MoneyScience News |
- Research Library: Risk Premia Harvesting Through Momentum
- Published / Preprint: Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price
- Published / Preprint: On the non-stationarity of financial time series: impact on optimal portfolio selection
- Published / Preprint: Singularity strength based characterization of financial networks
- Published / Preprint: Hierarchical structure and time-lag correlation in Worldwide Financial Markets
- Published / Preprint: Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets
- Published / Preprint: Communication activity in a social network: relation between long-term correlations and inter-event clustering
- Published / Preprint: Graph spectra and the detectability of community structure in networks
- Research Library: Hedge Funds and Chapter 11
- Research Library: Men are from Mars, Women are from Venus: Director Gender and Mergers and Acquisitions
- Research: Hedge funds more like guardian angels than vultures when it comes to bankruptcy
- RT @BusinessSchools: @Cassinthenews: 'Europe should take responsibility for regulating banksâ http://t.co/g0dz52C1
- For the Rich, Income Inequality and Volatility Is a Good Bet - http://t.co/5fDk0eii #tcm
- Thanks Tim: RT @TCJUK: @moneyscience Thorp and Shannon actually did this in 1961 and published in 1966 http://t.co/02Tqoamx #gambling
- Published / Preprint: Diffusion of innovations in social interaction systems. An agent-based model for the introduction of new drugs in markets
- Financial Expertise as an Arms Race - http://t.co/ife83M97 #tcm
- Volatility and Premiums - Fama & French - http://t.co/bNW4jFqS #tcm
- @Cassinthenews: âEurope should take responsibility for regulating banksâ http://t.co/g0dz52C1
- Blog Post: TheFinancialServicesClub: Who moved my rock?
- What Scientists Read. How does literature influence scientific thought and practice - http://t.co/FevX2qNk
- Research Library: Predicting the outcome of roulette
- Doyne Farmer on the Physics of Beating Roulette
- Reputational Contagion and Optimal Regulatory Forbearance
- Does the leading model of open access #publishing discriminate against academics unable to pay publication charges? http://t.co/4gRxl3kx
- A PhD candidate asks how best to prepare for and present an essay in an interview via Skype. Responses in comments at http://t.co/yTLXE2xO
- Where are all the innovators in academia? http://t.co/8fP1RsOm
- Arab Spring good for UAE business schools http://t.co/WzsVXKj2
- Getting Science 'Geeks' Into the Corner Office - http://t.co/28DY94tk
- @KelleySchool Inks Analytics Deal With Indian Institute of Management -@IIML http://t.co/LpsTcQKc
- Association of African Business Schools holds conference in Lagos http://t.co/pkCdf8eG
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @ucberkeleynews @ricemba @wharton
- Blog Post: TheAlephBlog: Yahoo Finance News
- Blog Post: Falkenblog: Asness and Frazzini Make Simple Point on Value
- Published / Preprint: Optimal retirement consumption with a stochastic force of mortality. (arXiv:1205.2295v1 [q-fin.RM])
- Published / Preprint: Electricity price modeling and asset valuation: a multi-fuel structural approach. (arXiv:1205.2299v1 [q-fin.PR])
- Published / Preprint: The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels. (arXiv:1205.2302v1 [q-fin.PR])
- Published / Preprint: Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach. (arXiv:1011.3736v2 [q-fin.PR] UPDATED)
- Blog Post: iMFdirect: Making Sure Middle East Growth Is Inclusive
- @icmacentre: Lateral Thinkers wanted http://t.co/31y9UOJD
- FBI sees #Bitcoin payment network as an alarming haven for money laundering and other criminal activity http://t.co/et9yuwbj #tcm
- Blog Post: rob_daly: A Good Man Passes
- It's not even #fractalfriday yet! RT @cstross: Wow! 3 minute fractal movie with sound track in 4kb of code: http://t.co/FeklCbje
- MT @terrapinntrades: Market Fairness, Financial Regulation and the FSA's Market Cleanliness Statistic - http://t.co/9qQIzR6R #hft #tcm
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @acuityrm @mc2technology @kirkwy @caplinsystems
- MBSâ retail expert reaches 7.2 million viewers
| Research Library: Risk Premia Harvesting Through Momentum Posted: 11 May 2012 04:52 AM PDT This paper won the NAAIM 2012 Wagner Award for Advances in Active Investment Management Gary Antonacci Portfolio Management Associates Abstract Momentum is the premier market anomaly. It is nearly universal in its applicability. Rather than focus on momentum applied to particular assets or asset classes, this paper explores momentum with respect to what makes it most effective. We do... Visit MoneyScience for the Complete Article.      |
| Posted: 11 May 2012 04:47 AM PDT We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster than exponential due to positive feedback. We show that the positive feedback operates by traders continuously upgrading their over-optimistic expectations of... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 04:47 AM PDT We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence against the well-established common knowledge that using longer price time series provides better, more accurate, correlation estimates. Then, we investigate the possible... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Singularity strength based characterization of financial networks Posted: 11 May 2012 04:47 AM PDT Financial markets are well known examples of multi-fractal complex systems that have garnered much interest in their characterization through complex network theory. The recent studies have used correlation based distance metrics for defining and analyzing financial networks. In this work the singularity strength is employed to define a distance metric and the existence of hierarchical structure... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Hierarchical structure and time-lag correlation in Worldwide Financial Markets Posted: 11 May 2012 04:47 AM PDT Recently, many studies indicated that the minimum spanning tree (MST) network whose metric distance is de?ned b 979 y using correlation coe?cients have strong implications on extracting infor- mation from return time series. However in many cases researchers may hope to investigate the strength of interactions but not the directions of them. In order to study the strength of interaction and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets Posted: 11 May 2012 04:47 AM PDT A theory of exceptional extreme events, characterized by their abnormal sizes 885 compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings", have been reported in the distribution of financial drawdowns, city-size distributions (e.g., Paris in France and London in the UK), in material failure, epileptic seizure intensities, and other systems. Within our... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 04:47 AM PDT The timing patterns of human communication in social networks is not random. On the contrary, communication is dominated by emergent statistical laws such as non-trivial correlations and clustering. Recently, we found long-term correlations in the user's activity in social communities. Here, we extend this work to study collective behavior of the whole community. The goal is to understand the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Graph spectra and the detectability of community structure in networks Posted: 11 May 2012 04:47 AM PDT We study networks that display community structure -- groups of nodes within which connections are unusually dense. Using methods from random matrix theory, we calculate the spectra of such networks in the limit of large size, and hence demonstrate the presence of a phase transition in matrix methods for community detection, such as the popular modularity maximization method. The transition... Visit MoneyScience for the Complete Article.    |
| Research Library: Hedge Funds and Chapter 11 Posted: 11 May 2012 04:40 AM PDT Wei Jiang Columbia Business School - Finance and Economics Kai Li University of British Columbia - Sauder School of Business; China Academy of Financial Research (CAFR) Wei Wang Queen's School of Business Abstract This paper studies the presence of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge funds strategically choose positions in the capital... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 04:32 AM PDT Winner of the Best Doctoral Student Paper in Behavioral Finance Award at the 2011 Annual Meeting of the Academy of Behavioral Finance & Economics Maurice D. Levi University of British Columbia - Sauder School of Business Kai Li University of British Columbia - Sauder School of Business; China Academy of Financial Research (CAFR) Feng Zhang University of Utah - David Eccles School of... Visit MoneyScience for the Complete Article.    |
| Research: Hedge funds more like guardian angels than vultures when it comes to bankruptcy Posted: 11 May 2012 04:25 AM PDT New University of British Columbia research shows that – contrary to popular opinion – hedge funds have a positive influence when investing in U.S. companies filing for Chapter 11 bankruptcy.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 03:52 AM PDT moneyscience: RT @BusinessSchools: @Cassinthenews: “Europe should take responsibility for regulating banks†http://t.co/g0dz52C1 Visit MoneyScience for the Complete Article.    |
| For the Rich, Income Inequality and Volatility Is a Good Bet - http://t.co/5fDk0eii #tcm Posted: 11 May 2012 03:52 AM PDT moneyscience: For the Rich, Income Inequality and Volatility Is a Good Bet - http://t.co/5fDk0eii #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 03:52 AM PDT moneyscience: Thanks Tim: RT @TCJUK: @moneyscience Thorp and Shannon actually did this in 1961 and published in 1966 http://t.co/02Tqoamx #gambling Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 03:40 AM PDT The existence of imitative behavior among consumers is a well-known phenomenon in the field of Economics. This behavior is especially common in markets determined by a high degree of innovation, asymmetric information and/or price-inelastic demand, features that exist in the pharmaceutical market. This paper presents evidence of the existence of imitative behavior among primary care physicians in... Visit MoneyScience for the Complete Article.    |
| Financial Expertise as an Arms Race - http://t.co/ife83M97 #tcm Posted: 11 May 2012 03:19 AM PDT moneyscience: Financial Expertise as an Arms Race - http://t.co/ife83M97 #tcm Visit MoneyScience for the Complete Article.    |
| Volatility and Premiums - Fama & French - http://t.co/bNW4jFqS #tcm Posted: 11 May 2012 03:09 AM PDT moneyscience: Volatility and Premiums - Fama & French - http://t.co/bNW4jFqS #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 02:58 AM PDT BusinessSchools: @Cassinthenews: “Europe should take responsibility for regulating banks†http://t.co/g0dz52C1 Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Who moved my rock? Posted: 11 May 2012 02:58 AM PDT I often use two discussion points by way of background when talking about the future.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 02:28 AM PDT BusinessSchools: What Scientists Read. How does literature influence scientific thought and practice - http://t.co/FevX2qNk Visit MoneyScience for the Complete Article.    |
| Research Library: Predicting the outcome of roulette Posted: 11 May 2012 02:18 AM PDT Michael Small, Chi Kong Tse Abstract There have been several popular reports of various groups exploiting the deterministic nature of the game of roulette for profit. Moreover, through its history the inherent determinism in the game of roulette has attracted the attention of many luminaries of chaos theory. In this paper we provide a short review of that history and then set out to determine... Visit MoneyScience for the Complete Article.    |
| Doyne Farmer on the Physics of Beating Roulette Posted: 11 May 2012 02:12 AM PDT Michael Slezak writes at New Scientist:read more... Visit MoneyScience for the Complete Article.    |
| Reputational Contagion and Optimal Regulatory Forbearance Posted: 11 May 2012 02:05 AM PDT Dr. Morrison read mathematics at Brasenose College, Oxford, 1985 – 88. Between 1988 and 1995 he worked for Anderson Consulting (now Accenture), Morgan Grenfell and SG Warburg. He then took an MSc at Imperial College in the Foundations of Information Technology. He completed his doctorate at Saïd Business School on ‘Reputation, Opportunism and Crowd Behaviour in Debt Markets’ in... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 01:58 AM PDT BusinessSchools: Does the leading model of open access #publishing discriminate against academics unable to pay publication charges? http://t.co/4gRxl3kx Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 01:58 AM PDT BusinessSchools: A PhD candidate asks how best to prepare for and present an essay in an interview via Skype. Responses in comments at http://t.co/yTLXE2xO Visit MoneyScience for the Complete Article.    |
| Where are all the innovators in academia? http://t.co/8fP1RsOm Posted: 11 May 2012 01:58 AM PDT BusinessSchools: Where are all the innovators in academia? http://t.co/8fP1RsOm Visit MoneyScience for the Complete Article.    |
| Arab Spring good for UAE business schools http://t.co/WzsVXKj2 Posted: 11 May 2012 01:58 AM PDT BusinessSchools: Arab Spring good for UAE business schools http://t.co/WzsVXKj2 Visit MoneyScience for the Complete Article.    |
| Getting Science 'Geeks' Into the Corner Office - http://t.co/28DY94tk Posted: 11 May 2012 01:58 AM PDT BusinessSchools: Getting Science 'Geeks' Into the Corner Office - http://t.co/28DY94tk Visit MoneyScience for the Complete Article.    |
| @KelleySchool Inks Analytics Deal With Indian Institute of Management -@IIML http://t.co/LpsTcQKc Posted: 11 May 2012 01:58 AM PDT BusinessSchools: @KelleySchool Inks Analytics Deal With Indian Institute of Management -@IIML http://t.co/LpsTcQKc Visit MoneyScience for the Complete Article.    |
| Association of African Business Schools holds conference in Lagos http://t.co/pkCdf8eG Posted: 11 May 2012 01:58 AM PDT BusinessSchools: Association of African Business Schools holds conference in Lagos http://t.co/pkCdf8eG Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2012 12:26 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @ucberkeleynews @ricemba @wharton Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Yahoo Finance News Posted: 10 May 2012 09:18 PM PDT I want to call attention to News at Yahoo Finance. I have used Yahoo Finance for 15 years and have found it valuable. As time has gone on, Yahoo has added low value news sources like Seeking Alpha, Motley Fool, and Zacks. These are websites that if I could eliminate them, it would be done already.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Asness and Frazzini Make Simple Point on Value Posted: 10 May 2012 07:26 PM PDT Cliff Asness has been thinking, writing, and investing on value and momentum ideas since the late 1990's, and as the head of a successful hedge fund, it's fair to say he's one of the world's foremost experts on these equity factors. He and Andrea Frazzini recently put up a The Devil in HML's Details on the SSRN, so this is all new to me even though it has been around for a year elsewhere... Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2012 05:32 PM PDT We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii.) a consumer can adapt their consumption strategy to new information about their mortality rate (a.k.a. health status) as it becomes available. In particular, we derive the optimal... Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2012 05:32 PM PDT We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity spot prices. The stack structure allows for a range of generator efficiencies per fuel type and for the possibility of future changes in the merit order of... Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2012 05:32 PM PDT The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the use of structural models as opposed to reduced-form models which fail to capture properly the fundamental dependencies between the economic factors entering the... Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2012 05:32 PM PDT We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models. Using an exogenously specified demand for a polluting good it gives a causal explanation for the accumulation of CO2 emissions and takes into account the feedback... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Making Sure Middle East Growth Is Inclusive Posted: 10 May 2012 12:56 PM PDT By Nemat Shafikread more... Visit MoneyScience for the Complete Article.    |
| @icmacentre: Lateral Thinkers wanted http://t.co/31y9UOJD Posted: 10 May 2012 12:52 PM PDT BusinessSchools: @icmacentre: Lateral Thinkers wanted http://t.co/31y9UOJD Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2012 12:02 PM PDT fin_tech: FBI sees #Bitcoin payment network as an alarming haven for money laundering and other criminal activity http://t.co/et9yuwbj #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: A Good Man Passes Posted: 10 May 2012 10:42 AM PDT On Monday, Dennis Fitch passed away.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2012 08:28 AM PDT fin_tech: It's not even #fractalfriday yet! RT @cstross: Wow! 3 minute fractal movie with sound track in 4kb of code: http://t.co/FeklCbje Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2012 05:58 AM PDT fin_tech: MT @terrapinntrades: Market Fairness, Financial Regulation and the FSA's Market Cleanliness Statistic - http://t.co/9qQIzR6R #hft #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 10 May 2012 05:58 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @acuityrm @mc2technology @kirkwy @caplinsystems Visit MoneyScience for the Complete Article.    |
| MBSâ retail expert reaches 7.2 million viewers Posted: 10 May 2012 05:50 AM PDT    |
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