MoneyScience News |
- Blog Post: TheFinancialServicesClub: It's 2012 and there's one UK bank that still does not offer internet or mobile services
- Blog Post: HighFrequencyTradingReview: The Volume Clock: Insights into the High Frequency Paradigm [Easley, Lopez de Prado, O'Hara]
- RT @WB_Finance RT @adametkin: On the value of #journal editors http://t.co/aRXRLiJG #oa #publishing
- Blog Post: TheMonetaryFuture: Sound Money Project Interviews Dr. Edwin Vieira, Jr.
- Blog Post: mathfinance: Optimization Algorithms Week in Review 100412
- RT @portfolioprobe: London Thalesians Wednesday, functional minimization for level shift detection by Max Little http://t.co/VOV8d3h6
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @insead @cornell_univ
- Blog Post: FINalternatives: Reech Slashes Staff
- Blog Post: PsyFiBlog: Be Kind To An Old Person ' Start With Yourself
- Blog Post: TheAlephBlog: On Book Reviewing, Part 2 (What not to write if you want a review from me)
- Blog Post: Falkenblog: Is It Possible to Not be a Hack?
- Blog Post: AllAboutAlpha: EDHEC on CDS Speculators and Eurozone Bonds
- Published / Preprint: The macroeconomic effect of the information and communication technology in Hungary. (arXiv:1204.1561v1 [cs.CY])
- Published / Preprint: Description of the Operational Mechanics of a Basel Regulated Banking System. (arXiv:1204.1583v1 [q-fin.GN])
- Published / Preprint: Negative Call Prices. (arXiv:1204.1903v1 [q-fin.PR])
- Published / Preprint: A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. (arXiv:1007.4366v2 [q-fin.PR] UPDATED)
- Blog Post: substructural: High Frequency
- Blog Post: TheReformedBroker: Houston, Texas gets paid.
- Blog Post: EconometricsBeat: A Fistful of Pennies
- Blog Post: WealthandCapitalMarketsBlog: 5.3.12: Celent Securities & Investments Event: U.S. Swap Execution Facilities (SEFs): Opportunities in the Institutional Marketplace
- Blog Post: reszatonline: TARGET2 ' An answer
- Blog Post: TimingLogic: Renminbi Rate Near Equilibrium
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @kirkwy @wallstreettech @waterstech
- Research Library: The Supply and Demand of Alpha (pdf)
- Research Library: Predicting Financial Distress and the Performance of Distressed Stocks (pdf)
- The Second Annual Harry M Markowitz Award Winners
- Video - Paul Kedrosky on Apple, BATS and HFT
| Posted: 10 Apr 2012 04:34 AM PDT Trust you all had a good Easter break. I did … full of chocolate.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 10 Apr 2012 02:20 AM PDT Abstract:read more... Visit MoneyScience for the Complete Article.    |
| RT @WB_Finance RT @adametkin: On the value of #journal editors http://t.co/aRXRLiJG #oa #publishing Posted: 10 Apr 2012 02:02 AM PDT BusinessSchools: RT @WB_Finance RT @adametkin: On the value of #journal editors http://t.co/aRXRLiJG #oa #publishing Visit MoneyScience for the Complete Article.    |
| Blog Post: TheMonetaryFuture: Sound Money Project Interviews Dr. Edwin Vieira, Jr. Posted: 10 Apr 2012 01:56 AM PDT In this part 2 of the Sound Money Project "Dollar in Crisis" series, Dr. Edwin Vieira, Jr. is interviewed at George Mason University by Rutger van Bergem on April 9, 2012. Visit MoneyScience for the Complete Article.    |
| Blog Post: mathfinance: Optimization Algorithms Week in Review 100412 Posted: 10 Apr 2012 01:51 AM PDT Optimization Algorithms in Machine Learning: watch video on optimization algorithms.What’s in a Surname? The Effects of Surname Initials on Academic Success: The reason you don't achieve academic success is because you have a bad surname."everything old is new again", a history of machine learning: a PhD thesis guides you through the development of machine learning.Introduction to Julia: one... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2012 01:41 AM PDT fin_tech: RT @portfolioprobe: London Thalesians Wednesday, functional minimization for level shift detection by Max Little http://t.co/VOV8d3h6 Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2012 12:51 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @insead @cornell_univ Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Reech Slashes Staff Posted: 09 Apr 2012 11:59 PM PDT Reech Alternative Investment Management is making some cutbacks in the wake of a difficult year.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: PsyFiBlog: Be Kind To An Old Person ' Start With Yourself Posted: 09 Apr 2012 11:17 PM PDT No One Will Care When You’re Old Around the globe governments struggling with budget deficits have been making sure that they target the true villains of the financial crisis. Admittedly, it's slightly surprising that treasury ministers seem to have decided that their money problems weren’t caused by errant and badly incentivised bankers but by old age pensioners rushing about... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Book Reviewing, Part 2 (What not to write if you want a review from me) Posted: 09 Apr 2012 10:27 PM PDT Most of the time, when a book is bad, I don’t write a review. Sometimes it will inspire me write a screed against a certain topic that the book was about, and occasionally a negative review. But most often I say nothing.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Is It Possible to Not be a Hack? Posted: 09 Apr 2012 07:51 PM PDT I was reading Bryan Caplan defend biases, and I concur. Eleizer Yudkowsky once wrote;If you first write at the bottom of a sheet of paper, “And therefore, the sky is green!â€, it does not matter what arguments you write above it afterward; the conclusion is already written, and it is already correct or already wrong. To be clever in argument is not rationality but rationalization.He makes a... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: EDHEC on CDS Speculators and Eurozone Bonds Posted: 09 Apr 2012 06:39 PM PDT The relationship between two markets that O’Kane posits might almost be taken as a paradigm of the difference between Granger causation and physical causation. Consider the case of two distinct radar systems, one better at long range detection than the other. The superior radar system will detect an incoming airplane before the inferior system will. Thus, there will be a relationship of Granger... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 05:34 PM PDT It was not until the beginning of the 1990s that the effects of information and communication technology on economic growth as well as on the profitability of enterprises raised the interest of researchers. After giving a general description on the relationship between a more intense use of ICT devices and dynamic economic growth, the author identified and explained those four channels that had a... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 05:34 PM PDT This paper presents a description of the mechanical operations of banking as used in modern banking systems regulated under the Basel Accords, in order to provide support for a verifiable and complete description of the banking system suitable for computer simulation. Feedback is requested on the contents of this document, both with respect to the operations described here, and any... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Negative Call Prices. (arXiv:1204.1903v1 [q-fin.PR]) Posted: 09 Apr 2012 05:34 PM PDT We show that the existence of an equivalent local martingale measure for asset prices does not prevent negative prices for European calls written on positive stock prices. In particular, we illustrate that many standard no-arbitrage arguments implicitly rely on conditions stronger than the No Free Lunch With Vanishing Risk (NFLVR) assumption. The discrepancy between replicating prices and market... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 05:34 PM PDT We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing formulas are semi-analytic, in the sense that they can be expressed as integrals. Difficulties associated with... Visit MoneyScience for the Complete Article.    |
| Blog Post: substructural: High Frequency Posted: 09 Apr 2012 04:31 PM PDT Wissner-Gross and Freer has a 2010 paper in Physical Review on Relativistic Statistical Arbitrage [official version, pdf]. It makes the observation that as the propagation of prices and trades reach relativistic velocities, that very relativistic limitation of propagation induces some intermediate locations (midpoints between each pair of the 52 world exchanges weighted by turnover velocity)... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Houston, Texas gets paid. Posted: 09 Apr 2012 11:24 AM PDT infographic Visit MoneyScience for the Complete Article.    |
| Blog Post: EconometricsBeat: A Fistful of Pennies Posted: 09 Apr 2012 10:47 AM PDT Finally, Canada has decided to eliminate the humble penny from its coinage. This decision was announced as part of recent Federal Budget. In eliminating the penny, Canada will be joining a host of other countries who have "taken the plunge" in recent years. No sooner had the announcement been made, than I began to encounter comments (on talk-back radio, and elsewhere) to the effect... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 09:31 AM PDT Celent Research Director David Easthoperead more... Visit MoneyScience for the Complete Article.    |
| Blog Post: reszatonline: TARGET2 ' An answer Posted: 09 Apr 2012 07:16 AM PDT In answering to a comment by GeroldKeefer to my earlier post on Target2 I would like to make a new attempt to sort things out. Since this topic is still gaining increasing attention among the twitter community and others I put it here in a prominent place. This is the comment I refer to: Excuse [...] Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Renminbi Rate Near Equilibrium Posted: 09 Apr 2012 06:50 AM PDT Ya think? We have written for many years that the Chinese currency was overvalued and would eventually implode or be devalued, thus destabilizing global trade and investment in China even further. This while our last two Treasury Secretaries called for China to let the renminbi float so that it would appreciate in value. Ignorant U.S. politicians will eat those... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Apr 2012 05:55 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @kirkwy @wallstreettech @waterstech Visit MoneyScience for the Complete Article.    |
| Research Library: The Supply and Demand of Alpha (pdf) Posted: 27 Mar 2012 06:23 AM PDT Harry Markowitz, Robert Snigaroff and David Wroblewski Abstract This paper analyzes the supply and demand for alpha by institutional investors and them money managers who serve them. A large database of products offered by such managers is used to estimate how the demand for such products increases as a function of achieved excess returns and how the ability to produce such excess returns... Visit MoneyScience for the Complete Article.    |
| Research Library: Predicting Financial Distress and the Performance of Distressed Stocks (pdf) Posted: 27 Mar 2012 06:18 AM PDT John Y. Campbell, Jens Hilscher, and Jan Szilagyi Abstract In this paper we consider the measurement and pricing of distress risk. We present a model of corporate failure in which accounting and market-based measures forecast the likelihood of future financial distress. Our best model is more accurate than leading alternative measures of corporate failure risk. We then use our measure... Visit MoneyScience for the Complete Article.    |
| The Second Annual Harry M Markowitz Award Winners Posted: 27 Mar 2012 05:41 AM PDT The winning paper provides a new, more accurate model for predicting financial distress and the performance of distressed stocks Special Selection panel consists of Nobel Prize winners Harry M. Markowitz, Robert C. Merton, Myron S. Scholes, and William F. Sharpe read more... Visit MoneyScience for the Complete Article.    |
| Video - Paul Kedrosky on Apple, BATS and HFT Posted: 26 Mar 2012 04:58 AM PDT Via The Big Picture:read more... Visit MoneyScience for the Complete Article.    |
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