’ death. Now, what exactly is different after he makes some public relations remarks in response to a high profile story about Apple’s use of slave labor? I see absolutely nothing beyond rhetoric that leads me to believe this is anything... Visit MoneyScience for the Complete Article.    |
| Bitcoin, the financial traders' anarchic new toy Posted: 02 Apr 2012 07:05 AM PDT Naomi O'Leary writes at Reuters: read more... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:56 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @sassoftware @hftreview @blackhorse @tradeweb Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:56 AM PDT BusinessSchools: Stanfords free Computer Science 101 course that planned to launch in February 2012 will now launch on 23 April http://t.co/4DPG4XTy #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:49 AM PDT A proposal for the resolution of systemically important assets and liabilities: The case of the repo market Author(s): Viral V Acharya, T Sabri Öncü CEPR Discussion Paper Number 8927 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 01/04/2012 Keyword(s): crises, fire sales, macroprudential... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2012 05:46 AM PDT fin_tech: Stanfords free Computer Science 101 course that planned to launch in February 2012 will now launch on 23 April http://t.co/KHEzJRZx #tcm Visit MoneyScience for the Complete Article.    |
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