MoneyScience News |
- Blog Post: TheReformedBroker: it's quiet out there this morningâ¦too quiet
- Published / Preprint: 03May/Fundamental review of trading book capital requirements: consultation by the Basel Committee
- Is the Age of Silicon Computing Coming to an End? Physicist Michio Kaku Says "Yes" http://t.co/EmX5jTnW #tcm
- House prices in the UK: what do the different indices show? http://t.co/n3SA6rl8 #tcm
- Is the Age of Silicon Computing Coming to an End? Physicist Michio Kaku Says "Yes" http://t.co/eSZnIKAs #tcm
- Blog Post: HighFrequencyTradingReview: SEC Pushing for More High Tech Modelling [Securities Technology Monitor]
- Amazon's HPC Cloud: Supercomputing for the 99 Percent - http://t.co/I4RHFE7i #tcm
- @Cassinthenews: Third cohort of Cass Dubai EMBA students graduate http://t.co/I4hO6bZa
- Blog Post: TheAlephBlog: On Distribution Formulas
- Amazon's HPC Cloud: Supercomputing for the 99 Percent - http://t.co/bY4zZjhc #tcm
- LTRO: Quantitative easing in disguise? http://t.co/VdKqzsxA #tcm
- Blog Post: FinanceClippings: How unbiased are financial advisors?
- Published / Preprint: Modelling the emergence of spatial patterns of economic activity
- Published / Preprint: Applications of statistical mechanics to economics: Entropic origin of the probability distributions of money, income, and energy consumption
- Published / Preprint: Fractal Profit Landscape of the Stock Market
- Published / Preprint: Social Networks with Competing Products
- Published / Preprint: "I Wanted to Predict Elections with Twitter and all I got was this Lousy Paper" -- A Balanced Survey on Election Prediction using Twitter Data
- Published / Preprint: Power Law Distributions of Patents as Indicators of Innovation
- Published / Preprint: A Fitness Model for Scholarly Impact Analysis
- Blog Post: TheFinancialServicesClub: CRD 4, Basel 3 - does that mean CRD wins?
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @esgparis @henleyafrica @essecventures @vanderbiltowen
- Blog Post: RobertPestonBlog: The boom and bust of Mervyn King
- They couldnât even organise a good time in a brewery
- ROM Simulation: Applications to Stress Testing and VaR
- Blog Post: FINalternatives: Centaurus To Close As Arnold Retires
- Blog Post: Falkenblog: Inspirational Politicians
- Blog Post: ThreeToedSloth: Installing pcalg
- Published / Preprint: A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices. (arXiv:1205.0332v1 [q-fin.ST])
- Published / Preprint: Segmentation analysis on a multivariate time series of the foreign exchange rates. (arXiv:1205.0336v1 [q-fin.ST])
- Published / Preprint: Fractal Profit Landscape of the Stock Market. (arXiv:1205.0505v1 [q-fin.ST])
- Blog Post: AllAboutAlpha: Supreme Court May Take Bulldog's Appeal
- Blog Post: EconometricsBeat: Newton and the Royal Mint
- Blog Post: TimingLogic: Dallas Federal Reserve Doesn't Relent â Bust Up Too Big To Fail
- Third cohort of Cass Dubai EMBA students graduate
- MT @MSagebiel: http://t.co/fvxOvexi Review of Student Writing in the Quantitative Disciplines via @lamclay #quant
- Milken Institute Global Conference Panel Discussion Video - Is it time to invest in Europe?
- Guest Post: - Vikas Shah Interviews the CEO of Big Society Capital http://t.co/n9hv5SrL @MrVikas #bigsociety @bigsocietycap #thirdsector
- Guest Post: - Vikas Shah Interviews the Chief Executive of Big Society Capital
- Podcast - The State of the Art in Low Latency - The Daly Post
- Blog Post: substructural: Flash Crash Research, Part 2
- Podcast - The State of the Art in Low Latency - The Daly Post
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @fitzanalytics @waterstech @stanleyepstein
| Blog Post: TheReformedBroker: it's quiet out there this morningâ¦too quiet Posted: 03 May 2012 03:59 AM PDT Initial weekly unemployment claims will be released at 8:30 AM ET on Thursday. Visit MoneyScience for the Complete Article.      |
| Posted: 03 May 2012 03:22 AM PDT Press release about the Basel Committee consulting on the fundamental review of trading book capital requirements (3 May 2012) Visit MoneyScience for the Complete Article.    |
| Posted: 03 May 2012 02:57 AM PDT moneyscience: Is the Age of Silicon Computing Coming to an End? Physicist Michio Kaku Says "Yes" http://t.co/EmX5jTnW #tcm Visit MoneyScience for the Complete Article.    |
| House prices in the UK: what do the different indices show? http://t.co/n3SA6rl8 #tcm Posted: 03 May 2012 02:57 AM PDT moneyscience: House prices in the UK: what do the different indices show? http://t.co/n3SA6rl8 #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 03 May 2012 02:56 AM PDT fin_tech: Is the Age of Silicon Computing Coming to an End? Physicist Michio Kaku Says "Yes" http://t.co/eSZnIKAs #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 03 May 2012 02:55 AM PDT By Tommy Fernandezread more... Visit MoneyScience for the Complete Article.    |
| Amazon's HPC Cloud: Supercomputing for the 99 Percent - http://t.co/I4RHFE7i #tcm Posted: 03 May 2012 02:45 AM PDT moneyscience: Amazon's HPC Cloud: Supercomputing for the 99 Percent - http://t.co/I4RHFE7i #tcm Visit MoneyScience for the Complete Article.    |
| @Cassinthenews: Third cohort of Cass Dubai EMBA students graduate http://t.co/I4hO6bZa Posted: 03 May 2012 02:44 AM PDT BusinessSchools: @Cassinthenews: Third cohort of Cass Dubai EMBA students graduate http://t.co/I4hO6bZa Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Distribution Formulas Posted: 03 May 2012 02:37 AM PDT Before I get started this evening, I would like to offer an apology to those that read my recent piece, Simple Retirement Calculator. I didn’t define all of the terms in the piece, and so here are the definitions:read more... Visit MoneyScience for the Complete Article.    |
| Amazon's HPC Cloud: Supercomputing for the 99 Percent - http://t.co/bY4zZjhc #tcm Posted: 03 May 2012 02:34 AM PDT fin_tech: Amazon's HPC Cloud: Supercomputing for the 99 Percent - http://t.co/bY4zZjhc #tcm Visit MoneyScience for the Complete Article.    |
| LTRO: Quantitative easing in disguise? http://t.co/VdKqzsxA #tcm Posted: 03 May 2012 02:24 AM PDT moneyscience: LTRO: Quantitative easing in disguise? http://t.co/VdKqzsxA #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: How unbiased are financial advisors? Posted: 03 May 2012 02:02 AM PDT Not very - according to a well crafted double blind study. (Full paper here). The study found that too often advisors took clients portfolios and re-worked them in ways that would earn them the highest commissions. My advice: Index. Fees and commissions are very detrimental to your wealth. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Modelling the emergence of spatial patterns of economic activity Posted: 03 May 2012 01:34 AM PDT Understanding how spatial configurations of economic activity emerge is important when formulating spatial planning and economic policy. A simple model was proposed by Simon, who assumed that firms grow at a rate proportional to their size, and that new divisions of firms with certain probabilities relocate to other firms or to new centres of economic activity. Simon's model produces realistic... Visit MoneyScience for the Complete Article.    |
| Posted: 03 May 2012 01:34 AM PDT This Chapter is written for the Festschrift celebrating the 70th birthday of the distinguished economist Duncan Foley from the New School for Social Research in New York. This Chapter reviews applications of statistical physics methods, such as the principle of entropy maximization, to the probability distributions of money, income, and global energy consumption per capita. The exponential... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Fractal Profit Landscape of the Stock Market Posted: 03 May 2012 01:24 AM PDT We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized 8bd by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Social Networks with Competing Products Posted: 03 May 2012 01:24 AM PDT We introduce a new threshold model of social networks, in which the nodes influenced by their neighbours can adopt one out of several alternatives. We characterize social networks for which adoption of a product by the whole network is possible (respectively necessary) and the ones for which a unique outcome is guaranteed. These characterizations directly yield polynomial time algorithms that... Visit MoneyScience for the Complete Article.    |
| Posted: 03 May 2012 01:24 AM PDT Predicting X from Twitter is a popular fad within the Twitter research subculture. It seems both appealing and relatively easy. Among such kind of studies, electoral prediction is maybe the most attractive, and at this moment there is a growing body of literature on such a topic. This is not only an interesting research problem but, above all, it is extremely difficult. However, most of the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Power Law Distributions of Patents as Indicators of Innovation Posted: 03 May 2012 01:17 AM PDT The total number of patents produced by a country (or the number of patents produced per capita) is often used as an indicator for innovation. Here we present evidence tha 7b4 t the distribution of patents amongst applicants within many OECD countries is well-described by power laws with exponents that vary between 1.66 (Japan) and 2.37 (Poland). Using simulations based on simple preferential... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Fitness Model for Scholarly Impact Analysis Posted: 03 May 2012 01:17 AM PDT We propose a model to analyze citation growth and influences of fitness (competitiveness) factors in an evolving citation network. Applying the proposed method to modeling citations to papers and scholars in the InfoVis 2004 data, a benchmark collection about a 31-year history of informatio 7bf n visualization, leads to findings consistent with citation distributions in general and observations... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: CRD 4, Basel 3 - does that mean CRD wins? Posted: 03 May 2012 01:04 AM PDT I’ve been getting around a bit this week. Having had long conversations with cybersecurity experts, I’ve also been having long conversations with treasurers.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 03 May 2012 12:25 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @esgparis @henleyafrica @essecventures @vanderbiltowen Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: The boom and bust of Mervyn King Posted: 03 May 2012 12:23 AM PDT It is odd how different people see the same event.read more... Visit MoneyScience for the Complete Article.    |
| They couldnât even organise a good time in a brewery Posted: 02 May 2012 11:28 PM PDT One of my friends was lamenting his teenage daughter’s organisational skills the other day. Â More accurately, he was moaning that daughter & friends have lots of grand plans that have dates attached. Â Family diaries are reorganised to fit these plans, but a couple of days before every event it all gets cancelled.read more... Visit MoneyScience for the Complete Article.    |
| ROM Simulation: Applications to Stress Testing and VaR Posted: 02 May 2012 11:19 PM PDT Abstract: Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower quantile of a forecast distribution for the portfolio’s profit and loss (P&L) that is constructed from a single, multivariate historical sample on the portfolio’s risk factors. The implicit assumption is that history will repeat itself for certain over the forecast... Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Centaurus To Close As Arnold Retires Posted: 02 May 2012 10:07 PM PDT John Arnold, one of the most successful commodity hedge fund managers of all time, will shut his Centaurus Capital after a remarkable decade.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Inspirational Politicians Posted: 02 May 2012 07:28 PM PDT I'm always a bit bemused by people who find politicians interesting people, as invariably their remarks are simply a party line, and even the stories and metaphors aren't even their own. Consider this confession by Charles Wheelen:My first job out of college was writing speeches for the governor of Maine. Every spring [for graduations], I would offer extraordinary tidbits of wisdom to... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThreeToedSloth: Installing pcalg Posted: 02 May 2012 07:11 PM PDT Attention conservation notice: Boring details about getting finicky statistical software to work; or, please read the friendly manual. Some of my students are finding it difficult to install the R package pcalg; I share these instructions in case others are also in difficulty. For representing graphs, pcalg relies on two packages called RBGL and graph. These are not available on CRAN, but rather... Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2012 05:31 PM PDT This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from January 4, 2000 to January 30, 2012. A recursive segmentation procedure is used under the assumption of a Gaussian mixture. The number of each quintile of variance for all the segments indicates is investigated... Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2012 05:31 PM PDT This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive segmentation procedure is proposed. The daily log-return time series for 30 currency pairs consisting of 12 currencies for the last decade (January 3, 2001 to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Fractal Profit Landscape of the Stock Market. (arXiv:1205.0505v1 [q-fin.ST]) Posted: 02 May 2012 05:31 PM PDT We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: Supreme Court May Take Bulldog's Appeal Posted: 02 May 2012 05:16 PM PDT The Goldstein case has arisen because Massachusetts prohibits an issuer of unregistered securities sold only to sophisticated investors from running a website accessible to not-so-sophisticated folks, or from contacting them with emails in response to interest expressed on the website. The trial court upheld the law and regulation at issue against Bulldog’s first amendment arguments, finding... Visit MoneyScience for the Complete Article.    |
| Blog Post: EconometricsBeat: Newton and the Royal Mint Posted: 02 May 2012 11:43 AM PDT Sir Isaac Newton had a "day job" - Master of the Royal Mint, from 1699 until his death in 1727. Today I received an email notice about an upcoming statistics seminar at the University of British Columbia - just across the water from here: Tue 8th May 2012, 11:00am Ari Belenkiy The Master at the Royal Mint: How much money did Newton save Britain? Abstract "From the extant... Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Dallas Federal Reserve Doesn't Relent â Bust Up Too Big To Fail Posted: 02 May 2012 10:40 AM PDT Richard Fisher, the Dallas Federal Reserve President, was somewhat of a lapdog before this crisis. In fact, I mocked his generally oblivious nature before this crisis hit. He was in the ozone. But, I must say, he has made a reasonably graceful recovery and has been consistently on the side of democracy. At least as much as someone who is part of the public-private... Visit MoneyScience for the Complete Article.    |
| Third cohort of Cass Dubai EMBA students graduate Posted: 02 May 2012 10:33 AM PDT Prestigious ceremony attended by H.H.Sheikh Ahmed bin Saeed Al Maktoum Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2012 08:12 AM PDT BusinessSchools: MT @MSagebiel: http://t.co/fvxOvexi Review of Student Writing in the Quantitative Disciplines via @lamclay #quant Visit MoneyScience for the Complete Article.    |
| Milken Institute Global Conference Panel Discussion Video - Is it time to invest in Europe? Posted: 02 May 2012 07:45 AM PDT It must be Hugh Hendry Week. Following Monday's fascinating letter to Eclectica Investors, here he is again in a Panel Discussion at the Milken Institute Global Conference yesterday. Also in the discussion:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2012 07:30 AM PDT BusinessSchools: Guest Post: - Vikas Shah Interviews the CEO of Big Society Capital http://t.co/n9hv5SrL @MrVikas #bigsociety @bigsocietycap #thirdsector Visit MoneyScience for the Complete Article.    |
| Guest Post: - Vikas Shah Interviews the Chief Executive of Big Society Capital Posted: 02 May 2012 07:02 AM PDT A Guest Post By Vikas Shah www.thoughtstrategy.co.ukread more... Visit MoneyScience for the Complete Article.    |
| Podcast - The State of the Art in Low Latency - The Daly Post Posted: 02 May 2012 06:34 AM PDT Rob Daly is a financial tech journalist who produces the rather excellent Daly Post Podcast. In this most recent edition he asks:read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: substructural: Flash Crash Research, Part 2 Posted: 02 May 2012 06:31 AM PDT A couple of papers I spotted a while ago: Easey et al study a measure of order flow toxicity called Volume-Synchronized Probability of Informed Trading in The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading. Johnson et al considers a large number of mini-flash crashes from 2006 to 2011 in Financial black swans driven by ultrafast... Visit MoneyScience for the Complete Article.    |
| Podcast - The State of the Art in Low Latency - The Daly Post Posted: 02 May 2012 06:30 AM PDT Rob Daly is a financial tech journalist who produces the rather excellent Daly Post Podcast. In this most recent edition he asks:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2012 05:52 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @fitzanalytics @waterstech @stanleyepstein Visit MoneyScience for the Complete Article.    |
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