MoneyScience News |
- A little bit of #history: Introducing John Pierpont Morgan (1837 ' 1913) http://t.co/EUcznRFj #tcm http://t.co/ilzvhf7q
- A little bit of history: Introducing John Pierpont Morgan (1837 ' 1913) http://t.co/thFobG9Q #tcm http://t.co/6gvZCVnV
- @AswathDamodaran: Governments and Value III: Bribery, Corruption and other "Dark" Costs - http://t.co/esEBoOdg #tcm
- @AswathDamodaran: Governments and Value II: Subsidies and Value - http://t.co/vaytlQkd #tcm
- Being There
- RT @AmyResnick: A new Value-at-Risk model looks to have masked $2B mark-to-market loss in JPMs CIO over the past few months -IFR http: ...
- RT @moneyscience: Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information http://t.co/eaaMExZs #hft
- RT @moneyscience: Research: Optimal starting times, stopping times and risk measures for algorithmic trading http://t.co/krOPyVbj #HFT
- Woah! RT @MSagebiel: Wolfram Finance Platform: Ultimate Financial Computation Environment http://t.co/of0tdxOt @stephen_wolfram
- Published / Preprint: Optimal starting times, stopping times and risk measures for algorithmic trading
- Published / Preprint: Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
- Published / Preprint: From Minority Game to Black & Scholes pricing
- Published / Preprint: Price manipulation in a market impact model with dark pool
- Published / Preprint: Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics
- Published / Preprint: How Visibility and Divided Attention Constrain Social Contagion
- Published / Preprint: Stability of Boolean Multiplex Networks
- Blog Post: TheFinancialServicesClub: European leaders are at least unified on one front
- Published / Preprint: The robustness of interdependent clustered networks
- Published / Preprint: A k-shell decomposition method for weighted networks
- Published / Preprint: Multi-scale Dynamics in a Massive Online Social Network
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @insead @barcelona_gbs @katzpittbiz
- A miniature Linux computer that is slightly larger than a USB thumb drive http://t.co/fbqKlguz (1.5GHz ARM CPU and 512MB of RAM) #tcm
- RT @Inter_gen UK Student Loans Will Increase Pensions - another intergenerational transfer. Report launched today: http://t.co/uk8LeOtW #tcm
- Blog Post: TheAlephBlog: Don't Become the Market
- Blog Post: Falkenblog: Ira Sohn Conference Results
- Published / Preprint: Price manipulation in a market impact model with dark pool. (arXiv:1205.4008v1 [q-fin.TR])
- Published / Preprint: Penalty Decomposition Methods for Rank Minimization. (arXiv:1008.5373v3 [math.OC] UPDATED)
- Blog Post: rob_daly: How Sacrosanct is Matching Engine Design?
- Blog Post: iMFdirect: Closer, Ever Closer
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @lowlatency @sapientgm @mc2technology @carlcarrie
| Posted: 18 May 2012 03:47 AM PDT moneyscience: A little bit of #history: Introducing John Pierpont Morgan (1837 â€" 1913) http://t.co/EUcznRFj #tcm http://t.co/ilzvhf7q Visit MoneyScience for the Complete Article.      |
| Posted: 18 May 2012 03:36 AM PDT fin_tech: A little bit of history: Introducing John Pierpont Morgan (1837 â€" 1913) http://t.co/thFobG9Q #tcm http://t.co/6gvZCVnV Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 03:24 AM PDT moneyscience: @AswathDamodaran: Governments and Value III: Bribery, Corruption and other "Dark" Costs - http://t.co/esEBoOdg #tcm Visit MoneyScience for the Complete Article.    |
| @AswathDamodaran: Governments and Value II: Subsidies and Value - http://t.co/vaytlQkd #tcm Posted: 18 May 2012 03:23 AM PDT moneyscience: @AswathDamodaran: Governments and Value II: Subsidies and Value - http://t.co/vaytlQkd #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 03:07 AM PDT I’ve watched the 1979 Peter Sellers film, Being There this week for the first time. Â It’s an intriguing film – a man with learning difficulties is accidentally thrust into the world of the Washington elite. Â The elite are so insulated in their bubble that they do not recognise ‘Chancey’ for who he is, they assume he is the same as them, and take his child-like... Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 02:47 AM PDT moneyscience: RT @AmyResnick: A new Value-at-Risk model looks to have masked $2B mark-to-market loss in JPMs CIO over the past few months -IFR http: ... Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 02:25 AM PDT fin_tech: RT @moneyscience: Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information http://t.co/eaaMExZs #hft Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 02:25 AM PDT fin_tech: RT @moneyscience: Research: Optimal starting times, stopping times and risk measures for algorithmic trading http://t.co/krOPyVbj #HFT Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 02:12 AM PDT fin_tech: Woah! RT @MSagebiel: Wolfram Finance Platform: Ultimate Financial Computation Environment http://t.co/of0tdxOt @stephen_wolfram Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 01:15 AM PDT We derive explicit recursive formulas for b35 Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS and TC, respectively, given a minimum trading size. We also show how to add a minimum participation rate constraint (Percentage of Volume, PVol) for both TC and IS. We also study an alternative... Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 01:15 AM PDT ac7 We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse controls and regular controls. We model and discuss the consequences of the two main features of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: From Minority Game to Black & Scholes pricing Posted: 18 May 2012 01:15 AM PDT In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game with number of strategies for each agent S=2 and "fake" market histories. The dynamics derived is a generalized geometric Brownian motion; from the Black&Scholes formula the calibration of the Mi 660 nority Game, by means of the game parameter $ \sigma^{2}$, on the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Price manipulation in a market impact model with dark pool Posted: 18 May 2012 01:15 AM PDT For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic 6eb investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus on a class of dark-pool models whose market impact at the exchange is... Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 01:15 AM PDT We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counter-flows of simulated pedestrians through a door display many stylized facts observed in financial markets when the density around the door is compared with the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: How Visibility and Divided Attention Constrain Social Contagion Posted: 18 May 2012 01:15 AM PDT How far and how fast does information spre 95e ad in social media? Researchers have recently examined a number of factors that affect information diffusion in online social networks, including: the novelty of information, users' activity levels, who they pay attention to, and how they respond to friends' recommendations. Using URLs as markers of information, we carry out a detailed study of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Stability of Boolean Multiplex Networks Posted: 18 May 2012 01:15 AM PDT We 7e4 extend the formalism of Random Boolean Networks with canalizing rules to multilevel complex networks. The formalism allows to model genetic networks in which each gene might take part in more than one signaling pathway. We use a semi-annealed approach to study the stability of this class of models when coupled in a multiplex network and show that the analytical results are in good... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: European leaders are at least unified on one front Posted: 18 May 2012 01:15 AM PDT As we approach euro meltdown (join our webinar with GTNews on Tuesday for more on this), I thought it might be worth listening in to the videocall that took place between Italian Prime Minister Mario Monti, French President Francois Hollande, German Chancellor Angela Merkel, British Prime Minister David Cameron and European Council President Herman Van Rompuy yesterday.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The robustness of interdependent clustered networks Posted: 18 May 2012 01:00 AM PDT A system of interdependent networks was recently found to be very vulnerable since cascading failures that may lead to abrupt breakdown of the system. We develop an analytical method, based on the percolation method developed for single networks [M.E.J. Newman, Phys. Rev. Lett. {\bf 103}, 058701 (2009)], to study the effect of clustering within the networks on the robustness of the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A k-shell decomposition method for weighted networks Posted: 18 May 2012 01:00 AM PDT We present a generalized method for calculating the k-shell structure of weighted networks. The method takes into ac 80b count both the weight and the degree of a network, in such a way that in the absence of weights we resume the shell structure obtained by the classic k-shell decomposition. In the presence of weights we show that the method is able to partition the network in a more refined... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Multi-scale Dynamics in a Massive Online Social Network Posted: 18 May 2012 01:00 AM PDT Data confidentiality policies at major social network providers have severely limited researchers' access to large-scale datasets. The biggest impact has been on the study of network dynamics, where researchers have studied citation graphs and content-sharing networks, but few have analyzed detailed dynamics in the massive social networks that dominate the web today. In this paper, we present... Visit MoneyScience for the Complete Article.    |
| Posted: 18 May 2012 12:42 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @insead @barcelona_gbs @katzpittbiz Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 11:06 PM PDT fin_tech: A miniature Linux computer that is slightly larger than a USB thumb drive http://t.co/fbqKlguz (1.5GHz ARM CPU and 512MB of RAM) #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 10:38 PM PDT BusinessSchools: RT @Inter_gen UK Student Loans Will Increase Pensions - another intergenerational transfer. Report launched today: http://t.co/uk8LeOtW #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Don't Become the Market Posted: 17 May 2012 09:44 PM PDT It was late 1993, and I knew that we could make a lot of money if I sold floating-rate Guaranteed Investment Contracts. Let me quote an earlier piece:read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Ira Sohn Conference Results Posted: 17 May 2012 07:33 PM PDT I wasn't really aware of the Ira Sohn Conference, but some very big names were there. As Richard Posner pointed out, however, intellectual reputation invariably lags achievement, so the biggest names almost by definition are over the hill. A great example of this was Ronald Coase, who remarked upon winning the Nobel Prize in 1991, "it is a strange experience to be praised in my eighties for... Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 05:30 PM PDT For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus on a class of dark-pool models whose market impact at the exchange... Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 05:30 PM PDT In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first establish that a class of special rank minimization problems has closed-form solutions. Using this result, we then propose penalty decomposition methods for general rank minimization problems in which each subproblem is solved by a block coordinate descend method.... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: How Sacrosanct is Matching Engine Design? Posted: 17 May 2012 05:25 PM PDT Since covering the electronic trading markets for more than a decade, convention wisdom on matching engine design has been keep it simple, scalable and dedicated to matching. Any other ancillary functions should hang off the engine but not incorporated into the engine.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Closer, Ever Closer Posted: 17 May 2012 09:38 AM PDT By Anoop Singhread more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 May 2012 05:56 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @lowlatency @sapientgm @mc2technology @carlcarrie Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |