MoneyScience News |
- Blog Post: FINalternatives: Aksia Taps Tarchon's Newton For London Office
- Published / Preprint: Price Jump Prediction in Limit Order Book
- Published / Preprint: Impact-adjusted valuation and the criticality of leverage
- Published / Preprint: On break-even correlation: the way to price structured credit derivatives by replication
- Published / Preprint: Persistence and Uncertainty in the Academic Career
- Published / Preprint: Fast Multi-Scale Detection of Relevant Communities
- Published / Preprint: Opinion formation in time-varying social networks: The case of Naming Game
- Blog Post: MagicMathsandMoney: The IMA Conference on Mathematics in Finance
- Blog Post: TheReformedBroker: all is quiet'¦
- Blog Post: HighFrequencyTradingReview: Man versus Machine, Part Two
- Blog Post: TheAlephBlog: A Brief Note on Earnings Yields (2)
- Blog Post: TheFinancialServicesClub: This wirelessly connected planet
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @utexasmccombs @bob_bruner @desb_uofu @wsbegrad
- "Google+ will match what Instagram does for Facebook... and at a cost of $995,000,000 less." http://t.co/iSwnpitC #tcm
- You'd think that by now Googleâs $12.5bn purchase of Motorola Mobility would be shaping into some sort of strategy http://t.co/eVioHLVg #tcm
- Blog Post: Falkenblog: Harvard Risk Confabulations
- Blog Post: MarketPsych: MarketPsych Report: Regret, When to Sell AAPL, and Timing Bubble Tops
- Published / Preprint: Toehold Purchase Problem: A comparative analysis of two strategies. (arXiv:1204.2065v1 [q-fin.GN])
- Published / Preprint: Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas. (arXiv:1204.2090v1 [math.PR])
- Published / Preprint: On break-even correlation: the way to price structured credit derivatives by replication. (arXiv:1204.2251v1 [q-fin.PR])
- Blog Post: AllAboutAlpha: How Institutional Investors Can Make Money in Private Equity
- Blog Post: FinanceClippings: A couple on investment banking...
- Blog Post: RobertPestonBlog: Shareholders grumble about Barclays executives' rewards
- Blog Post: TimingLogic: Bank of America Is Too Crooked to Fail. Microcosm Of The United States?
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @markit @kathyburger @informaticacorp @sungardtrading
- Published / Preprint: Competition for Managers, Corporate Governance and Incentive Compensation (CEPR DP8936)
- Published / Preprint: Household Finance: An Emerging Field (CEPR DP8934)
- Vendor News: ITG Releases March 2012 US Trading Volumes
| Blog Post: FINalternatives: Aksia Taps Tarchon's Newton For London Office Posted: 11 Apr 2012 04:13 AM PDT Hedge fund advisory firm Aksia has hired Oliver Newton, formerly of Tarchon Capital Management, as senior advisor in its London office.read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Price Jump Prediction in Limit Order Book Posted: 11 Apr 2012 04:12 AM 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 83b sell (buy)... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Impact-adjusted valuation and the criticality of leverage Posted: 11 Apr 2012 04:12 AM PDT The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling al 6c4 ways initially causes the expected leverage to increase. There is a critical leverage above which it is impossible to exit a portfolio without leverage going to infinity and bankruptcy becoming... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Apr 2012 04:12 AM PDT We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default baskets under the Gaussian copula model (GCM). We provide necessary and sufficient conditions so that the corresponding asset prices are martingales and introduce... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Persistence and Uncertainty in the Academic Career Posted: 11 Apr 2012 04:12 AM PDT Understanding how institutional changes within academia may affect the overall potential of science requires a better quantitative representation of how careers evolve over time. Since knowledge spillovers, cumulative advantage, competition, and collaboration are distinctive features of the academic profession, both the employment relationship and the procedures for assigning recognition and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Fast Multi-Scale Detection of Relevant Communities Posted: 11 Apr 2012 04:12 AM PDT Nowadays, networks are almost ubiquitous. In the past decade, community detection received an increasing interest as a way to uncover the structure of networks by grouping nodes into communities more densely connected internally than externally. Yet most of the effective methods available do not consider t 814 he potential levels of organisation, or scales, a network may encompass and are... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Opinion formation in time-varying social networks: The case of Naming Game Posted: 11 Apr 2012 04:12 AM PDT We study the dynamics of the Naming Game as an opinion formation model on time-varying social networks. This agent-based model captures the essential features of the agreement dynamics by means of a memory-based negotiation process. Our study focuses on the impact of time-varying properties of the social network of the agents on the Naming Game dynamics. We investigate the outcomes of the... Visit MoneyScience for the Complete Article.    |
| Blog Post: MagicMathsandMoney: The IMA Conference on Mathematics in Finance Posted: 11 Apr 2012 03:55 AM PDT Since John Maynard Keynes rescued a collection of Newton's private papers and declared that "Newton was not the first of the age of reason. He was the last of the magicians" the popular imagination has looked at the influence of esoteric arts on the emergence of Western' science. What is often forgotten is that in almost the same breath, Keynes declared Newton as "one of the greatest and most... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: all is quiet'¦ Posted: 11 Apr 2012 03:31 AM PDT Alcoa was "better than expected" and Spanish bond yields are retreating. Stock futures timidly higher. Has anything changed? Visit MoneyScience for the Complete Article.    |
| Blog Post: HighFrequencyTradingReview: Man versus Machine, Part Two Posted: 11 Apr 2012 03:15 AM PDT The second part of a two-part interview with Professor Dave Cliffread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: A Brief Note on Earnings Yields (2) Posted: 11 Apr 2012 03:10 AM PDT My last post on this focused on trailing earnings. Trailing earnings have the advantage of being objective, but analysts try to estimate the future. To some degree they succeed, and that becomes the bar by which we measure the progress of companies.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: This wirelessly connected planet Posted: 11 Apr 2012 03:05 AM PDT I was asked to chair a panel at the end of a one day conference on the future of payments.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Apr 2012 12:30 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @utexasmccombs @bob_bruner @desb_uofu @wsbegrad Visit MoneyScience for the Complete Article.    |
| Posted: 11 Apr 2012 12:26 AM PDT moneyscience: "Google+ will match what Instagram does for Facebook... and at a cost of $995,000,000 less." http://t.co/iSwnpitC #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 11 Apr 2012 12:26 AM PDT moneyscience: You’d think that by now Google’s $12.5bn purchase of Motorola Mobility would be shaping into some sort of strategy http://t.co/eVioHLVg #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Harvard Risk Confabulations Posted: 10 Apr 2012 06:28 PM PDT John Campbell is one of the world's most esteemed financial economists, which means that he publishes very rigorous and well-received papers showing that some strange result is a function of risk, even though that risk metric is totally nonintuitive. Case in point, Campbell, Giglio, Polk, and Turley (2012) find that the negative post-1963 CAPM alphas of growth stocks are justified because these... Visit MoneyScience for the Complete Article.    |
| Blog Post: MarketPsych: MarketPsych Report: Regret, When to Sell AAPL, and Timing Bubble Tops Posted: 10 Apr 2012 06:18 PM PDT Shorting Bubbles â€" Ouch! I’ve made many unfortunate investments over the years, but one in particular still bothers me. In 1998 it was very clear that the technology sector was in the midst of a historic bubble. There were many overvalued stocks â€" with no earnings, high debt, too-good-to-be-true stories, and extremely high valuations. I picked... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2012 05:34 PM PDT Toehold purchase, defined here as purchase of one share in a firm by an investor preparing a tender offer to acquire majority of shares in it, reduces by one the number of shares this investor needs for majority. In the paper we construct mathematical models for the toehold and no-toehold strategies and compare the expected profits of the investor and the probabilities of takeover the firm in... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2012 05:34 PM PDT This paper deals with dependence across marginally-exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the relationship between dependence and the possibility to sample final multivariate survival in a long time-interval as a sequence of iterations of local multivariate survivals along a partition of the... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2012 05:34 PM PDT We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default baskets under the Gaussian copula model (GCM). We provide necessary and sufficient conditions so that the corresponding asset prices are martingales and introduce... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: How Institutional Investors Can Make Money in Private Equity Posted: 10 Apr 2012 05:19 PM PDT By Scott Blythe The New York Times recently printed a scathing article on the performance of the alternative investments sought by some public-sector pension plans to diversify away from bonds paying nest to nothing and stocks that have become increasingly volatile. It looks like the pension funds are worse off than if they had stuck to vanilla [...] Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: A couple on investment banking... Posted: 10 Apr 2012 03:04 PM PDT ...from my colleague, Craig Newmark's most excellent blog. First, what you need on your resume if you want to work on Wall Street. In particular, note the importance of excel skills, quant skills (math, stats) and the CFA designation. Second, what high powered advice gets you. Notably, even the evil geniuses at Goldman Sachs can't predict the market. Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: Shareholders grumble about Barclays executives' rewards Posted: 10 Apr 2012 11:44 AM PDT The big investment institutions represented by the Association of British Insurers have issued what is known as an "amber top" alert on the forthcoming votes by shareholders at Barclays annual meeting.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Bank of America Is Too Crooked to Fail. Microcosm Of The United States? Posted: 10 Apr 2012 06:30 AM PDT I missed Taibi’s latest but it was emailed to me by a friend. Not a lot new but a very good read. It’s a good read because Taibbi’s style is to lay it all on the table with brutal honesty in a way that we can relate to consequences and perversions of our society and our economy. Frankly, it would be nice if the mainstream media would entertain even varnished... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2012 05:59 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @markit @kathyburger @informaticacorp @sungardtrading Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2012 05:51 AM PDT Competition for Managers, Corporate Governance and Incentive Compensation Author(s): Viral V Acharya, Marc Gabarro, Paolo Volpin CEPR Discussion Paper Number 8936 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 01/04/2012 Keyword(s): corporate governance, executive compensation, externalities ... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Household Finance: An Emerging Field (CEPR DP8934) Posted: 10 Apr 2012 05:51 AM PDT Household Finance: An Emerging Field Author(s): Luigi Guiso, Paolo Sodini CEPR Discussion Paper Number 8934 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 01/04/2012 Keyword(s): Consumer financial protection, Financial advice, Household financial decisions, Individual portfolio choice JEL(s):... Visit MoneyScience for the Complete Article.    |
| Vendor News: ITG Releases March 2012 US Trading Volumes Posted: 10 Apr 2012 05:03 AM PDT NEW YORK, April 10, 2012 /PRNewswire/ -- ITG (NYSE: ITG), a leading agency research broker and financial technology firm, today announced that March 2012 US trading volume was 3.8 billion shares and average daily volume (ADV) was 171 million shares. This compares to 3.9 billion shares and ADV of 193 million shares in February 2012 and 4.1 billion shares and ADV of 178 million shares in March... Visit MoneyScience for the Complete Article.    |
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