MoneyScience News |
- Blog Post: TheFinancialServicesClub: Meet Bill Clinton, James Cameron and me!
- Published / Preprint: The fine-structure of volatility feedback
- Published / Preprint: The numeraire property and long-term growth optimality for drawdown-constrained investments
- Published / Preprint: An algorithm for the orthogonal decomposition of financial return data
- Published / Preprint: The extreme vulnerability of interdependent spatially embedded networks
- Published / Preprint: Runaway Events Dominate the Heavy Tail of Citation Distributions
- Published / Preprint: Complex Systems Science: Dreams of Universality, cf9 Reality of Interdisciplinarity
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @StanfordBiz @WarwickMBA @INCAE
- Blog Post: TheAlephBlog: Logical Links
- RT @QFINANCEnews: How a flawed ideology provided cover for an epidemic of financial crime http://t.co/mo6B46ED
- Published / Preprint: Shaping the international financial system in century of globalization. (arXiv:1206.2022v1 [q-fin.GN])
- Published / Preprint: Pricing joint claims on an asset and its realized variance under stochastic volatility models. (arXiv:1206.2112v1 [q-fin.PR])
- Published / Preprint: The fine-structure of volatility feedback. (arXiv:1206.2153v1 [q-fin.ST])
- Published / Preprint: The numeraire property and long-term growth optimality for drawdown-constrained investments. (arXiv:1206.2305v1 [q-fin.PM])
- Published / Preprint: An algorithm for the orthogonal decomposition of financial return data. (arXiv:1206.2333v1 [q-fin.PM])
- @icmacentre: Two staff gain academic promotions http://t.co/3DD1aYVO
- Blog Post: Falkenblog: Poor Volatility Buyers
- Blog Post: iMFdirect: Lessons from Latvia
- Published / Preprint: 11Jun/Basel Committee reports to G20 Leaders on global implementation of its standards
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @ColmFFidessa @Risk_Technology @Informatica_URG
- Two staff gain academic promotions
| Blog Post: TheFinancialServicesClub: Meet Bill Clinton, James Cameron and me! Posted: 12 Jun 2012 04:31 AM PDT Just got an invite to an event in July that sounds amazing, www.resource2012.org, and thought it worth noting on the blog for those who can make it.read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: The fine-structure of volatility feedback Posted: 12 Jun 2012 01:48 AM PDT We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily returns. The standard ARCH or GARCH framework is recovered when the quadratic kernel is diagonal. The calibration of these models on US stock returns reveals... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jun 2012 01:48 AM PDT We consider the portfolio choice problem for an investor interested in long-run growth optimality while facing drawdown constraints in a general continuous semimartingale model. The paper introduces the numeraire property through the notion of expected relative return and shows that drawdown-constrained strategies with the numeraire property exist and are unique, but may depend on the financial... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: An algorithm for the orthogonal decomposition of financial return data Posted: 12 Jun 2012 01:48 AM PDT We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and "systemic", "productive", and "nonproductive" risk. Generally, when the number of funds does not exceed the number of periods, the expected return of a portfolio is an affine function of its productive risk. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The extreme vulnerability of interdependent spatially embedded networks Posted: 12 Jun 2012 01:48 AM PDT Recent studies show that in interdependent networks a very small failure in one network may lead to catastrophic consequences. Above a critical fraction of interdependent nodes, even a single node failure can invoke cascading failures that may abruptly fragment the system, while below this "critical dependency" (CD) a failure of few nodes leads only to small damage to the system. So far, the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Runaway Events Dominate the Heavy Tail of Citation Distributions Posted: 12 Jun 2012 01:48 AM PDT Statistical distributions with heavy tails are ubiquitous in natural and social phenomena. Sin 952 ce the entries in heavy tail have disproportional significance, the knowledge of its exact shape is very important. Citations of scientific papers form one of the best-known heavy tail distributions. Even in this case there is a considerable debate whether citation distribution follows the... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jun 2012 01:48 AM PDT Using a large database (~ 215 000 records) of relevant articles, we empirically study the "complex systems" field and its claims to find universal principles applying to systems in general. The study of references shared by the papers allows us to obtain a global point of view on the structure of this highly interdisciplinary field. We show that its overall coherence does not arise from a... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jun 2012 12:30 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @StanfordBiz @WarwickMBA @INCAE Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Logical Links Posted: 11 Jun 2012 11:46 PM PDT This should be a short post this evening, because I am tired. Always be skeptical of analyses that reason like this: A will lead to B, B will lead to C, C will lead to D, D will lead to E, E will lead to F, which is a (horrible disaster / incredible success).read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jun 2012 07:47 PM PDT moneyscience: RT @QFINANCEnews: How a flawed ideology provided cover for an epidemic of financial crime http://t.co/mo6B46ED Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jun 2012 05:31 PM PDT We educe a perspective on how best to regulate the bank of tomorrow in frames of debate launched by the International Centre for Financial Regulation and Financial Times. Our goal is to create a conceptual framework for policymakers and regulators to shape the international financial system in century of globalization using the 1888 FT's motto: "Without fear and without favour." Our prospect... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jun 2012 05:31 PM PDT In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims paying off at maturity a joint function of the underlying and its realised volatility/variance. We study the solution under different stochastic volatility models,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The fine-structure of volatility feedback. (arXiv:1206.2153v1 [q-fin.ST]) Posted: 11 Jun 2012 05:31 PM PDT We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily returns. The standard ARCH or GARCH framework is recovered when the quadratic kernel is diagonal. The calibration of these models on US stock returns reveals... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jun 2012 05:31 PM PDT We consider the portfolio choice problem for an investor interested in long-run growth optimality while facing drawdown constraints in a general continuous semimartingale model. The paper introduces the numeraire property through the notion of expected relative return and shows that drawdown-constrained strategies with the numeraire property exist and are unique, but may depend on the financial... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jun 2012 05:31 PM PDT We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and "systemic", "productive", and "nonproductive" risk. Generally, when the number of funds does not exceed the number of periods, the expected return of a portfolio is an affine function of its productive risk. Visit MoneyScience for the Complete Article.    |
| @icmacentre: Two staff gain academic promotions http://t.co/3DD1aYVO Posted: 11 Jun 2012 04:32 PM PDT BusinessSchools: @icmacentre: Two staff gain academic promotions http://t.co/3DD1aYVO Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Poor Volatility Buyers Posted: 11 Jun 2012 04:22 PM PDT The VXX and TVIX target the VIX futures index, a metric of forward-looking volatility, and trade well over 40 million shares a day. As the VIX went up from 20 to 80 in 2008, which I guess makes a lot of people think this is a smart trade. With all the tumult this year, the VIX has remained about the same since the beginning of the year, but the VXX and TVIX are down 41% and 72%,... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Lessons from Latvia Posted: 11 Jun 2012 01:31 PM PDT By Olivier Blanchardread more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jun 2012 06:00 AM PDT Press release about the BCBS report to G20 Leaders on global implementation of its standards (11 Junel 2012) Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jun 2012 05:56 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @ColmFFidessa @Risk_Technology @Informatica_URG Visit MoneyScience for the Complete Article.    |
| Two staff gain academic promotions Posted: 11 Jun 2012 05:31 AM PDT The ICMA Centre is very proud to be able to announce the recent promotions of two of our academic staff. Drs Carol Padgett and Simone Varotto have both been promoted to the level of Senior Lecturer within the University of Reading. These promotions round off a very busy and successful year for both professionals with Carol launching her latest bookContinue reading Visit MoneyScience for the Complete Article.    |
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