MoneyScience News |
- Blog Post: TheReformedBroker: Hot Links: Junk Science
- Blog Post: TalesfromaTradingDesk: Profit & Loss Digital FX Awards
- Published / Preprint: Dividend signalling and sustainability
- Published / Preprint: Bank holding company diversification and production efficiency
- Published / Preprint: The predictability of excess returns in the emerging bond markets
- Published / Preprint: Volatility in EMU sovereign bond yields: permanent and transitory components
- Published / Preprint: Efficiency convergence properties of Indonesian banks 1992â2007
- RT @QFINANCEnews: Another Oil Price Shock, Another Global Recession? http://t.co/tbSj1TpZ
- Blog Post: TheFinancialServicesClub: Things worth reading, the European view (4)
- Bringing sustainability into business schools: 2 links http://t.co/YgWs8DJG and http://t.co/qOXb0MnR
- Sovereign debt and bank risk: New evidence - http://t.co/TyBWRf21 #tcm
- Blog Post: HighFrequencyTradingReview: HFT set to start on European government bonds [Financial Times]
- Blog Post: TheAlephBlog: Misunderstanding the Tax Debate (II)
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @businessschools @iesebs @hgse
- Blog Post: PsyFiBlog: To Boldly Go: Risk and the Prime Directive
- Published / Preprint: On Pricing Basket Credit Default Swaps. (arXiv:1204.4025v1 [q-fin.PR])
- Published / Preprint: Network structure of inter-industry flows. (arXiv:1204.4122v1 [physics.soc-ph])
- Blog Post: mathfinance: Week in Review 020212 Quantitative Finance
- Blog Post: AllAboutAlpha: No Federal Prohibition on Stealing Code for Trading Infrastructure
- Essex University, Centre for Computational Finance and Economic Agents, High-frequency Finance Project http://t.co/BXavHZav #tcm
- The IEEE Computational Intelligence Society, Computational Finance and Economics Technical Committee http://t.co/fCT8SuDe #tcm
- Essex University, Centre for Computational Finance and Economic Agents, High-frequency Finance Project http://t.co/4yFRUYTs #tcm
- Research Library: Shadow Banking and Repo (pdf)
- Research Library: Shadow Banking Regulation (pdf)
- Via @EmanuelDerman - Putting Integrity into Finance: A Purely Positive Approach - Werner Erhard & Michael Jensen http://t.co/xMa7h11W
- Research Library: Putting Integrity into Finance: A Purely Positive Approach
- Research Library: The Price of Risk: From Modern Portfolio Theory to Leveraged Portfolio Theory
- Blog Post: FINalternatives: Ex-Moore Emerging Markets Manager Shutters Hedge Fund
- Blog Post: iMFdirect: Global Financial Stability: What's Still To Be Done?
- Blog Post: WealthandCapitalMarketsBlog: Indian exchanges prepare for greater competition
- Blog Post: EconometricsBeat: Surplus-Lag Granger Causality Testing
- Blog Post: FinanceClippings: Another (better) twitter list of finance people
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @tradeweb @chriseko @geonetworks @junipernetworks
- Blog Post: QFINANCE: Another Oil Price Shock, Another Global Recession?
| Blog Post: TheReformedBroker: Hot Links: Junk Science Posted: 19 Apr 2012 05:13 AM PDT Your morning financial links, expertly curated. Visit MoneyScience for the Complete Article.      |
| Blog Post: TalesfromaTradingDesk: Profit & Loss Digital FX Awards Posted: 19 Apr 2012 04:50 AM PDT Anyone got the list?read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dividend signalling and sustainability Posted: 19 Apr 2012 03:14 AM PDT Applied Financial Economics, Volume 22, Issue 17, Page 1395-1408, September 2012. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bank holding company diversification and production efficiency Posted: 19 Apr 2012 03:14 AM PDT Applied Financial Economics, Volume 22, Issue 17, Page 1409-1428, September 2012. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The predictability of excess returns in the emerging bond markets Posted: 19 Apr 2012 03:14 AM PDT Applied Financial Economics, Volume 22, Issue 17, Page 1429-1451, September 2012. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Volatility in EMU sovereign bond yields: permanent and transitory components Posted: 19 Apr 2012 03:14 AM PDT Applied Financial Economics, Volume 22, Issue 17, Page 1453-1464, September 2012. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Efficiency convergence properties of Indonesian banks 1992â2007 Posted: 19 Apr 2012 03:14 AM PDT Applied Financial Economics, Volume 22, Issue 17, Page 1465-1478, September 2012. Visit MoneyScience for the Complete Article.    |
| RT @QFINANCEnews: Another Oil Price Shock, Another Global Recession? http://t.co/tbSj1TpZ Posted: 19 Apr 2012 02:53 AM PDT moneyscience: RT @QFINANCEnews: Another Oil Price Shock, Another Global Recession? http://t.co/tbSj1TpZ Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading, the European view (4) Posted: 19 Apr 2012 02:52 AM PDT This week's view from Europe, courtesy of Edith Rigler :read more... Visit MoneyScience for the Complete Article.    |
| Bringing sustainability into business schools: 2 links http://t.co/YgWs8DJG and http://t.co/qOXb0MnR Posted: 19 Apr 2012 02:42 AM PDT BusinessSchools: Bringing sustainability into business schools: 2 links http://t.co/YgWs8DJG and http://t.co/qOXb0MnR Visit MoneyScience for the Complete Article.    |
| Sovereign debt and bank risk: New evidence - http://t.co/TyBWRf21 #tcm Posted: 19 Apr 2012 02:23 AM PDT moneyscience: Sovereign debt and bank risk: New evidence - http://t.co/TyBWRf21 #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 19 Apr 2012 02:22 AM PDT By Philip Staffordread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Misunderstanding the Tax Debate (II) Posted: 19 Apr 2012 01:32 AM PDT I’m going to do something different to start this post. I’m going to highlight those that disagreed with the last post. Thanks for disagreeing, because it makes this post better.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Apr 2012 12:29 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @businessschools @iesebs @hgse Visit MoneyScience for the Complete Article.    |
| Blog Post: PsyFiBlog: To Boldly Go: Risk and the Prime Directive Posted: 18 Apr 2012 11:21 PM PDT Danger of Exposure If you prime people by exposing them to information that advocates taking risks it causes them to boldly go out and start taking more risks with their investments. This is no real surprise. Of course, if they’re a professional their behavior is different. They’re more likely to take risks. Unconscious Non-tranquillity This experiment, documented in Dalia Gilad... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On Pricing Basket Credit Default Swaps. (arXiv:1204.4025v1 [q-fin.PR]) Posted: 18 Apr 2012 05:31 PM PDT In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the analytical expressions for the ordered default time distributions with recursive formulas for the coefficients, which makes the calculation fast and efficient... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2012 05:31 PM PDT We study the structure of inter-industry relationships using networks of money flows between industries in 20 national economies. We find these networks vary around a typical structure characterized by a Weibull link weight distribution, exponential industry size distribution, and a common community structure. The community structure is hierarchical, with the top level of the hierarchy comprising... Visit MoneyScience for the Complete Article.    |
| Blog Post: mathfinance: Week in Review 020212 Quantitative Finance Posted: 18 Apr 2012 05:23 PM PDT A Sea Change in Quantitative Finance: thoughts on P - Q Convergence in Quantitative Finance.An Alternative Three-Factor Model: A new factor model consisting of the market factor, an investment factor, and a return-on-equity factor reduces the magnitude of the abnormal returns of a wide range of anomalies-based trading strategies.People of Quant Research: a list of influential people in academy... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: No Federal Prohibition on Stealing Code for Trading Infrastructure Posted: 18 Apr 2012 05:05 PM PDT Chief Judge Dennis Jacons said that the statutory language refers on the one hand to products that have “already been introduced into [placed in] the stream of commerce†and on the other hand to those that “are still being developed or readied†[produced for] such placement. The words evoke two distinct sets of products with a sequential relationship to one another, which satisfies... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2012 01:32 PM PDT BusinessSchools: Essex University, Centre for Computational Finance and Economic Agents, High-frequency Finance Project http://t.co/BXavHZav #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2012 01:31 PM PDT fin_tech: The IEEE Computational Intelligence Society, Computational Finance and Economics Technical Committee http://t.co/fCT8SuDe #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2012 01:31 PM PDT fin_tech: Essex University, Centre for Computational Finance and Economic Agents, High-frequency Finance Project http://t.co/4yFRUYTs #tcm Visit MoneyScience for the Complete Article.    |
| Research Library: Shadow Banking and Repo (pdf) Posted: 18 Apr 2012 12:59 PM PDT This Report was Compiled for ICMA’s European Repo Council by Richard Comotto, Senior Visiting Fellow at the ICMA Centre at the University of Reading H/T Alea Executive summary 1.1 “Shadow banking” is an imprecise term that has attracted various definitions. The current working definition is “non-banks performing bank-like functions”, although the Financial... Visit MoneyScience for the Complete Article.    |
| Research Library: Shadow Banking Regulation (pdf) Posted: 18 Apr 2012 12:45 PM PDT Tobias Adrian and Adam B. Ashcraft Federal Reserve Bank of New York Staff Reports - April 2012 Abstract Shadow banks conduct credit intermediation without direct, explicit access to public sources of liquidity and credit guarantees. Shadow banks contributed to the credit boom in the early 2000s and collapsed during the financial crisis of 2007-09. We review the rapidly growing... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2012 12:38 PM PDT BusinessSchools: Via @EmanuelDerman - Putting Integrity into Finance: A Purely Positive Approach - Werner Erhard & Michael Jensen http://t.co/xMa7h11W Visit MoneyScience for the Complete Article.    |
| Research Library: Putting Integrity into Finance: A Purely Positive Approach Posted: 18 Apr 2012 12:32 PM PDT Werner Erhard Michael C. Jensen Harvard Business School Harvard Business School NOM Unit Working Paper No. 12-074 Barbados Group Working Paper No. 12-01 Abstract We summarize our new positive theory of integrity that has no normative content, and argue that there are large gains from putting integrity into finance – into both the theory and practice of finance. We define integrity as... Visit MoneyScience for the Complete Article.    |
| Research Library: The Price of Risk: From Modern Portfolio Theory to Leveraged Portfolio Theory Posted: 18 Apr 2012 12:25 PM PDT Olivier Le Marois Riskdata S.A. Julie Mikhalevsky Raphael Douady Riskdata; CES Univ. Paris 1 Abstract The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past decade though, it led in a rather systematic way to bad investments decisions. One of MPT’s main assumptions, investor risk aversion that translates into volatility... Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Ex-Moore Emerging Markets Manager Shutters Hedge Fund Posted: 18 Apr 2012 10:36 AM PDT Lev Mikheev, who left Moore Capital Management two years ago to launch his own hedge fund, has shuttered that fund and returned to Moore.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Global Financial Stability: What's Still To Be Done? Posted: 18 Apr 2012 10:29 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Indian exchanges prepare for greater competition Posted: 18 Apr 2012 10:24 AM PDT The Indian capital markets regulator, SEBI, is talking reforms as it recently announced a blueprint that is potentially set to increase competition among exchanges. The regulator’s stance on increasing competition and allowing foreign investment in exchanges was closely anticipated in recent months, especially among large global banks. SEBI had to address pressing concerns on attracting foreign... Visit MoneyScience for the Complete Article.    |
| Blog Post: EconometricsBeat: Surplus-Lag Granger Causality Testing Posted: 18 Apr 2012 09:16 AM PDT My previous posts (here, here, and especially here) on Granger causality testing have attracted more interest than I anticipated. One of the things that I've discussed at some length is the "surplus-lag" approach that can be used when the data are possibly non-stationary and possibly cointegrated. In particular I've talked about the Toda and Yamamoto (1995) procedure, but there are alternatives... Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: Another (better) twitter list of finance people Posted: 18 Apr 2012 06:56 AM PDT Jacob over at moneyscience (an excellent site that aggregates all sorts of finance related material), has put together another list of finance tweeters. Check it out here. Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2012 05:55 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @tradeweb @chriseko @geonetworks @junipernetworks Visit MoneyScience for the Complete Article.    |
| Blog Post: QFINANCE: Another Oil Price Shock, Another Global Recession? Posted: 18 Apr 2012 05:06 AM PDT    |
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