Tuesday, May 22, 2012

MoneyScience News

MoneyScience News


Open Yale: Robert Shiller's Financial Markets Course - 2011

Posted: 22 May 2012 04:31 AM PDT

Yesterday, on MoneyScience, I came across Robert Shiller's 2007 Financial Markets Course at Yale and @StatAlgo on Twitter pointed me to the 2011 version which is available on Open Yale. Great viewing for students and academics alike -and as StagAlgo pointed out it's interesting to note how these lectures differ from those in 2008. read more...

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Brilliant! MT @statalgo: Shiller's '11 Financial Markets Course available http://t.co/VmcYLpOC Interesting to see how it changed from '08.

Posted: 22 May 2012 03:22 AM PDT

BusinessSchools: Brilliant! MT @statalgo: Shiller's '11 Financial Markets Course available http://t.co/VmcYLpOC Interesting to see how it changed from '08.

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RT @portfolioprobe: Correlations and positive-definiteness http://t.co/dXA2Cm9f #quant #rstats

Posted: 22 May 2012 02:53 AM PDT

moneyscience: RT @portfolioprobe: Correlations and positive-definiteness http://t.co/dXA2Cm9f #quant #rstats

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C Shalizi: If Peer Review Did Not Exist, We Would Have to Invent Something Very Like It to Serve Highly Similar Ends http://t.co/LKo8JjqQ

Posted: 22 May 2012 02:41 AM PDT

BusinessSchools: C Shalizi: If Peer Review Did Not Exist, We Would Have to Invent Something Very Like It to Serve Highly Similar Ends http://t.co/LKo8JjqQ

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RT @TheStalwart: Read the full text of Fitch's Japan downgrade here. http://t.co/NsHQsDvG

Posted: 22 May 2012 02:20 AM PDT

moneyscience: RT @TheStalwart: Read the full text of Fitch's Japan downgrade here. http://t.co/NsHQsDvG

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A few financial calculators at MoneyScience http://t.co/PGljk7hf - Register to build your own Dashboard! #tcm

Posted: 22 May 2012 02:07 AM PDT

moneyscience: A few financial calculators at MoneyScience http://t.co/PGljk7hf - Register to build your own Dashboard! #tcm

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Book Extract from Charles Ferguson's 'Inside Job' - Wall Street's role in the financial crisis http://t.co/UEkZavEr @oneworldnews #tcm

Posted: 22 May 2012 02:07 AM PDT

moneyscience: Book Extract from Charles Ferguson's 'Inside Job' - Wall Street's role in the financial crisis http://t.co/UEkZavEr @oneworldnews #tcm

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A few financial calculators at MoneyScience http://t.co/AENESBE4 - Register to build your own Dashboard! #tcm

Posted: 22 May 2012 02:07 AM PDT

fin_tech: A few financial calculators at MoneyScience http://t.co/AENESBE4 - Register to build your own Dashboard! #tcm

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Blog Post: TheFinancialServicesClub: Case Study: Barclays Pingit for Consumers and Corporates

Posted: 22 May 2012 02:07 AM PDT

There’s a strong dialogue about why new services such as PayPal and Square take off so fast, and the answer is a combination of usability and accessibility.read more...

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The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @UniofGreenwich @StanfordBiz @EuromedMgmt

Posted: 22 May 2012 12:40 AM PDT

BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @UniofGreenwich @StanfordBiz @EuromedMgmt

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Mark Joshi's classic guide: 'On Becoming a #Quant' - http://t.co/phIFeOCo #tcm

Posted: 22 May 2012 12:01 AM PDT

moneyscience: Mark Joshi's classic guide: 'On Becoming a #Quant' - http://t.co/phIFeOCo #tcm

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Mark Joshi's classic guide: 'On Becoming a #Quant' - http://t.co/eYUJXFo7 #tcm

Posted: 21 May 2012 11:48 PM PDT

BusinessSchools: Mark Joshi's classic guide: 'On Becoming a #Quant' - http://t.co/eYUJXFo7 #tcm

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#Facebook shares, the greenshoe and Schrödinger's cat - http://t.co/I289i7wz #tcm #quant

Posted: 21 May 2012 11:16 PM PDT

moneyscience: #Facebook shares, the greenshoe and Schrödinger’s cat - http://t.co/I289i7wz #tcm #quant

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Published / Preprint: Involving copula functions in Conditional Tail Expectation. (arXiv:1205.4345v1 [math.ST])

Posted: 21 May 2012 05:34 PM PDT

We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be experienced given that a potential bivariate risk exceeds a bivariate threshold value, and provides an important measure for right-tail risk. Our goal is to propose an alternative risk measure which takes...

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Published / Preprint: Point process bridges and weak convergence of insider trading models. (arXiv:1205.4358v1 [math.PR])

Posted: 21 May 2012 05:34 PM PDT

We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value satisfies a specific constraint. This construction allows us to show the existence of Glosten-Milgrom equilibrium and its associated optimal trading strategy for the insider. In the equilibrium the...

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Published / Preprint: Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. (arXiv:1205.4588v1 [q-fin.PM])

Posted: 21 May 2012 05:34 PM PDT

An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio constraint. We explicitly derive the optimal trading policy, its welfare, and implied trading volume. As an application, we study the problem of selecting a prime...

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Published / Preprint: Structural Hamiltonian of the international trade network. (arXiv:1205.4589v1 [q-fin.GN])

Posted: 21 May 2012 05:34 PM PDT

It is common wisdom that no nation is an isolated economic island. All nations participate in the global economy and are linked together through trade and finance. Here we analyze international trade network (ITN), being the network of import-export relationships between countries. We show that in each year over the analyzed period of 50 years (since 1950) the network is a typical representative...

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Published / Preprint: Transaction Costs, Shadow Prices, and Connections to Duality. (arXiv:1205.4643v1 [q-fin.PM])

Posted: 21 May 2012 05:34 PM PDT

For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of an explicit counter-example, we show that shadow prices may fail to exist even in seemingly perfectly benign situations, i.e., for a log-investor trading in an...

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Published / Preprint: Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture. (arXiv:1001.3213v2 [cs.CE] UPDATED)

Posted: 21 May 2012 05:34 PM PDT

Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like Matlab, to provide a powerful...

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Published / Preprint: The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options. (arXiv:1008.0836v2 [q-fin.PR] UPDATED)

Posted: 21 May 2012 05:34 PM PDT

This article combines various methods of analysis to draw a comprehensive picture of penalty approximations to the value, hedge ratio, and optimal exercise strategy of American options. While convergence of the penalised solution for sufficiently smooth obstacles is well established in the literature, sharp rates of convergence and particularly the effect of gradient discontinuities (i.e. the...

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Urg! Sorry all & @boomerangomics - Links should now work for Robert Shiller's Financial Markets Course at Yale http://t.co/AmiBHLLt #tcm

Posted: 21 May 2012 02:18 PM PDT

BusinessSchools: Urg! Sorry all & @boomerangomics - Links should now work for Robert Shiller's Financial Markets Course at Yale http://t.co/AmiBHLLt #tcm

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Robert Shiller's Financial Markets Course at Yale - Spring 2008 - Video and Audio - http://t.co/AmiBHLLt #tcm

Posted: 21 May 2012 02:18 PM PDT

BusinessSchools: Robert Shiller's Financial Markets Course at Yale - Spring 2008 - Video and Audio - http://t.co/AmiBHLLt #tcm

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Old now but worth reviewing: The Financial Modelers' Manifesto - Emanuel Derman & Paul Wilmott http://t.co/rV42YLcL #quant

Posted: 21 May 2012 01:36 PM PDT

BusinessSchools: Old now but worth reviewing: The Financial Modelers' Manifesto - Emanuel Derman & Paul Wilmott http://t.co/rV42YLcL #quant

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Published / Preprint: Front Matter

Posted: 21 May 2012 12:02 PM PDT

Published / Preprint: Morgan StanleyâAmerican Finance Association Award for Excellence in Finance 2012

Posted: 21 May 2012 12:02 PM PDT

Published / Preprint: Fellow of the American Finance Association for 2012

Posted: 21 May 2012 12:02 PM PDT

Published / Preprint: Corporate Governance and Capital Structure Dynamics

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTWe develop a dynamic tradeoff model to examine the importance of managerâ€"shareholder conflicts in capital structure choice. In the model, firms face taxation, refinancing costs, and liquidation costs. Managers own a fraction of the firms’ equity, capture part of the free cash flow to equity as private benefits, and have control over financing decisions. Using data on leverage choices...

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Published / Preprint: The Case for Intervening in Bankersâ Pay

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTThis paper studies the default risk of banks generated by investment and remuneration pressures. Competing banks prefer to pay their banking staff in bonuses and not in fixed wages as risk sharing on the remuneration bill is valuable. Competition for bankers generates a negative externality, driving up market levels of banker remuneration and hence rival banks’ default risk. Optimal...

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Published / Preprint: The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTI exploit the 1998 Russian default as a negative liquidity shock to international banks and analyze its transmission to Peru. I find that after the shock international banks reduce bank‐to‐bank lending to Peruvian banks and Peruvian banks reduce lending to Peruvian firms. The effect is strongest for domestically owned banks that borrow internationally, intermediate for foreign‐owned...

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Published / Preprint: The Real Effects of Financial Markets: The Impact of Prices on Takeovers

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTUsing mutual fund redemptions as an instrument for price changes, we identify a strong effect of market prices on takeover activity (the “trigger effect”). An interquartile decrease in valuation leads to a seven percentage point increase in acquisition likelihood, relative to a 6% unconditional takeover probability. Instrumentation addresses the fact that prices are endogenous and...

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Published / Preprint: Which CEO Characteristics and Abilities Matter?

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTWe exploit a unique data set to study individual characteristics of CEO candidates for companies involved in buyout and venture capital transactions and relate these characteristics to subsequent corporate performance. CEO candidates vary along two primary dimensions: one that captures general ability and another that contrasts communication and interpersonal skills with execution skills....

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Published / Preprint: Decoding Inside Information

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTExploiting the fact that insiders trade for a variety of reasons, we show that there is predictable, identifiable “routine” insider trading that is not informative about firms’ futures. A portfolio strategy that focuses solely on the remaining “opportunistic” traders yields value‐weighted abnormal returns of 82 basis points per month, while abnormal returns associated with...

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Published / Preprint: Determinants of CrossâBorder Mergers and Acquisitions

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTThe vast majority of cross‐border mergers involve private firms outside of the United States. We analyze a sample of 56,978 cross‐border mergers between 1990 and 2007. We find that geography, the quality of accounting disclosure, and bilateral trade increase the likelihood of mergers between two countries. Valuation appears to play a role in motivating mergers: firms in countries...

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Published / Preprint: Threshold Events and Identification: A Study of Cash Shortfalls

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTThreshold events are discrete events triggered when an observable continuous variable passes a known threshold. We demonstrate how to use threshold events as identification strategies by revisiting the evidence in Rauh (2006, Investment and financing constraints: Evidence from the funding of corporate pension plans, Journal of Finance 61, 33â€"71) that mandatory pension contributions...

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Published / Preprint: Investment, Idiosyncratic Risk, and Ownership

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTHigh‐powered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. If managers are risk averse, they might underinvest when firm‐specific uncertainty increases, leading to suboptimal investment decisions from the perspective of well‐diversified shareholders. We empirically document that, when idiosyncratic risk rises, firm investment...

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Published / Preprint: CEO Compensation and Board Structure Revisited

Posted: 21 May 2012 12:02 PM PDT

ABSTRACTChhaochharia and Grinstein estimate that CEO pay decreases 17% more in firms that were not compliant with the recent NYSE/Nasdaq board independence requirement than in firms that were compliant. We document that 74% of this magnitude is attributable to two outliers of 865 sample firms. In addition, we find that the compensation committee independence requirement increases CEO total pay,...

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Blog Post: iMFdirect: Beyond the Austerity Debate: the Deficit Bias in the post-Bretton Woods Era

Posted: 21 May 2012 10:35 AM PDT

By Carlo Cottarelliread more...

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Blog Post: rob_daly: Management Changes at Traiana

Posted: 21 May 2012 07:36 AM PDT

Forex post-trade processing vendor Traiana has tapped Citi veteran Andy Coyne to be its next CEO. Coyne steps into the role vacated by Traiana’s co-founder and current CEO Gil Mandelzis, who assumed the new role of executive chairman of the firm.read more...

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Capital Markets Academy - The Marketplace (Fundamentals) London, July 9th - http://t.co/6ksjjK9y #training

Posted: 21 May 2012 07:16 AM PDT

BusinessSchools: Capital Markets Academy - The Marketplace (Fundamentals) London, July 9th - http://t.co/6ksjjK9y #training

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Whitebox Advisors 10 Finalists for Best Financial Research Paper of 2011- http://t.co/ytDm5kHF #quant #research

Posted: 21 May 2012 07:02 AM PDT

BusinessSchools: Whitebox Advisors 10 Finalists for Best Financial Research Paper of 2011- http://t.co/ytDm5kHF #quant #research

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Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @mc2technology @nanexllc @JeffreyPeel

Posted: 21 May 2012 06:14 AM PDT

fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @mc2technology @nanexllc @JeffreyPeel

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Via @diane1859 - An Economists Guide to Teaching Styles - http://t.co/mN5dXC1b

Posted: 21 May 2012 04:32 AM PDT

BusinessSchools: Via @diane1859 - An Economists Guide to Teaching Styles - http://t.co/mN5dXC1b

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Michael Sandel talks about the moral limits of markets in this podcast: What Shouldn't Be Sold http://t.co/PDvIqFLq @PhilosophyBites #tcm

Posted: 21 May 2012 04:32 AM PDT

BusinessSchools: Michael Sandel talks about the moral limits of markets in this podcast: What Shouldn't Be Sold http://t.co/PDvIqFLq @PhilosophyBites #tcm

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@bbcRadio4: Markets & Morals - philosopher Michael Sandel & economists Diane Coyle & Grigory Yavlinksy @diane1859 http://t.co/ZksuL7AL #tcm

Posted: 21 May 2012 04:32 AM PDT

BusinessSchools: @bbcRadio4: Markets & Morals - philosopher Michael Sandel & economists Diane Coyle & Grigory Yavlinksy @diane1859 http://t.co/ZksuL7AL #tcm

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Whitebox Advisors Finalists for Best Research Paper of 2011

Posted: 21 May 2012 04:30 AM PDT

After considering almost 500 research papers, Whitebox Advisors, the $2.3 billion investment advisory based in Minneapolis, today chose the top 10 finalists for its $25,000 prize for the best financial research paper of 2011. The winner will be announced at a luncheon for guests and invited press on June 19th, 2012 in New York City.read more...

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PDF of the Reuters Report on The Algorithmic Arms Race - http://t.co/7DXctlhm #tcm #hft

Posted: 21 May 2012 04:06 AM PDT

fin_tech: PDF of the Reuters Report on The Algorithmic Arms Race - http://t.co/7DXctlhm #tcm #hft

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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...

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Event: Introduction to Hedging with Options - Bangkok

Posted: 25 Apr 2012 03:32 AM PDT

Location: Bangkok; Date: May 31st, 2012; This course is designed to introduce you to the terminology and characteristics of traded options, the principles of how option pricing models work and hedging strategies. The course will highlight how the theory of hedging with options can be implemented at an organisational level.read more...

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Event: Introduction to Hedging with Futures - Bangkok

Posted: 25 Apr 2012 03:29 AM PDT

Location: Bangkok; Date: May 30th, 2012; This course will provide you with a thorough understanding of the basics of hedging with futures, covering market terminology, trading strategies and margining of LME futures contracts.read more...

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Event: Introduction to the London Metal Exchange - Bangkok

Posted: 25 Apr 2012 03:27 AM PDT

Location: Bangkok; Date: May 29th, 2012; This course offers you a solid introduction to the services provided by the London Metal Exchange. It provides an in-depth overview of operations, structure, products, trading terminology and procedures.read more...

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Event: Introduction to Hedging with Futures - Dusseldorf

Posted: 25 Apr 2012 03:18 AM PDT

Location: Dusseldorf; Date: May 29th, 2012; This course will provide you with a thorough understanding of the basics of hedging with futures, covering market terminology, trading strategies and margining of LME futures contracts.read more...

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Event: Introduction to the London Metal Exchange - Dusseldorf

Posted: 25 Apr 2012 03:13 AM PDT

Location: Dusseldorf; Date: May 23rd, 2012; This course offers you a solid introduction to the services provided by the London Metal Exchange. It provides an in-depth overview of operations, structure, products, trading terminology and procedures.read more...

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Event: Introduction to Hedging with Options - London

Posted: 25 Apr 2012 03:06 AM PDT

Location: London; Date: May 11th, 2012; This course is designed to introduce you to the terminology and characteristics of traded options, the principles of how option pricing models work and hedging strategies. The course will highlight how the theory of hedging with options can be implemented at an organisational level.read more...

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Event: Introduction to Hedging with Futures - London

Posted: 25 Apr 2012 03:03 AM PDT

Location: The London Metal Exchange; Date: May 10th, 2012; This course will provide you with a thorough understanding of the basics of hedging with futures, covering market terminology, trading strategies and margining of LME futures contracts.read more...

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Event: Introduction to the London Metal Exchange - London

Posted: 25 Apr 2012 03:01 AM PDT

Location: The London Metal Exchange; Date: May 9th, 2012; This course offers you a solid introduction to the services provided by the London Metal Exchange. It provides an in-depth overview of operations, structure, products, trading terminology and procedures.read more...

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Event: Introduction to Physical Trading and Warehousing - London

Posted: 25 Apr 2012 02:57 AM PDT

Location: The London Metal Exchange; Date: May 8th, 2012; This course will provide you with a comprehensive overview of physical trading and how the LME approved warehouse system operates.read more...

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Event: An Overview of Risk Management - Singapre

Posted: 25 Apr 2012 02:51 AM PDT

Location: Singapore; Date: May 4th, 2012; This course concentrates on the thinking behind risk management rather than the execution and considers every aspect of a strategy, from design through to execution and beyond.read more...

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Event: Basics of London Metal Exchange Regulatory Operations - Singapore

Posted: 25 Apr 2012 02:46 AM PDT

Location: Singapore; Date: May 3rd, 2012; This course will give you an understanding of how the key LME regulatory requirements work and the impact that they have on operations and the business.read more...

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Event: Getting Started with the London Metal Exchange - Singapore

Posted: 25 Apr 2012 02:39 AM PDT

Location: Singapore; Date: May 3rd, 2012; This seminar offers you an overview of services provided by the London Metal Exchange. You will get an introduction to its primary services - pricing, hedging and physical delivery, as well as gain understanding of the trading terminology and procedures on the LME.read more...

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Event: Fundamental Analysis - London

Posted: 25 Apr 2012 02:36 AM PDT

Location: The London Metal Exchange; Date: May 3rd, 2012; Our Fundamental Analysis course will give you insight into a widely used form of market analysis for commodities markets.read more...

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Event: Technical Analysis - London

Posted: 25 Apr 2012 02:30 AM PDT

Location: The London Metal Exchange; Date: May 2nd, 2012; Technical Analysis is designed to provide you with an understanding of the practical application of technical analysis through relevant workshops where you will apply the knowledge developed in the course to real-world market scenarios.read more...

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Event: Interest Rate Modelling and Applications in Practice

Posted: 24 Apr 2012 02:11 PM PDT

Location: Birkbeck College, University of London; Date: May 31st, 2012; Interest Rate Modelling and Application in Practice, 31 May - 1 June, 2012, Londonread more...

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