MoneyScience News |
- @Cassinthenews: Queen Elizabeth II - UK PLC's longest serving NED http://t.co/hyhkW7GA
- The #bitly backlash continues. Object lesson in how not to release upgrade: prob studying in biz school already http://t.co/SXLSYh8d @bitly
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @KelleyIndy
- Blog Post: TheAlephBlog: Sorted Weekly Tweets
- It's that time again! The MoneyScience Digest - 01/06/1 - tonnes of links for the discerning browser #quant #finance http://t.co/vZyKfKT8
- London Metal Exchange: Events Coming up in June #tcm http://t.co/N7wy9FYI
- The MoneyScience Digest - 01/06/12
- Blog Post: iMFdirect: Latvia Beat the Odds'But the Battle Is Far From Over
- Unofficial confirmation that the United States was behind the Stuxnet virus #tcm http://t.co/E9rtdJbH
- Unofficial confirmation that the United States was behind the Stuxnet virus #tcm http://t.co/hDThyYub
- What Decision Science Says About Hair-Trigger Investors - via @MediaKat_News #tcm #hft #DecisionScience http://t.co/9t9eVYy8
- Queen Elizabeth II - UK PLC's longest serving NED
- What Decision Science Says About Hair-Trigger Investors - via @MediaKat_News #tcm #hft #DecisionScience http://t.co/8dhBMU1X
- Five Questions: CA Cheuvreux's Ian Peacock on #HFT Anxiety via @MediaKat_News #tcm http://t.co/ZGOTPv8l
- Research Library: Death and Taxes and Zombies
- The last days of cash - IEEE Spectrum Report on The Future of Money #tcm http://t.co/b5FGAkzO
- Research Library: Low Risk Stocks Outperform within All Observable Markets of the World
- "The impact Agenda" - when science and politics collide #tcm http://t.co/rG8CHUTx
- Peer evaluation is a touchstone of b-school classes. Does rating the work of classmates shape better businesspeople? http://t.co/vI3Hhde1
- UK Biz Students skive more than most according to 2012 report Academic Experience of Students at English Universities http://t.co/1Nt7CNzc
- Is the #MBA Obsolete? http://t.co/aE6Y2V1H
- MBA students offer bargain alternative to pricey consultants http://t.co/eN4esrn6
- Managing Millennials:: Gen Y and workplace - http://t.co/8iE2sK4a
- How to Land a Technology Job on Wall Street: Inside an Elite Wall Street IT Education #quant http://t.co/rIsxhFzD
- Is how to engage with the crackpot at the scientific meeting an ethical question? #tcm http://t.co/22OVX4bx
- MIT OpenCourseWare: âGlobal Markets, National Politics and the Competitive Advantage of Firmsâ #tcm #education http://t.co/kmEkQdeF
- Research finds a team or group of high-performers won't outperform teams or groups with an established hierarchy #tcm http://t.co/Jrr30Sjs
- 3 Questions: Andrew Lo on JP Morgan's multibillion-dollar trading loss #quant #jpmorgan #risk http://t.co/PBLVYmuD
- How to Land a Technology Job on Wall Street: Inside an Elite Wall Street IT Education
- How to Land a Technology Job on Wall Street: Inside an Elite Wall Street IT Education
- Leap Motion Technology is pretty darn cool - via @Matt_Davey "some interesting front desk opportunities" #tcm http://t.co/3htFgmfZ
- Thanks Graeme RT @graeme_burnett: The Microsecond Market http://t.co/qZfB90Hu #hft #moneyscience #hftreview
- Model to predict pragmatic reasoning may lead to machines that better understand inference, context &social rules #tcm http://t.co/lOpTk6uY
- 3 Questions: Andrew Lo on JP Morgan's multibillion-dollar trading loss
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @NiemannCapital @hftreview @acuityrm
- Eugene Fama: How Buffett's success is more properly viewed in context of business ownership than equity investment #tcm http://t.co/aC00IRfq
- Research Library: Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses?: An Analytical Framework
- #Bigdata is not just for the big boys: #Analytics goes downmarket #tcm http://t.co/oLSg17V5
- MT @TimHarford: Introducing the Busara Center for Behavioral Economics, Kenya http://t.co/q9WWGpj5 #tcm
- Asbos for executives and keeping the lid on pay rebellions
- Blog Post: TheFinancialServicesClub: Is the Queen worth it?
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @GrenobleEMpress @HECParis
- Blog Post: Falkenblog: May Great Month for Low Vol Strategies
- Published / Preprint: Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @AiteGroup @john_avery @nanexllc
- Published / Preprint: A Simple, Direct Finite Differencing of the Einstein Equations
- Quantifying the influence of scientists and their publications: distinguishing between prestige and popularity #tcm http://t.co/c6lguYd7
- Published / Preprint: Quantifying the influence of scientists and their publications: distinguishing between prestige and popularity
- Blog Post: PatrickBurns: Inferno-ish R
- Published / Preprint: Cascade Failure in a Phase Model of Power Grids
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @iesebs @ricemba @GIBS_SA
- Published / Preprint: Agent-based simulations of emotion spreading in online social networks
- Blog Post: ThePracticalQuant: Frugal Innovation in India: Aravind + Women in Delhi
- Published / Preprint: Collateralized CVA Valuation with Rating Triggers and Credit Migrations. (arXiv:1205.6542v1 [q-fin.PR])
- MT @hpcnotes: blog by @paul_henning "Familiarity Breeds Complacency" - #Exascale computing & power http://t.co/Nmhb0Rou #tcm
- Event: Andrew Clare - Is portfolio construction using diversification ratio optimisation optimal?
- PhD student receives Best Paper Award at recent conference
- RT @cleverhedge: A cellphone tower has become one of the hottest properties in global finance http://t.co/u8T2vYn3 (via @jasonzweigwsj)
- Research Library: Bank of England Financial Stability Paper: The implicit subsidy of banks
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @Interoute @SG_WealthMgmt @MotiveWave
- Published / Preprint: Efficient greek estimation in generic swap-rate market models
- Published / Preprint: Forecasting prices from level-I quotes in the presence of hidden liquidity
- Published / Preprint: Behavioral biases and investor performance
- Published / Preprint: Markets are efficient if and only if P = NP
- Published / Preprint: Binomial options pricing has no closed-form solution
- Published / Preprint: Tweets and peers: defining industry groups and strategic peers based on investor perceptions of stocks on Twitter
- Published / Preprint: A Minute with Emanuel Derman
- Research Library: The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (pdf)
- Podcast: Social Media and the Capital Markets
- Published / Preprint: No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs. (arXiv:1205.6254v1 [q-fin.GN])
- Published / Preprint: Country Size, Currency Unions, and International Asset Returns (CEPR DP8991)
- Published / Preprint: 29May/Innovations in retail payments: report released by the CPSS
- Published / Preprint: Importance of individual events in temporal networks
- Published / Preprint: Four Degrees of Separation, Really
- Published / Preprint: A Multi-Level Lorentzian Analysis of the Basic Structures of the Daily DJIA. (arXiv:1205.5820v1 [q-fin.ST])
- Published / Preprint: Toward A Normative Theory of Normative Marketing Theory. (arXiv:1205.5821v1 [q-fin.GN])
- Vendor News: ãÂÂã£ãÂÂãÂÂãµãÂȋ°ã«ã¼ã plc 2011å¹´1æÂÂï½Â12æÂÂ決ç®ÂãÂÂçº表
- Research Library: The Gambler's and Hot-Hand Fallacies: Theory and Applications
- Research Library: Why Do People Pay for Useless Advice? Implications of Gambler's and Hot-Hand Fallacies in False-Expert Setting
- Research Library: Do Hedge Funds Supply or Demand Immediacy?
- The MoneyScience Digest - 24/05/12
- Research Library: Financial Risk Measurement for Financial Risk Management
- Link Library: The Lodestone Foundation
- Blog Post: WealthandCapitalMarketsBlog: Safe heavens and investment hells
- Event: International Mathematica Symposium
- Stanford bioengineers create rewritable digital data storage in DNA
- Research Library: Why Rumors Spread Fast in Social Networks (pdf)
- Economics is not Math: 2 Articles
- Open Yale: Robert Shiller's Financial Markets Course - 2011
- Blog Post: rob_daly: Management Changes at Traiana
- Whitebox Advisors Finalists for Best Research Paper of 2011
- Research Library: The Devil in HML's Details
- Research Library: Replumbing Our Financial System: Uneven Progress (pdf)
- Research Library: Methods for Studying Coincidences (pdf, 1989)
- Special Report: The algorithmic arms race
- Podcast: Regulatory Reporting and Legal Entity Identifiers
- New Dates: Introduction to QuantLib Development with Luigi Ballabio - June 18-20, London
- Being There
- Research Library: Optimal portfolio design to reduce climate-related conservation uncertainty in the Prairie Pothole Region
| @Cassinthenews: Queen Elizabeth II - UK PLC's longest serving NED http://t.co/hyhkW7GA Posted: 02 Jun 2012 03:29 AM PDT BusinessSchools: @Cassinthenews: Queen Elizabeth II - UK PLC's longest serving NED http://t.co/hyhkW7GA Visit MoneyScience for the Complete Article.      |
| Posted: 02 Jun 2012 03:15 AM PDT BusinessSchools: The #bitly backlash continues. Object lesson in how not to release upgrade: prob studying in biz school already http://t.co/SXLSYh8d @bitly Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jun 2012 01:39 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @KelleyIndy Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Sorted Weekly Tweets Posted: 01 Jun 2012 09:31 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 04:37 PM PDT BusinessSchools: It's that time again! The MoneyScience Digest - 01/06/1 - tonnes of links for the discerning browser #quant #finance http://t.co/vZyKfKT8 Visit MoneyScience for the Complete Article.    |
| London Metal Exchange: Events Coming up in June #tcm http://t.co/N7wy9FYI Posted: 01 Jun 2012 04:26 PM PDT moneyscience: London Metal Exchange: Events Coming up in June #tcm http://t.co/N7wy9FYI Visit MoneyScience for the Complete Article.    |
| The MoneyScience Digest - 01/06/12 Posted: 01 Jun 2012 04:04 PM PDT Featured | Sponsored | Events | Announcements | Finance and Banking | Financial Technology | Science and General Interest | Researchread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Latvia Beat the Odds'But the Battle Is Far From Over Posted: 01 Jun 2012 02:48 PM PDT By Mark Griffithsread more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 02:25 PM PDT fin_tech: Unofficial confirmation that the United States was behind the Stuxnet virus #tcm http://t.co/E9rtdJbH Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 02:24 PM PDT moneyscience: Unofficial confirmation that the United States was behind the Stuxnet virus #tcm http://t.co/hDThyYub Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 02:24 PM PDT moneyscience: What Decision Science Says About Hair-Trigger Investors - via @MediaKat_News #tcm #hft #DecisionScience http://t.co/9t9eVYy8 Visit MoneyScience for the Complete Article.    |
| Queen Elizabeth II - UK PLC's longest serving NED Posted: 01 Jun 2012 02:04 PM PDT Professor Chris Roebuck describes Her Majesty's success as an ambassador for British business Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 02:02 PM PDT fin_tech: What Decision Science Says About Hair-Trigger Investors - via @MediaKat_News #tcm #hft #DecisionScience http://t.co/8dhBMU1X Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 02:01 PM PDT fin_tech: Five Questions: CA Cheuvreux’s Ian Peacock on #HFT Anxiety via @MediaKat_News #tcm http://t.co/ZGOTPv8l Visit MoneyScience for the Complete Article.    |
| Research Library: Death and Taxes and Zombies Posted: 01 Jun 2012 01:57 PM PDT Adam Chodorow Arizona State University (ASU) - Sandra Day O'Connor College of Law April 23, 2012 Iowa Law Review, Forthcoming Abstract The U.S. stands on the precipice of a financial disaster, and Congress has done nothing but bicker. Of course, I refer to the coming day when the undead walk the earth, feasting on the living. A zombie apocalypse will create an urgent need for significant... Visit MoneyScience for the Complete Article.    |
| The last days of cash - IEEE Spectrum Report on The Future of Money #tcm http://t.co/b5FGAkzO Posted: 01 Jun 2012 01:49 PM PDT fin_tech: The last days of cash - IEEE Spectrum Report on The Future of Money #tcm http://t.co/b5FGAkzO Visit MoneyScience for the Complete Article.    |
| Research Library: Low Risk Stocks Outperform within All Observable Markets of the World Posted: 01 Jun 2012 01:47 PM PDT Nardin L. Baker Guggenheim Investments Robert A. Haugen Haugen Custom Financial Systems Abstract This article provides global evidence supporting the Low Volatility Anomaly: that low risk stocks consistently provide higher returns than high risk stocks. This study covers 33 different markets during the time period from 1990-2011. (Two previous studies by Haugen & Heins (1972) and Haugen... Visit MoneyScience for the Complete Article.    |
| "The impact Agenda" - when science and politics collide #tcm http://t.co/rG8CHUTx Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: "The impact Agenda" - when science and politics collide #tcm http://t.co/rG8CHUTx Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: Peer evaluation is a touchstone of b-school classes. Does rating the work of classmates shape better businesspeople? http://t.co/vI3Hhde1 Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: UK Biz Students skive more than most according to 2012 report Academic Experience of Students at English Universities http://t.co/1Nt7CNzc Visit MoneyScience for the Complete Article.    |
| Is the #MBA Obsolete? http://t.co/aE6Y2V1H Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: Is the #MBA Obsolete? http://t.co/aE6Y2V1H Visit MoneyScience for the Complete Article.    |
| MBA students offer bargain alternative to pricey consultants http://t.co/eN4esrn6 Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: MBA students offer bargain alternative to pricey consultants http://t.co/eN4esrn6 Visit MoneyScience for the Complete Article.    |
| Managing Millennials:: Gen Y and workplace - http://t.co/8iE2sK4a Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: Managing Millennials:: Gen Y and workplace - http://t.co/8iE2sK4a Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: How to Land a Technology Job on Wall Street: Inside an Elite Wall Street IT Education #quant http://t.co/rIsxhFzD Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: Is how to engage with the crackpot at the scientific meeting an ethical question? #tcm http://t.co/22OVX4bx Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: MIT OpenCourseWare: “Global Markets, National Politics and the Competitive Advantage of Firms†#tcm #education http://t.co/kmEkQdeF Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: Research finds a team or group of high-performers won't outperform teams or groups with an established hierarchy #tcm http://t.co/Jrr30Sjs Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 08:24 AM PDT BusinessSchools: 3 Questions: Andrew Lo on JP Morgan's multibillion-dollar trading loss #quant #jpmorgan #risk http://t.co/PBLVYmuD Visit MoneyScience for the Complete Article.    |
| How to Land a Technology Job on Wall Street: Inside an Elite Wall Street IT Education Posted: 01 Jun 2012 07:48 AM PDT Capital markets firms are recruiting graduates from the top schools in computer science and other majors to train the next generation of IT talent.read more... Visit MoneyScience for the Complete Article.    |
| How to Land a Technology Job on Wall Street: Inside an Elite Wall Street IT Education Posted: 01 Jun 2012 07:43 AM PDT Capital markets firms are recruiting graduates from the top schools in computer science and other majors to train the next generation of IT talent.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 07:38 AM PDT fin_tech: Leap Motion Technology is pretty darn cool - via @Matt_Davey "some interesting front desk opportunities" #tcm http://t.co/3htFgmfZ Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 07:13 AM PDT fin_tech: Thanks Graeme RT @graeme_burnett: The Microsecond Market http://t.co/qZfB90Hu #hft #moneyscience #hftreview Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 07:13 AM PDT fin_tech: Model to predict pragmatic reasoning may lead to machines that better understand inference, context &social rules #tcm http://t.co/lOpTk6uY Visit MoneyScience for the Complete Article.    |
| 3 Questions: Andrew Lo on JP Morgan's multibillion-dollar trading loss Posted: 01 Jun 2012 07:03 AM PDT MIT financial markets expert addresses the need for better risk management — and a simple way to tell if JP Morgan’s failed gamble was a trade or a hedge.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 06:04 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @NiemannCapital @hftreview @acuityrm Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 05:20 AM PDT BusinessSchools: Eugene Fama: How Buffett's success is more properly viewed in context of business ownership than equity investment #tcm http://t.co/aC00IRfq Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 04:51 AM PDT Andrew W. Lo Massachusetts Institute of Technology (MIT) - Sloan School of Management; Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL); National Bureau of Economic Research (NBER) Thomas J. Brennan Northwestern University School of Law Abstract A common theme in the regulation of financial institutions and transactions is... Visit MoneyScience for the Complete Article.    |
| #Bigdata is not just for the big boys: #Analytics goes downmarket #tcm http://t.co/oLSg17V5 Posted: 01 Jun 2012 04:45 AM PDT fin_tech: #Bigdata is not just for the big boys: #Analytics goes downmarket #tcm http://t.co/oLSg17V5 Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 04:11 AM PDT BusinessSchools: MT @TimHarford: Introducing the Busara Center for Behavioral Economics, Kenya http://t.co/q9WWGpj5 #tcm Visit MoneyScience for the Complete Article.    |
| Asbos for executives and keeping the lid on pay rebellions Posted: 01 Jun 2012 03:58 AM PDT    |
| Blog Post: TheFinancialServicesClub: Is the Queen worth it? Posted: 01 Jun 2012 01:51 AM PDT I was travelling on British Airways the other day, and really enjoyed their article in Business Life Magazine about how much the Queen costs the economy,read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2012 01:12 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @GrenobleEMpress @HECParis Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: May Great Month for Low Vol Strategies Posted: 31 May 2012 08:07 PM PDT My beta indices showed the value of low volatility equity strategies, as the previously high-flying high beta stocks were crushed in May, and so now lag the S&P500 year-to-date. Low beta strategies, meanwhile, crept up and overtook the basic S&P500 benchmark. Above is a total return chart for daily data. These beta portfolios consist of the the top/bottom beta 100 non-etf,... Visit MoneyScience for the Complete Article.    |
| Posted: 31 May 2012 09:32 AM PDT The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. The generalized correlation approach has been used to describe a non-Gaussian random walk with independent, identically distributed increments in the general case, and high-order correlations have... Visit MoneyScience for the Complete Article.    |
| Posted: 31 May 2012 05:51 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @AiteGroup @john_avery @nanexllc Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Simple, Direct Finite Differencing of the Einstein Equations Posted: 31 May 2012 05:42 AM PDT We investigate a simple variation of the Generalized Harmonic method for evolving the Einstein equations. A flat space wave equation for metric perturbations is separated from the Ricci tensor, with the rest of the Ricci tensor becoming a source for these wave equations. We demonstrate that this splitting method allows for the accurate simulation of compact objects, w 58d ith gravitational field... Visit MoneyScience for the Complete Article.    |
| Posted: 31 May 2012 04:50 AM PDT BusinessSchools: Quantifying the influence of scientists and their publications: distinguishing between prestige and popularity #tcm http://t.co/c6lguYd7 Visit MoneyScience for the Complete Article.    |
| Posted: 31 May 2012 03:15 AM PDT The number of citations is a widely used metric for evaluating the scientific credit of papers, scientists and journals. However, it so happens that papers with fewer citations from prestigious scientists have a higher influence than papers with more citations. In this paper, we argue that by whom the paper is being cited is of greater significance than merely the number of citations.... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: Inferno-ish R Posted: 31 May 2012 02:15 AM PDT CambR was nice enough to invite Markus Gesmann and me to speak at their event on Tuesday.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Cascade Failure in a Phase Model of Power Grids Posted: 31 May 2012 01:53 AM PDT We propose a phase model to study cascade failure in power grids composed of generators and loads. If the power demand is below a critical value, the model system of power grids maintains the standard frequency by feedback control. On the other hand, if the power demand exceeds the critical value, an electric failure occurs via step out (loss of synchronization) or voltage col 563 lapse. The two... Visit MoneyScience for the Complete Article.    |
| Posted: 31 May 2012 01:53 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @iesebs @ricemba @GIBS_SA Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Agent-based simulations of emotion spreading in online social networks Posted: 31 May 2012 12:30 AM PDT Quantitative analysis of empirical data from online social networks reveals group dynamics in which emotions are involved (\v{S}uvakov et al). Full understanding of the underlying mechanisms, however, remains a challenging task. Using agent-based computer simulations, in this paper we study dynamics of emotional communications in online social networks. The rules that guide how the agents... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Frugal Innovation in India: Aravind + Women in Delhi Posted: 30 May 2012 10:41 PM PDT I wanted to share a couple of great segments from Al Jazeera's 101 East: both of these recent segments contain several examples of innovations that would translate in many other countries. Aravind Eye Care in Madurai has been the subject of numerous business school case studies, but if you want an introduction to this amazing organization, the video below is a great place to start. This should be... Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2012 05:30 PM PDT In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that are subject to rating triggers, between two parties -- an investor and a counterparty. Moreover, we model the margin process as a functional of the credit... Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2012 09:59 AM PDT fin_tech: MT @hpcnotes: blog by @paul_henning "Familiarity Breeds Complacency" - #Exascale computing & power http://t.co/Nmhb0Rou #tcm Visit MoneyScience for the Complete Article.    |
| Event: Andrew Clare - Is portfolio construction using diversification ratio optimisation optimal? Posted: 30 May 2012 09:18 AM PDT Location: Andaz Liverpool Street Hotel, 40 Liverpool Street, London, EC2M 7QN; Date: June 26th, 2012; Financial Express proposed innovative portfolio construction technique which they believe overcame some of the severe shortcomings of methods that were currently being used in the industry. They approached two Cass academics to undertake research which was aimed at answering two key... Visit MoneyScience for the Complete Article.    |
| PhD student receives Best Paper Award at recent conference Posted: 30 May 2012 07:25 AM PDT The ICMA Centre is very proud to congratulate PhD student Yingying Wu on her receipt of a Best Paper Award at the 19th Global Finance Conference, taking place at DePaul University in Chicago on May 23-25, 2012.  The prize was awarded for the paper “Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage†(co-authored withContinue reading Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2012 07:14 AM PDT fin_tech: RT @cleverhedge: A cellphone tower has become one of the hottest properties in global finance http://t.co/u8T2vYn3 (via @jasonzweigwsj) Visit MoneyScience for the Complete Article.    |
| Research Library: Bank of England Financial Stability Paper: The implicit subsidy of banks Posted: 30 May 2012 06:52 AM PDT Joseph Noss and Rhiannon Sowerbutts This paper examines the implicit subsidy of UK banks by the government and the associated distortions in the financial system. It explains why the subsidy arises, why it is a public policy concern and explores how it can be quantified. Quantifying the implicit subsidy to banks has generated considerable interest over recent years. The numbers are striking,... Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2012 06:02 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @Interoute @SG_WealthMgmt @MotiveWave Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Efficient greek estimation in generic swap-rate market models Posted: 30 May 2012 05:37 AM PDT We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the method to efficiently compute Vegas in those market models.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Forecasting prices from level-I quotes in the presence of hidden liquidity Posted: 30 May 2012 05:37 AM PDT Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al., 2003), we consider a diffusion model for the evolution of the best bid/ask queues. We compute the probability that the next price move is upward, conditional on the best bid/ask sizes, the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Behavioral biases and investor performance Posted: 30 May 2012 05:37 AM PDT Research indicates that individual investors trade excessively and underperform the market indices, Barber and Odean (2000). The purpose of this paper is to help explain which behavioral biases, if any, can explain this result using a simulation approach. Results indicate that putting too much weight on the current environment, anchoring, is the largest factor in explaining individual investor... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Markets are efficient if and only if P = NP Posted: 30 May 2012 05:37 AM PDT I prove that if markets are efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be verified in polynomial time can also be solved in polynomial time. I also prove the converse by showing how we can “program†the market to solve NP-complete problems. Since P probably does not equal NP,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Binomial options pricing has no closed-form solution Posted: 30 May 2012 05:37 AM PDT We set a lower bound on the complexity of options pricing formulae in the lattice metric by proving that no general explicit or closed form (hypergeometric) expression for pricing vanilla European call and put options exists when employing the binomial lattice approach. Our proof follows from Gosper's algorithm.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2012 05:37 AM PDT Delineating industry groups of related firms and identifying strategic peers is important for both financial practitioners and scholars. Our study explores whether the degree to which pairs of companies are associated with each other in an online stock forum is related to the comovement of their stocks. We find that our news-based measure of relatedness can explain stock returns with the same... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Minute with Emanuel Derman Posted: 30 May 2012 05:37 AM PDT A Minute with Emanuel Dermanread more... Visit MoneyScience for the Complete Article.    |
| Research Library: The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (pdf) Posted: 30 May 2012 02:01 AM PDT William Fung PI Asset Management, LLC David A. Hsieh Duke University Abstract Hedge fund strategies typically generate option-like returns. Linear-factor models using benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten and Jagannathan (1994), this article shows how to model hedge fund returns by focusing on the popular 'trend-following' strategy. We... Visit MoneyScience for the Complete Article.    |
| Podcast: Social Media and the Capital Markets Posted: 29 May 2012 11:01 PM PDT Interesting stuff, if I do say so myself. A couple of weeks ago I was invited by Rob Daly of the Daly Post to participate in a podcast discussion about the role of social media in Capital Markets.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 May 2012 05:47 PM PDT We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes of a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Country Size, Currency Unions, and International Asset Returns (CEPR DP8991) Posted: 29 May 2012 06:01 AM PDT Country Size, Currency Unions, and International Asset Returns Author(s): Tarek Hassan CEPR Discussion Paper Number 8991 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), International Macroeconomics (IM), International Trade and Regional Economics (IT) Date of Publication: Keyword(s): carry trade, country size,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 29May/Innovations in retail payments: report released by the CPSS Posted: 29 May 2012 03:50 AM PDT Press release about CPSS releasing a report on "Innovations in retail payments" (BIS Press Release 29 May 2012) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Importance of individual events in temporal networks Posted: 29 May 2012 12:24 AM PDT Records of time-stamped social interactions between pairs of individuals (e.g., face-to-face conversations, e-mail exchanges, and phone calls) constitute a so-called temporal network. A remarkable difference between temporal networks and conventional static networks is that time-stamped events rather than links are the unit elements generating the collective behavior of nodes. We propose an... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Four Degrees of Separation, Really Posted: 29 May 2012 12:24 AM PDT We recently measured the average distance of users in the Facebook graph, spurring comments in the scientific community as well as in the general press ("Four Degrees of Separation"). A number of interesting criticisms have been made about the meaningfulness, methods and consequences of the experiment we performed. In this paper we want to discuss some methodological aspects that we deem... Visit MoneyScience for the Complete Article.    |
| Posted: 28 May 2012 05:30 PM PDT A quantitative analysis of the basic components of the daily DJIA. The parameters of the underlying Lorentzian states are obtained by fitting the data. Statistical properties of the states are discussed. This is a practical development of the general method introduced in arXiv:1203.6021. Visit MoneyScience for the Complete Article.    |
| Posted: 28 May 2012 05:30 PM PDT We show how different approaches to developing marketing strategies depending on the type of environment a firm faces, where environments are distinguished in terms of their systems properties not their context. Particular emphasis is given to turbulent environments in which outcomes are not a priori predictable and are not traceable to individual firm actions and we show that, in... Visit MoneyScience for the Complete Article.    |
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| Research Library: The Gambler's and Hot-Hand Fallacies: Theory and Applications Posted: 28 May 2012 05:21 AM PDT Matthew Rabin University of California, Berkeley - Department of Economics Dimitri Vayanos London School of Economics; Center for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER) AFA 2010 Atlanta Meetings Paper Abstract We develop a model of the gambler's fallacy -- the mistaken belief that random sequences should exhibit systematic reversals. We show that an... Visit MoneyScience for the Complete Article.    |
| Posted: 28 May 2012 05:13 AM PDT Nattavudh Powdthavee, Yohanes E. Riyanto (May 2012) Abstract We investigated experimentally whether people can be induced to believe in a non-existent expert, and subsequently pay for what can only be described as transparently useless advice about future chance events. Consistent with the theoretical predictions made by Rabin (2002) and Rabin and Vayanos (2010), we show empirically... Visit MoneyScience for the Complete Article.    |
| Research Library: Do Hedge Funds Supply or Demand Immediacy? Posted: 28 May 2012 04:12 AM PDT Petri Jylha Aalto University Kalle Rinne Aalto University School of Economics Matti Suominen Aalto University, Department of Finance Abstract Regressing hedge funds’ returns on a measure of the returns from providing immediacy, we find that hedge funds typically supply immediacy in the stock market. In the cross-section, the funds with lengthy lockups and large funds have a higher... Visit MoneyScience for the Complete Article.    |
| The MoneyScience Digest - 24/05/12 Posted: 24 May 2012 11:40 AM PDT Featured | Sponsored | Events | Announcements | Finance and Banking | Financial Technology | Science and General Interest | Researchread more... Visit MoneyScience for the Complete Article.    |
| Research Library: Financial Risk Measurement for Financial Risk Management Posted: 24 May 2012 07:01 AM PDT Torben G. Andersen Northwestern University - Kellogg School of Management; Tim Bollerslev Duke University - Finance; Duke University - Department of Economics; Peter Christoffersen University of Toronto - Rotman School of Management; Copenhagen Business School; University of Aarhus Francis X. Diebold University of Pennsylvania - Department of Economics Abstract Current practice largely... Visit MoneyScience for the Complete Article.    |
| Link Library: The Lodestone Foundation Posted: 24 May 2012 05:44 AM PDT Lodestone Foundation Homepage Lodestone Projects Page Open Source for Capital Markets and Beyond What is our Goal? Quickly and convincingly build the go-to non-profit open source foundation for financial markets. Significantly, we will seed this foundation with world-beating code contributions from known open-source heavyweights and founding partners, and fund a small world-class dev team... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Safe heavens and investment hells Posted: 23 May 2012 03:03 AM PDT Reported through the Wall Street Journal yesterday, the Germans have issued a bond (a German treasury note known as Schatz) with a zero coupon. This is unprecedented in some ways. What it says is that investors are so desperate that they are willing to forfeit any yield for the privilege of parking their funds for two years in what they see as safe assets as escalated debt crisis in the euro zone... Visit MoneyScience for the Complete Article.    |
| Event: International Mathematica Symposium Posted: 23 May 2012 12:45 AM PDT Location: University College London; Date: June 11th, 2012; Alan Turing Centenary Session Monday 11th Juneread more... Visit MoneyScience for the Complete Article.    |
| Stanford bioengineers create rewritable digital data storage in DNA Posted: 22 May 2012 01:44 PM PDT You don't hear a lot about biological computing but this is super cool:read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Why Rumors Spread Fast in Social Networks (pdf) Posted: 22 May 2012 01:37 PM PDT Benjamin Doerr, Mahmoud Fouz, and Tobias Friedrich Abstract Understanding structural and algorithmic properties of complex networks is an important task, not least because of the huge impact of the internet. Our focus is to analyze how news spreads in social networks. We simulate a simple information spreading process in different network topologies and demonstrate that news spreads much faster... Visit MoneyScience for the Complete Article.    |
| Economics is not Math: 2 Articles Posted: 22 May 2012 06:03 AM PDT 2 rather excellent articles covering subjects which are very close to our heart here at MoneyScience. The tendancy of economics to claim some kind of scientific status for itself - and the confusion this generates, akin to confusing a carpenter with their tools.read more... Visit MoneyScience for the Complete Article.    |
| 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.    |
| 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.    |
| 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.    |
| Research Library: The Devil in HML's Details Posted: 21 May 2012 04:16 AM PDT Clifford S. Asness AQR Capital Management, LLC Andrea Frazzini AQR Capital Management, LLC Abstract This paper challenges the standard method for measuring “value” used in academic work on factor pricing and behavioral finance. The standard method calculates book-to-price (B/P) at portfolio formation using lagged book data, aligns price data using the same lag (ignoring recent... Visit MoneyScience for the Complete Article.    |
| Research Library: Replumbing Our Financial System: Uneven Progress (pdf) Posted: 21 May 2012 04:09 AM PDT Darrell Duffie Stanford University April 23, 2012 Abstract The financial crisis of 2007-2009 has spurred significant ongoing changes in the "pipes and valves" through which cash and risk flow in the center of our financial system. These include adjustments to the forms of lender-of-last-resort financing from the central bank and changes the infrastructure for the wholesale overnight financing... Visit MoneyScience for the Complete Article.    |
| Research Library: Methods for Studying Coincidences (pdf, 1989) Posted: 21 May 2012 03:57 AM PDT You can read some interesting commentary on this paper over at Wired. Using probabilistic analysis, the paper explores everything from why we see newly learned words almost immediately after first learning them, to why double lottery winners exist, to even the frequency of meeting people with the same birthday. They even explore whether or not we can statistically state that Shakespeare... Visit MoneyScience for the Complete Article.    |
| Special Report: The algorithmic arms race Posted: 21 May 2012 03:17 AM PDT I actually saw David Harding give a talk at the Royal Institution 14-10 Club last year and he threw up a powerpoint slide displaying one of the Winton Capital's strategies. It lwas somewhat more complex than this:read more... Visit MoneyScience for the Complete Article.    |
| Podcast: Regulatory Reporting and Legal Entity Identifiers Posted: 20 May 2012 10:57 PM PDT An interesting piece for the Regulatory / Tech Wonks among you. read more... Visit MoneyScience for the Complete Article.    |
| New Dates: Introduction to QuantLib Development with Luigi Ballabio - June 18-20, London Posted: 18 May 2012 06:34 AM PDT ************************* NEW DATES, NEW LOCATION *************************read more... 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: 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.    |
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