MoneyScience News |
- Open Yale: Robert Shiller's Financial Markets Course - 2011
- Brilliant! MT @statalgo: Shiller's '11 Financial Markets Course available http://t.co/VmcYLpOC Interesting to see how it changed from '08.
- RT @portfolioprobe: Correlations and positive-definiteness http://t.co/dXA2Cm9f #quant #rstats
- 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
- RT @TheStalwart: Read the full text of Fitch's Japan downgrade here. http://t.co/NsHQsDvG
- A few financial calculators at MoneyScience http://t.co/PGljk7hf - Register to build your own Dashboard! #tcm
- Book Extract from Charles Ferguson's 'Inside Job' - Wall Street's role in the financial crisis http://t.co/UEkZavEr @oneworldnews #tcm
- A few financial calculators at MoneyScience http://t.co/AENESBE4 - Register to build your own Dashboard! #tcm
- Blog Post: TheFinancialServicesClub: Case Study: Barclays Pingit for Consumers and Corporates
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @UniofGreenwich @StanfordBiz @EuromedMgmt
- Mark Joshi's classic guide: 'On Becoming a #Quant' - http://t.co/phIFeOCo #tcm
- Mark Joshi's classic guide: 'On Becoming a #Quant' - http://t.co/eYUJXFo7 #tcm
- #Facebook shares, the greenshoe and Schrödinger's cat - http://t.co/I289i7wz #tcm #quant
- Published / Preprint: Involving copula functions in Conditional Tail Expectation. (arXiv:1205.4345v1 [math.ST])
- Published / Preprint: Point process bridges and weak convergence of insider trading models. (arXiv:1205.4358v1 [math.PR])
- Published / Preprint: Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. (arXiv:1205.4588v1 [q-fin.PM])
- Published / Preprint: Structural Hamiltonian of the international trade network. (arXiv:1205.4589v1 [q-fin.GN])
- Published / Preprint: Transaction Costs, Shadow Prices, and Connections to Duality. (arXiv:1205.4643v1 [q-fin.PM])
- Published / Preprint: Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture. (arXiv:1001.3213v2 [cs.CE] UPDATED)
- Published / Preprint: The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options. (arXiv:1008.0836v2 [q-fin.PR] UPDATED)
- Urg! Sorry all & @boomerangomics - Links should now work for Robert Shiller's Financial Markets Course at Yale http://t.co/AmiBHLLt #tcm
- Robert Shiller's Financial Markets Course at Yale - Spring 2008 - Video and Audio - http://t.co/AmiBHLLt #tcm
- Old now but worth reviewing: The Financial Modelers' Manifesto - Emanuel Derman & Paul Wilmott http://t.co/rV42YLcL #quant
- Published / Preprint: Front Matter
- Published / Preprint: Morgan StanleyâAmerican Finance Association Award for Excellence in Finance 2012
- Published / Preprint: Fellow of the American Finance Association for 2012
- Published / Preprint: Corporate Governance and Capital Structure Dynamics
- Published / Preprint: The Case for Intervening in Bankersâ Pay
- Published / Preprint: The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market
- Published / Preprint: The Real Effects of Financial Markets: The Impact of Prices on Takeovers
- Published / Preprint: Which CEO Characteristics and Abilities Matter?
- Published / Preprint: Decoding Inside Information
- Published / Preprint: Determinants of CrossâBorder Mergers and Acquisitions
- Published / Preprint: Threshold Events and Identification: A Study of Cash Shortfalls
- Published / Preprint: Investment, Idiosyncratic Risk, and Ownership
- Published / Preprint: CEO Compensation and Board Structure Revisited
- Blog Post: iMFdirect: Beyond the Austerity Debate: the Deficit Bias in the post-Bretton Woods Era
- Blog Post: rob_daly: Management Changes at Traiana
- Capital Markets Academy - The Marketplace (Fundamentals) London, July 9th - http://t.co/6ksjjK9y #training
- Whitebox Advisors 10 Finalists for Best Financial Research Paper of 2011- http://t.co/ytDm5kHF #quant #research
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @mc2technology @nanexllc @JeffreyPeel
- Via @diane1859 - An Economists Guide to Teaching Styles - http://t.co/mN5dXC1b
- Michael Sandel talks about the moral limits of markets in this podcast: What Shouldn't Be Sold http://t.co/PDvIqFLq @PhilosophyBites #tcm
- @bbcRadio4: Markets & Morals - philosopher Michael Sandel & economists Diane Coyle & Grigory Yavlinksy @diane1859 http://t.co/ZksuL7AL #tcm
- Whitebox Advisors Finalists for Best Research Paper of 2011
- PDF of the Reuters Report on The Algorithmic Arms Race - http://t.co/7DXctlhm #tcm #hft
- Podcast - The State of the Art in Low Latency - The Daly Post
- Event: Introduction to Hedging with Options - Bangkok
- Event: Introduction to Hedging with Futures - Bangkok
- Event: Introduction to the London Metal Exchange - Bangkok
- Event: Introduction to Hedging with Futures - Dusseldorf
- Event: Introduction to the London Metal Exchange - Dusseldorf
- Event: Introduction to Hedging with Options - London
- Event: Introduction to Hedging with Futures - London
- Event: Introduction to the London Metal Exchange - London
- Event: Introduction to Physical Trading and Warehousing - London
- Event: An Overview of Risk Management - Singapre
- Event: Basics of London Metal Exchange Regulatory Operations - Singapore
- Event: Getting Started with the London Metal Exchange - Singapore
- Event: Fundamental Analysis - London
- Event: Technical Analysis - London
- Event: Interest Rate Modelling and Applications in Practice
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... Visit MoneyScience for the Complete Article. |
Posted: 22 May 2012 03:22 AM PDT |
RT @portfolioprobe: Correlations and positive-definiteness http://t.co/dXA2Cm9f #quant #rstats Posted: 22 May 2012 02:53 AM PDT |
Posted: 22 May 2012 02:41 AM PDT |
RT @TheStalwart: Read the full text of Fitch's Japan downgrade here. http://t.co/NsHQsDvG Posted: 22 May 2012 02:20 AM PDT |
Posted: 22 May 2012 02:07 AM PDT |
Posted: 22 May 2012 02:07 AM PDT |
Posted: 22 May 2012 02:07 AM PDT |
Blog Post: TheFinancialServicesClub: Case Study: Barclays Pingit for Consumers and Corporates Posted: 22 May 2012 02:07 AM PDT |
Posted: 22 May 2012 12:40 AM PDT |
Mark Joshi's classic guide: 'On Becoming a #Quant' - http://t.co/phIFeOCo #tcm Posted: 22 May 2012 12:01 AM PDT |
Mark Joshi's classic guide: 'On Becoming a #Quant' - http://t.co/eYUJXFo7 #tcm Posted: 21 May 2012 11:48 PM PDT |
Posted: 21 May 2012 11:16 PM PDT |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
Posted: 21 May 2012 02:18 PM PDT |
Posted: 21 May 2012 02:18 PM PDT |
Posted: 21 May 2012 01:36 PM PDT |
Published / Preprint: Front Matter Posted: 21 May 2012 12:02 PM PDT |
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 firmsâ equity, capture part of the free cash flow to equity as private benefits, and have control over financing decisions. Using data on leverage choices... Visit MoneyScience for the Complete Article. |
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 banksâ default risk. Optimal... Visit MoneyScience for the Complete Article. |
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 bankâtoâbank 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 foreignâowned... Visit MoneyScience for the Complete Article. |
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 âtrigger effectâ). 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... Visit MoneyScience for the Complete Article. |
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.... Visit MoneyScience for the Complete Article. |
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 âroutineâ insider trading that is not informative about firmsâ futures. A portfolio strategy that focuses solely on the remaining âopportunisticâ traders yields valueâweighted abnormal returns of 82 basis points per month, while abnormal returns associated with... Visit MoneyScience for the Complete Article. |
Published / Preprint: Determinants of CrossâBorder Mergers and Acquisitions Posted: 21 May 2012 12:02 PM PDT ABSTRACTThe vast majority of crossâborder mergers involve private firms outside of the United States. We analyze a sample of 56,978 crossâborder 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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
Published / Preprint: Investment, Idiosyncratic Risk, and Ownership Posted: 21 May 2012 12:02 PM PDT ABSTRACTHighâpowered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. If managers are risk averse, they might underinvest when firmâspecific uncertainty increases, leading to suboptimal investment decisions from the perspective of wellâdiversified shareholders. We empirically document that, when idiosyncratic risk rises, firm investment... Visit MoneyScience for the Complete Article. |
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,... Visit MoneyScience for the Complete Article. |
Blog Post: iMFdirect: Beyond the Austerity Debate: the Deficit Bias in the post-Bretton Woods Era Posted: 21 May 2012 10:35 AM PDT |
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... Visit MoneyScience for the Complete Article. |
Posted: 21 May 2012 07:16 AM PDT |
Posted: 21 May 2012 07:02 AM PDT |
Posted: 21 May 2012 06:14 AM PDT |
Via @diane1859 - An Economists Guide to Teaching Styles - http://t.co/mN5dXC1b Posted: 21 May 2012 04:32 AM PDT |
Posted: 21 May 2012 04:32 AM PDT |
Posted: 21 May 2012 04:32 AM PDT |
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... Visit MoneyScience for the Complete Article. |
PDF of the Reuters Report on The Algorithmic Arms Race - http://t.co/7DXctlhm #tcm #hft Posted: 21 May 2012 04:06 AM PDT |
Podcast - The State of the Art in Low Latency - The Daly Post Posted: 02 May 2012 06:34 AM PDT |
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... Visit MoneyScience for the Complete Article. |
Event: Introduction to Hedging with Futures - Bangkok Posted: 25 Apr 2012 03:29 AM PDT |
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... Visit MoneyScience for the Complete Article. |
Event: Introduction to Hedging with Futures - Dusseldorf Posted: 25 Apr 2012 03:18 AM PDT |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
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... Visit MoneyScience for the Complete Article. |
Event: Introduction to Physical Trading and Warehousing - London Posted: 25 Apr 2012 02:57 AM PDT |
Event: An Overview of Risk Management - Singapre Posted: 25 Apr 2012 02:51 AM PDT |
Event: Basics of London Metal Exchange Regulatory Operations - Singapore Posted: 25 Apr 2012 02:46 AM PDT |
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... Visit MoneyScience for the Complete Article. |
Event: Fundamental Analysis - London Posted: 25 Apr 2012 02:36 AM PDT |
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... Visit MoneyScience for the Complete Article. |
Event: Interest Rate Modelling and Applications in Practice Posted: 24 Apr 2012 02:11 PM PDT |
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