MoneyScience News |
- Blog Post: TheReformedBroker: The Amazing Apple Effect
- RT @sclopit Mathematicians take a stand. http://t.co/DkV93ljc survey of the reasons for the ongoing boycott of publisher Elsevier #tcm
- RT @sclopit Mathematicians take a stand. http://t.co/qAyqoUrG survey of the reasons for the ongoing boycott of publisher Elsevier #tcm
- RT @ritholtz - Kotok: I'm worried - http://t.co/P7Fr7qsL
- PhD comics: "food provided by the department during prospective graduate week" http://t.co/O7s5yCcl #tcm
- PhD comics: "food provided by the department during prospective graduate week" http://t.co/s4Pnr255 #tcm
- Blog Post: Debtwatch: Capital Account Interview on the Keen-Krugman Brawl
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @iebusiness @inseadknowledge @moneyscience
- Blog Post: Falkenblog: Earliest Low Volatility Article
- Published / Preprint: Price Jump Prediction in Limit Order Book. (arXiv:1204.1381v1 [q-fin.TR])
- Published / Preprint: Patience and Impatience of Stock Traders. (arXiv:1204.1410v1 [q-fin.TR])
- Published / Preprint: Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. (arXiv:1204.1442v1 [math.NA])
- Published / Preprint: Realized Wavelet Jump-GARCH model: Can wavelet decomposition of volatility improve its forecasting?. (arXiv:1204.1452v1 [q-fin.ST])
- Published / Preprint: Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. (arXiv:1007.4361v2 [q-fin.PR] UPDATED)
- Published / Preprint: Time-Changed Fast Mean-Reverting Stochastic Volatility Models. (arXiv:1010.5203v2 [q-fin.PR] UPDATED)
- Published / Preprint: Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach. (arXiv:1109.0738v2 [q-fin.CP] UPDATED)
- Blog Post: AllAboutAlpha: Video: Mark O'Hare, Founder & CEO, Preqin
- Blog Post: ThreeToedSloth: "Generalization Error Bounds for Time Series"
- The Rise of the 'Brogrammer' - http://t.co/NIyZ3ADj #tcm
- Blog Post: TalesfromaTradingDesk: CEP and Web Messaging Product Company Correlation?
- Blog Post: TheMonetaryFuture: Bitcoin is Voluntarist Not Socialist
- Blog Post: EconometricsBeat: Good Advice on Semminar Presentations
- Blog Post: TimingLogic: Judge Napolitano On President Obama's Rhetoric Projected At The Supreme Court - Incomprehensible
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @nanexllc @automatedtrader @carlcarrie @davecliff
| Blog Post: TheReformedBroker: The Amazing Apple Effect Posted: 09 Apr 2012 03:58 AM PDT 788 US stock funds own shares of Apple, and it is the largest holding in 465 of those funds. Visit MoneyScience for the Complete Article.      |
| Posted: 09 Apr 2012 03:16 AM PDT BusinessSchools: RT @sclopit Mathematicians take a stand. http://t.co/DkV93ljc survey of the reasons for the ongoing boycott of publisher Elsevier #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 03:15 AM PDT moneyscience: RT @sclopit Mathematicians take a stand. http://t.co/qAyqoUrG survey of the reasons for the ongoing boycott of publisher Elsevier #tcm Visit MoneyScience for the Complete Article.    |
| RT @ritholtz - Kotok: I'm worried - http://t.co/P7Fr7qsL Posted: 09 Apr 2012 03:15 AM PDT moneyscience: RT @ritholtz - Kotok: I'm worried - http://t.co/P7Fr7qsL Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 12:56 AM PDT BusinessSchools: PhD comics: "food provided by the department during prospective graduate week" http://t.co/O7s5yCcl #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 12:56 AM PDT moneyscience: PhD comics: "food provided by the department during prospective graduate week" http://t.co/s4Pnr255 #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: Debtwatch: Capital Account Interview on the Keen-Krugman Brawl Posted: 09 Apr 2012 12:39 AM PDT Lauren Lyster and Demetri Kofinas at Russia Today’s Capital Account did their usual brilliant job in this interview with me about the Krugman brawl, and I’ve been somewhat remiss in not posting it here earlier. I’ve given enough links on this topic in earlier posts not to bother now, so look to those if you […] ↓ Read the rest of this entry... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 12:25 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @iebusiness @inseadknowledge @moneyscience Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Earliest Low Volatility Article Posted: 08 Apr 2012 07:22 PM PDT Many point to Haugen's Risk and the Rate of Return on Financial Assets (1975), Ed Miller's Winner's Curse (1977), Bruce Lehman's Residual Risk Revisited (1990), or Haugen and Baker's efficient market inefficiency of capitalizationâ€"weighted stock portfolios (1991). So I wa surprised to see this short article by Richard McEnally back in 1972, A Note on the Return Behavior of High Risk Common... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Price Jump Prediction in Limit Order Book. (arXiv:1204.1381v1 [q-fin.TR]) Posted: 08 Apr 2012 05:31 PM PDT A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction. Moreover, we define price jump as a sell (buy)... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Patience and Impatience of Stock Traders. (arXiv:1204.1410v1 [q-fin.TR]) Posted: 08 Apr 2012 05:31 PM PDT I derive asymptotic distribution of the bids/offers as a function of proportion between patient and impatient traders using my modification of Foucault, Kadan and Kandel dynamic Limit Order Book (LOB) model. Distribution of patient and impatient traders asymptotically obeys rather simple PDE, which admits numerical solutions. My modification of LOB model allows stylized but sufficiently realistic... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2012 05:31 PM PDT In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that the discretisation on an unbounded domain is convergent of first order in the timestep and second order in the spatial grid size, and that the discretisation is stable with respect to boundary data.... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2012 05:31 PM PDT In this paper, we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps. As a forecasting tool, we utilize Realized GARCH framework of Hansen et al. (2011), which models jointly returns and realized measures of volatility. For the decomposition, we use jump wavelet two scale realized volatility estimator (JWTSRV) of Barunik and Vacha... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2012 05:31 PM PDT Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatility setting. Four examples are provided in order to demonstrate the versatility of our method. These include: European options, up-and-out options, double-barrier knock-out options, and options which... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2012 05:31 PM PDT We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting. Three examples of random time-changes are provided and the implied volatility surfaces induced by these time-changes are examined as a function of the model... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2012 05:31 PM PDT Using tools from spectral analysis, singular and regular perturbation theory, we develop a systematic method for analytically computing the approximate price of a derivative-asset. The payoff of the derivative-asset may be path-dependent. Additionally, the process underlying the derivative may exhibit killing (i.e. jump to default) as well as combined local/nonlocal stochastic volatility. The... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: Video: Mark O'Hare, Founder & CEO, Preqin Posted: 08 Apr 2012 05:02 PM PDT From Lynne Feldman, Director of Marketing at the CAIA Association: Mark O’Hare, Founder & CEO, Preqin, discusses the future of alternative investments and their role in institutional portfolios, private equity, data transparency, and the need for education in the alternative investment industry. Mr. O’Hare spoke with Wendy L. Coleman, CAIA, CFA, FRM, Senior Advisor to the [...] Visit MoneyScience for the Complete Article.    |
| Blog Post: ThreeToedSloth: "Generalization Error Bounds for Time Series" Posted: 08 Apr 2012 02:43 PM PDT On Friday, my student Daniel McDonald, who I have been lucky enough to jointly advise with Mark Schervish, defeated the snake — that is, defended his thesis: Generalization Error Bounds for Time Series In this thesis, I derive generalization error bounds — bounds on the expected inaccuracy of the predictions — for time series forecasting models. These bounds allow forecasters... Visit MoneyScience for the Complete Article.    |
| The Rise of the 'Brogrammer' - http://t.co/NIyZ3ADj #tcm Posted: 08 Apr 2012 02:08 PM PDT fin_tech: The Rise of the 'Brogrammer' - http://t.co/NIyZ3ADj #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TalesfromaTradingDesk: CEP and Web Messaging Product Company Correlation? Posted: 08 Apr 2012 01:50 PM PDT I thought I blog this view sometime ago, but it appears I was wrong having looked though my old postings. So with some time to kill at Heathrow airport during my 2-ish day, 15,000+ miles of traveling I thought I’d offer a view.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheMonetaryFuture: Bitcoin is Voluntarist Not Socialist Posted: 08 Apr 2012 01:02 PM PDT By Beauton Irdial Discs Sunday, April 8, 2012 https://plus.google.com/u/0/104476128363316281935/posts/RLa4xGNyS1A The idea of socialism is diametrically opposed to the core philosophy of a voluntary peer to peer system like Bitcoin. Peer to peer systems dis-intermediate the transfer of information and eliminate the need for an arbitrary governing authority or service provider. Bitcoin, like ... Visit MoneyScience for the Complete Article.    |
| Blog Post: EconometricsBeat: Good Advice on Semminar Presentations Posted: 08 Apr 2012 09:52 AM PDT The Three-Toed Sloth presents this excellent advice on seminar presentations. It's advice that's heeded far more often by Statisticians than by Economists, in my experience. The only things I'd add are : One hour is plenty of time - 1.5 hours is too long for most attention spans; and we go to seminars to listen to the speaker, not to listen to members of the audience interrupting the... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2012 07:26 AM PDT I’m on a rant about this healthcare bill. It’s important for a much larger reason than face value. In so many ways the dynamics surrounding the passage of this bill and the political and legal wranglings after its passage signify what is wrong with public service in this country. How political parties have truly embraced anything-goes behavior in order to gain an upper hand... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2012 05:55 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @nanexllc @automatedtrader @carlcarrie @davecliff Visit MoneyScience for the Complete Article.    |
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