MoneyScience News |
- @Cassinthenews: âDonât panic and over-communicate.â http://t.co/oGIP6rBx
- Blog Post: PatrickBurns: Exponential decay models
- Blog Post: WealthandCapitalMarketsBlog: Run for Regulated!
- RT @diane1859: Got to love international monetary analysis that cites David Hume's work: http://t.co/8Ir18T07
- RT @boomerangomics: Joseph Stiglitz: The Invisible Hand is Invisible Because It Isn't There. http://t.co/1jz1SIyI via @kostasgeorgioy
- RT @rszbt Specialized vultures: MT @paullewismoney: Investors who said 'no' to haircut big winners from Greek crisis http://t.co/yN0Yp52f
- Blog Post: TheFinancialServicesClub: 'Whiner Dimon', and why consumers are just as important as regulators
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @incae @ucberkeleynews
- Cost of Greek exit from euro put at $1tn http://t.co/B9jlvKfQ #tcm #greece
- Blog Post: Falkenblog: Minimum Volatility Portfolio Tactics
- Published / Preprint: Restructuring the Italian NHS: a case study of the regional hospital network. (arXiv:1205.3519v1 [q-fin.GN])
- Published / Preprint: New solvable stochastic volatility models for pricing volatility derivatives. (arXiv:1205.3550v1 [q-fin.PR])
- Published / Preprint: Approximating stochastic volatility by recombinant trees. (arXiv:1205.3555v1 [q-fin.CP])
- Published / Preprint: Valuation and hedging of the ruin-contingent life annuity (RCLA). (arXiv:1205.3686v1 [q-fin.PR])
- Published / Preprint: Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment. (arXiv:1205.3763v1 [q-fin.CP])
- Published / Preprint: Asymptotically Optimal Algorithm for Short-Term Trading Based on the Method of Calibration. (arXiv:1205.3767v1 [cs.AI])
- Published / Preprint: An Optimal Execution Problem with Market Impact. (arXiv:0907.3282v3 [q-fin.TR] UPDATED)
- Published / Preprint: Small-time asymptotics for fast mean-reverting stochastic volatility models. (arXiv:1009.2782v2 [q-fin.PR] UPDATED)
- Published / Preprint: An Optimal Execution Problem in Geometric Ornstein-Uhlenbeck Price Process. (arXiv:1107.1787v2 [q-fin.TR] UPDATED)
- âDonât panic and over-communicate.â
- UK finance firms prep for Greek Euro-exit â could be "quite messy" according to IMF Head http://t.co/3vbexkkS understatement of the year?
- MIT OpenCourseWare - Macro and International Economics, Fall 2011 - http://t.co/bl8VsAha @mitocw #education
- Silicon Valley Avoids 'B Players' Like the Plague - http://t.co/x6Ci3jMf #tcm
- RT @hftreview: How Does Proprietary HFT Benefit Investors? Interview with Mark Gorton, Tower Research Capital http://t.co/n6nj47td
- Beyond the high-speed hard drive: Introducing "strong 3-D topological insulators" & room-temperature spintronics http://t.co/vLZ7cNsd #tcm
- Peer-reviewed publications & conference reports can expect explicit protection as England revises libel laws http://t.co/vyUxDCsr #tcm
- Paris de LâEtraz is an investment banker turned business school professor who knows a #quant when he sees one - http://t.co/mVNQmggH #tcm
- 'Modern Portfolio Theory' optimizes conservation practices - http://t.co/GufXIlDF #finance #environment
- Speed of light? Bah! Chinese Physicists Smash Quantum Teleportation Record - http://t.co/zQ3Odj8U #tcm #hft
- 'Modern Portfolio Theory' optimizes conservation practices
- Research Library: Optimal portfolio design to reduce climate-related conservation uncertainty in the Prairie Pothole Region
- Blog Post: iMFdirect: Escaping the Resource Curse
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @sumerianit @jeffreypeel @inasap @statprogroup
| @Cassinthenews: âDonât panic and over-communicate.â http://t.co/oGIP6rBx Posted: 17 May 2012 03:17 AM PDT BusinessSchools: @Cassinthenews: “Don’t panic and over-communicate.†http://t.co/oGIP6rBx Visit MoneyScience for the Complete Article.      |
| Blog Post: PatrickBurns: Exponential decay models Posted: 17 May 2012 03:11 AM PDT All models are wrong, some models are more wrong than others.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Run for Regulated! Posted: 17 May 2012 02:19 AM PDT As the European and US authorities are trying to regulate pretty much everything in the financials industry in their “Prudential Regulation” stance to prevent our economies to implode, unregulated entities are thinking about getting a regulated status..read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 01:10 AM PDT moneyscience: RT @diane1859: Got to love international monetary analysis that cites David Hume's work: http://t.co/8Ir18T07 Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 01:10 AM PDT moneyscience: RT @boomerangomics: Joseph Stiglitz: The Invisible Hand is Invisible Because It Isn't There. http://t.co/1jz1SIyI via @kostasgeorgioy Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 01:10 AM PDT moneyscience: RT @rszbt Specialized vultures: MT @paullewismoney: Investors who said 'no' to haircut big winners from Greek crisis http://t.co/yN0Yp52f Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 01:10 AM PDT Talking with a friend this week, they said that they had found my blog entries a little over the top lately. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 12:27 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @incae @ucberkeleynews Visit MoneyScience for the Complete Article.    |
| Cost of Greek exit from euro put at $1tn http://t.co/B9jlvKfQ #tcm #greece Posted: 16 May 2012 11:54 PM PDT moneyscience: Cost of Greek exit from euro put at $1tn http://t.co/B9jlvKfQ #tcm #greece Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Minimum Volatility Portfolio Tactics Posted: 16 May 2012 07:07 PM PDT MSCI is very good at creating indices, and their Global Minimum Volatility Index is intriguing (BB ticker M00IWO$P). If I plot its return again a simple average of my Minimum Variance portfolios drawn from the UKX, NKY, MSER and SPX indices (UK, Japan, Europe, USA). They line up pretty well. Mean returns and standard deviations are basically identical over the period for which I have... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT One of the main issues affecting the Italian NHS is the healthcare deficit: according to current agreements between the Italian State and its Regions, public funding of regional NHS is now limited to the amount of regional deficit and is subject to previous assessment of strict adherence to constraint on regional healthcare balance sheet. Many Regions with previously uncontrolled healthcare... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the Heston (or square root) process, 1- GARCH, and 3/2 - the 3/2 model. Some other models were discovered in \cite{Labordere2009} by making connection between stochastic volatility and solvable... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov process. The ?first two components are related to the stock and volatility processes and take values in a two dimensional Binomial tree. The other two components... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" call option. The annuitant's (i.e. long position) payoff from a generic RCLA is \$1 of income per year for life, akin to a defined benefit pension, but deferred until a pre-specified financial... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. In particular, we analyse the dynamics of the model around the so-called `Break Point Date', when behavioural elements are injected into the system and compare it to our empirical benchmark sample. Behavioural patterns are thus... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT A trading strategy based on a natural learning process, which asymptotically outperforms any trading strategy from RKHS (Reproduced Kernel Hilbert Space), is presented. In this process, the trader rationally chooses his gambles using predictions made by a randomized well calibrated algorithm. Our strategy is based on Dawid's notion of calibration with more general changing checking rules and on... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT We study an optimal execution problem in a market model which considers market impact. First we study a discrete-time model and describe a value function. Then, by shortening the intervals of the execution times, we derive the value function of a continuous-time model and study some of its properties (continuity, semi-group property and viscosity property). We show that these vary with the... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB type equations where the "fast variable" lives in a non-compact space. We develop a general argument based on viscosity solutions which we... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:30 PM PDT We study the optimal execution problem in the presence of market impact and give a generalization of the main result of Kato(2009). Then we consider an example where the security price follows a geometric Ornstein-Uhlenbeck process which has the so-called mean-reverting property, and then show that an optimal strategy is a mixture of initial/terminal block liquidation and intermediate gradual... Visit MoneyScience for the Complete Article.    |
| âDonât panic and over-communicate.â Posted: 16 May 2012 12:11 PM PDT Dr Bob Kelly, former CEO of BNY Mellon, tells students at Cass Business School how to cope in a financial crisis Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 09:37 AM PDT BusinessSchools: UK finance firms prep for Greek Euro-exit â€" could be "quite messy" according to IMF Head http://t.co/3vbexkkS understatement of the year? Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 09:37 AM PDT BusinessSchools: MIT OpenCourseWare - Macro and International Economics, Fall 2011 - http://t.co/bl8VsAha @mitocw #education Visit MoneyScience for the Complete Article.    |
| Silicon Valley Avoids 'B Players' Like the Plague - http://t.co/x6Ci3jMf #tcm Posted: 16 May 2012 08:47 AM PDT fin_tech: Silicon Valley Avoids 'B Players' Like the Plague - http://t.co/x6Ci3jMf #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 08:35 AM PDT fin_tech: RT @hftreview: How Does Proprietary HFT Benefit Investors? Interview with Mark Gorton, Tower Research Capital http://t.co/n6nj47td Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 08:35 AM PDT fin_tech: Beyond the high-speed hard drive: Introducing "strong 3-D topological insulators" & room-temperature spintronics http://t.co/vLZ7cNsd #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 08:27 AM PDT BusinessSchools: Peer-reviewed publications & conference reports can expect explicit protection as England revises libel laws http://t.co/vyUxDCsr #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 08:27 AM PDT BusinessSchools: Paris de L’Etraz is an investment banker turned business school professor who knows a #quant when he sees one - http://t.co/mVNQmggH #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 08:27 AM PDT BusinessSchools: 'Modern Portfolio Theory' optimizes conservation practices - http://t.co/GufXIlDF #finance #environment Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 08:20 AM PDT fin_tech: Speed of light? Bah! Chinese Physicists Smash Quantum Teleportation Record - http://t.co/zQ3Odj8U #tcm #hft Visit MoneyScience for the Complete Article.    |
| 'Modern Portfolio Theory' optimizes conservation practices Posted: 16 May 2012 08:00 AM PDT While climate change is likely to alter the spatial distributions of species and habitat types, the nature of those changes is uncertain, making it more difficult for conservationists to implement standard planning models. Research from applied economists at the University of Illinois shows that adapting a theory from the world of finance could help to optimize conservation activities.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 07:48 AM PDT Amy W. Ando and Mindy L. Mallory Abstract Climate change is likely to alter the spatial distributions of species and habitat types but the nature of such change is uncertain. Thus, climate change makes it difficult to implement standard conservation planning paradigms. Previous work has suggested some approaches to cope with such uncertainty but has not harnessed all of the benefits of... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Escaping the Resource Curse Posted: 16 May 2012 07:02 AM PDT By Mauricio Villafuerteread more... Visit MoneyScience for the Complete Article.    |
| Posted: 16 May 2012 05:54 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @sumerianit @jeffreypeel @inasap @statprogroup Visit MoneyScience for the Complete Article.    |
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