MoneyScience News

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• Does edX represent a 'tipping point' for higher education? http://t.co/LJjcpxjL
• Blog Post: TheFinancialServicesClub: Anyone for cricket?
• Productivity Math: Gianfranco Polillo may regret admitting his countrymen are 'accustomed to leisure #tcm http://t.co/7maV3aAu
• The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @iesebs @IEbusiness @Thunderbird
• @Greenpeace declares war on the Finance Sector #tcm http://t.co/TTxmiaij
• Blog Post: TheAlephBlog: Interview with Howard Marks
• Published / Preprint: PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIMEâSWITCHING MARKETS
• Published / Preprint: RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLLâOVER DEBT
• Published / Preprint: THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUSâTIME FINANCIAL MARKETS
• Published / Preprint: OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITYâBASED CONTROL FRAMEWORK
• Published / Preprint: ARBITRAGEâFREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL
• Published / Preprint: DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIMEâSWITCHING
• Published / Preprint: NOâARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSSâOWNERSHIP
• Blog Post: Falkenblog: Dark Pools: Good Book, Bad Title
• Blog Post: iMFdirect: Paying the Price for the Future We Want
• Research Library: Asymmetric Learning from Financial Information
• Research Library: The Importance of Psychology in Economic Activity: Evidence from Terrorist Attacks
• Published / Preprint: Cover
• Published / Preprint: Editorial Board
• Published / Preprint: Forthcoming Articles
• Published / Preprint: Volume 25 Number 7 July 2012 * The Review of Financial Studies - Table of Contents
• Published / Preprint: Evaporating Liquidity
• Published / Preprint: The Real Consequences of Market Segmentation
• Published / Preprint: Lender Screening and the Role of Securitization: Evidence from Prime and Subprime Mortgage Markets
• Published / Preprint: Asymmetric Information, Portfolio Managers, and Home Bias
• Published / Preprint: Examining the Dark Side of Financial Markets: Do Institutions Trade on Information from Investment Bank Connections?
• Published / Preprint: Rare Disasters and Risk Sharing with Heterogeneous Beliefs
• Published / Preprint: Generalized Transform Analysis of Affine Processes and Applications in Finance
• Published / Preprint: Strategic Ownership Structure and the Cost of Debt
• Published / Preprint: Agency Problems and Endogenous Investment Fluctuations
• Research Library: Managing Catastrophe Risk (pdf)
• Financial Careers Links and Resources: http://t.co/pHlf0puf #quant
• Financial Careers: The Bloomberg Assessment Test for Future Financiers #tcm @michaellondon2 @takethebat http://t.co/cyawYVu2
• Harrowing: A few words about Tech Interviews in Finance #tcm http://t.co/d11tiQoP
• Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @nanexllc @mFoundry @Equinix
• @Intel says its new Xeon Phi line of chips is an early stepping stone toward #exascale #tcm http://t.co/GsSRVF5T
• @NewScientist on the Academic Spring, Science Publishing and #OpenAccess http://t.co/jAf5xZ9X
• In case you missed it. Friday's Digest from MoneyScience - http://t.co/IK4HthFo
• Scott Locklin's Stats Jackass of the month is awarded to... #HFT using neutrino physics #tcm http://t.co/yExR98Rn
• Economics is not Math: 2 Articles
• Blog Post: rob_daly: Management Changes at Traiana
• Special Report: The algorithmic arms race
• Being There

Does edX represent a 'tipping point' for higher education? http://t.co/LJjcpxjL Posted: 20 Jun 2012 05:11 AM PDT BusinessSchools: Does edX represent a 'tipping point' for higher education? http://t.co/LJjcpxjL Visit MoneyScience for the Complete Article.

Blog Post: TheFinancialServicesClub: Anyone for cricket? Posted: 20 Jun 2012 02:21 AM PDT I've worked around the City most of my adult life, but still get a surprise when you find something new there.  Yesterday was one of those days, when I discovered that there is a full size cricket pitch in the middle of the City.read more... Visit MoneyScience for the Complete Article.

Productivity Math: Gianfranco Polillo may regret admitting his countrymen are 'accustomed to leisure #tcm http://t.co/7maV3aAu Posted: 20 Jun 2012 12:45 AM PDT moneyscience: Productivity Math: Gianfranco Polillo may regret admitting his countrymen are 'accustomed to leisure #tcm http://t.co/7maV3aAu Visit MoneyScience for the Complete Article.

The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @iesebs @IEbusiness @Thunderbird Posted: 20 Jun 2012 12:34 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv ▸ Top stories today via @iesebs @IEbusiness @Thunderbird Visit MoneyScience for the Complete Article.

@Greenpeace declares war on the Finance Sector #tcm http://t.co/TTxmiaij Posted: 20 Jun 2012 12:03 AM PDT moneyscience: @Greenpeace declares war on the Finance Sector #tcm http://t.co/TTxmiaij Visit MoneyScience for the Complete Article.

Blog Post: TheAlephBlog: Interview with Howard Marks Posted: 20 Jun 2012 12:00 AM PDT As you might know, I reviewed Howard Marks’ excellent book The Most Important Thing, and its enhanced version, The Most Important Thing Illuminated.  Some PR flacks are more tenacious, and some less so.  Some come to me prior to publication, and some after.  Some represent an amazing author and book, others less so.read more... Visit MoneyScience for the Complete Article.

Published / Preprint: PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIMEâSWITCHING MARKETS Posted: 19 Jun 2012 08:33 PM PDT Using a suitable change of probability measure, we obtain a Poisson series representation for the arbitrage‐free price process of vulnerable contingent claims in a regime‐switching market driven by an underlying continuous‐time Markov process. As a result of this representation, along with a short‐time asymptotic expansion of the claim’s price process, we develop an efficient novel... Visit MoneyScience for the Complete Article.

Published / Preprint: RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLLâOVER DEBT Posted: 19 Jun 2012 08:33 PM PDT Dynamic capital structure models with roll‐over debt rely on widely accepted arguments that have never been formalized. This paper clarifies the literature and provides a rigorous formulation of the equity holders’ decision problem within a game theory framework. We spell out the linkage between default policies in a rational expectations equilibrium and optimal stopping theory. We prove that... Visit MoneyScience for the Complete Article.

Published / Preprint: THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUSâTIME FINANCIAL MARKETS Posted: 19 Jun 2012 07:59 PM PDT The paper is concerned with the first and the second fundamental theorems of asset pricing in the case of nonexploding financial markets, in which the excess‐returns from risky securities represent continuous semimartingales with absolutely continuous predictable characteristics. For such markets, the notions of “arbitrage” and “completeness” are characterized as properties of the... Visit MoneyScience for the Complete Article.

Published / Preprint: OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITYâBASED CONTROL FRAMEWORK Posted: 19 Jun 2012 07:59 PM PDT We introduce a new stochastic control framework where in addition to controlling the local coefficients of a jump‐diffusion process, it is also possible to control the intensity of switching from one state of the environment to the other. Building upon this framework, we develop a large investor model for optimal consumption and investment that generalizes the regime‐switching approach of... Visit MoneyScience for the Complete Article.

Published / Preprint: ARBITRAGEâFREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL Posted: 19 Jun 2012 07:59 PM PDT We present an alternative approach to the pricing of bonds and bond derivatives in a multivariate factor model for the term structure of interest rates that is based on the solution of an optimal stochastic control problem. It can also be seen as an alternative to the classical approach of computing forward prices by forward measures and as such can be extended to other situations where... Visit MoneyScience for the Complete Article.

Published / Preprint: DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIMEâSWITCHING Posted: 19 Jun 2012 07:59 PM PDT We consider a portfolio optimization problem in a defaultable market with finitely‐many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market coefficients are assumed to depend on the market regime in place, which is modeled by a finite state continuous time Markov process. By separating the utility... Visit MoneyScience for the Complete Article.

Published / Preprint: NOâARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSSâOWNERSHIP Posted: 19 Jun 2012 07:59 PM PDT We generalize Merton’s asset valuation approach to systems of multiple financial firms where cross‐ownership of equities and liabilities is present. The liabilities, which may include debts and derivatives, can be of differing seniority. We derive equations for the prices of equities and recovery claims under no‐arbitrage. An existence result and a uniqueness result are proven. Examples and... Visit MoneyScience for the Complete Article.

Blog Post: Falkenblog: Dark Pools: Good Book, Bad Title Posted: 19 Jun 2012 06:25 PM PDT Scott Patterson's new book Dark Pools: High-Speed Traders, A.I. Bandits, and the Threat to the Global Financial System suggests a Rolling Stone type expose of vampire squids sucking the vital fluids out of widows and orphans. In contrast, most of the book was about the development of electronic exchanges from 1990 through 2007, especially focused on the firms Archapelego and Island, and not much... Visit MoneyScience for the Complete Article.

Blog Post: iMFdirect: Paying the Price for the Future We Want Posted: 19 Jun 2012 03:10 PM PDT By Min Zhuread more... Visit MoneyScience for the Complete Article.

Research Library: Asymmetric Learning from Financial Information Posted: 19 Jun 2012 08:24 AM PDT Camelia M. Kuhnen Northwestern University - Kellogg School of Management Abstract The goal of this study is to ask whether investors learn differently from gains (positive news) versus losses (negative news), whether learning performance is better or worse when people are actively investing in a security or passively observing the security’s payoffs, and whether there are personal... Visit MoneyScience for the Complete Article.

Research Library: The Importance of Psychology in Economic Activity: Evidence from Terrorist Attacks Posted: 19 Jun 2012 08:16 AM PDT Kenneth R. Ahern University of Southern California - Marshall School of Business Abstract This paper studies the effect of psychological changes on macroeconomic outcomes. I use terrorist attacks to identify sudden and exogenous shifts in psychological traits. To control for confounding institutional responses following attacks, I study foreigners affected by terrorism in their home country. I... Visit MoneyScience for the Complete Article.

Published / Preprint: Cover Posted: 19 Jun 2012 08:06 AM PDT

Published / Preprint: Editorial Board Posted: 19 Jun 2012 08:06 AM PDT

Published / Preprint: Forthcoming Articles Posted: 19 Jun 2012 08:06 AM PDT

Published / Preprint: Volume 25 Number 7 July 2012 * The Review of Financial Studies - Table of Contents Posted: 19 Jun 2012 08:06 AM PDT

Published / Preprint: Evaporating Liquidity Posted: 19 Jun 2012 08:06 AM PDT The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Using this approach, this article shows that the return from liquidity provision is highly predictable with the VIX index. Expected returns and conditional Sharpe ratios from liquidity provision spike during periods of financial market turmoil. The results point... Visit MoneyScience for the Complete Article.

Published / Preprint: The Real Consequences of Market Segmentation Posted: 19 Jun 2012 08:06 AM PDT We study the real effects of market segmentation due to credit ratings by using a matched sample of firms just above and just below the investment-grade cutoff. These firms have similar observables, including average investment rates. However, flows into high-yield mutual funds have an economically significant effect on the issuance and investment of the speculative-grade firms relative to their... Visit MoneyScience for the Complete Article.

Published / Preprint: Lender Screening and the Role of Securitization: Evidence from Prime and Subprime Mortgage Markets Posted: 19 Jun 2012 08:06 AM PDT This article examines the link between mortgage securitization and lender screening during the boom and bust of the U.S. housing market. Using comprehensive data on both prime and subprime securitized and bank-held loans, we provide evidence that securitization affected lenders' screening decisions in the subprime market for low-documentation loans through two channels: the securitization rate... Visit MoneyScience for the Complete Article.

Published / Preprint: Asymmetric Information, Portfolio Managers, and Home Bias Posted: 19 Jun 2012 08:06 AM PDT We propose a model of delegated asset management that can explain the following empirical regularities in international markets: the presence of home bias, the lower proportion of mutual funds investing domestically, and the higher market value of mutual funds investing domestically. In the model, fund managers choose whether to specialize in domestic or foreign assets. Individual investors are... Visit MoneyScience for the Complete Article.

Published / Preprint: Examining the Dark Side of Financial Markets: Do Institutions Trade on Information from Investment Bank Connections? Posted: 19 Jun 2012 08:06 AM PDT Institutions often have access to corporate inside information through their connections, but relatively little is known about the extent to which they exploit their informational advantage through short-term trading. We employ broker-level trading data to systematically examine possible cases of connected trading. Despite examining the issue from multiple angles, we are unable to find much... Visit MoneyScience for the Complete Article.

Published / Preprint: Rare Disasters and Risk Sharing with Heterogeneous Beliefs Posted: 19 Jun 2012 08:06 AM PDT Risks of rare economic disasters can have a large impact on asset prices. At the same time, difficulties in inference regarding both the likelihood and severity of disasters, as well as agency problems, can lead to significant disagreements among investors about disaster risk. We show that such disagreements generate strong risk-sharing motives, such that just a small number of optimists in the... Visit MoneyScience for the Complete Article.

Published / Preprint: Generalized Transform Analysis of Affine Processes and Applications in Finance Posted: 19 Jun 2012 08:06 AM PDT Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities and solving equilibrium models. This article provides analytical treatment of a general class of nonlinear transforms for processes with tractable conditional characteristic functions. We extend existing results on characteristic function-based transforms to a substantially wider class... Visit MoneyScience for the Complete Article.

Published / Preprint: Strategic Ownership Structure and the Cost of Debt Posted: 19 Jun 2012 08:06 AM PDT We theoretically and empirically address the endogeneity of corporate ownership structure and the cost of debt, with a novel emphasis on the role of control concentration in post-default firm restructuring. Control concentration raises agency costs of debt, and dominant shareholders trade off private benefits of control against higher borrowing costs in choosing their ownership stakes. Based on... Visit MoneyScience for the Complete Article.

Published / Preprint: Agency Problems and Endogenous Investment Fluctuations Posted: 19 Jun 2012 08:06 AM PDT This article proposes a theory of investment fluctuations in which the source of the oscillating dynamics is an agency problem between financiers and entrepreneurs. In the model, investment decisions depend on entrepreneurs' initiative to select investment projects ex ante, and financiers' incentive to control entrepreneurs ex post. Too much control discourages entrepreneurial incentive to... Visit MoneyScience for the Complete Article.

Research Library: Managing Catastrophe Risk (pdf) Posted: 19 Jun 2012 07:27 AM PDT Why do homeowners, insurers, and banks not use simple measures to mitigate the risk from hurricanes and earthquakes? By Paul R. Kleindorfer and Howard Kunreuther Wharton Center for Risk Management and Decision Processes Risk mitigation measures (rmms) are investments made to homes, office buildings, and other structures that reduce expected losses from hurricanes and earthquakes. In theory,... Visit MoneyScience for the Complete Article.

Financial Careers Links and Resources: http://t.co/pHlf0puf #quant Posted: 19 Jun 2012 06:58 AM PDT BusinessSchools: Financial Careers Links and Resources: http://t.co/pHlf0puf #quant Visit MoneyScience for the Complete Article.

Financial Careers: The Bloomberg Assessment Test for Future Financiers #tcm @michaellondon2 @takethebat http://t.co/cyawYVu2 Posted: 19 Jun 2012 06:58 AM PDT BusinessSchools: Financial Careers: The Bloomberg Assessment Test for Future Financiers #tcm @michaellondon2 @takethebat http://t.co/cyawYVu2 Visit MoneyScience for the Complete Article.

Harrowing: A few words about Tech Interviews in Finance #tcm http://t.co/d11tiQoP Posted: 19 Jun 2012 05:55 AM PDT fin_tech: Harrowing: A few words about Tech Interviews in Finance #tcm http://t.co/d11tiQoP Visit MoneyScience for the Complete Article.

Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @nanexllc @mFoundry @Equinix Posted: 19 Jun 2012 05:55 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @nanexllc @mFoundry @Equinix Visit MoneyScience for the Complete Article.

@Intel says its new Xeon Phi line of chips is an early stepping stone toward #exascale #tcm http://t.co/GsSRVF5T Posted: 19 Jun 2012 05:19 AM PDT fin_tech: @Intel says its new Xeon Phi line of chips is an early stepping stone toward #exascale #tcm http://t.co/GsSRVF5T Visit MoneyScience for the Complete Article.

@NewScientist on the Academic Spring, Science Publishing and #OpenAccess http://t.co/jAf5xZ9X Posted: 19 Jun 2012 05:18 AM PDT BusinessSchools: @NewScientist on the Academic Spring, Science Publishing and #OpenAccess http://t.co/jAf5xZ9X Visit MoneyScience for the Complete Article.

In case you missed it. Friday's Digest from MoneyScience - http://t.co/IK4HthFo Posted: 19 Jun 2012 05:18 AM PDT BusinessSchools: In case you missed it. Friday's Digest from MoneyScience - http://t.co/IK4HthFo Visit MoneyScience for the Complete Article.

Scott Locklin's Stats Jackass of the month is awarded to... #HFT using neutrino physics #tcm http://t.co/yExR98Rn Posted: 19 Jun 2012 04:52 AM PDT fin_tech: Scott Locklin's Stats Jackass of the month is awarded to... #HFT using neutrino physics #tcm http://t.co/yExR98Rn 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.

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.

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.

Being There Posted: 18 May 2012 03:07 AM PDT I’ve watched the 1979 Peter Sellers film, Being There this week for the first time.  It’s an intriguing film – a man with learning difficulties is accidentally thrust into the world of the Washington elite.  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.

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