MoneyScience News |
- Blog Post: TheFinancialServicesClub: Celebrate the City weekend
- RT @LME_News Last chance to book LME training courses in Toronto. 26-28 June. http://t.co/stELUMjO http://t.co/0GucrFUm
- Interactional expertise, contributory Expertise and the Turing Test http://t.co/6vF7WqVi
- RT @themoneygame: Here's Why Everyone Is Freaking Out About Morgan Stanley's Downgrade More Than Any Other Bank's by @lopezlinette http: ...
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @IUBloomington @UofMaryland @LibertyU
- RT @portfolioprobe: Two new, important books on R http://t.co/hzvVGgiy #rstats #book
- RT @sclopit: Machine Learning that Matters. (arXiv:1206.4656v1 [cs.LG]) http://t.co/P9qV8afx six impact challenges
- Blog Post: Falkenblog: Investors Like Large Spreads, Says Broker
- Published / Preprint: On-Line Portfolio Selection with Moving Average Reversion. (arXiv:1206.4626v1 [cs.CE])
- Published / Preprint: A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates. (arXiv:1206.4766v1 [math.ST])
- Published / Preprint: A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets. (arXiv:1206.4804v1 [q-fin.CP])
- Published / Preprint: High-frequency market-making with inventory constraints and directional bets. (arXiv:1206.4810v1 [q-fin.TR])
- Published / Preprint: A shorter proof of Lemma A.6 (arXiv:1005.0768). (arXiv:1206.4917v1 [q-fin.PR])
- Cass professor invited to join JETCO
- WestLB, bank for the energy sector quietly changes lending policies to exclude operations in the #arctic http://t.co/nuEelCz6
- Ted Talk: Peter Norvig who taught Stanford's AI Course on 'The 100,000-student classroom' #tcm http://t.co/7WUiwcFD
- Newcastle Business School launch Bloomberg Sponsored Trading Room @NBSNU http://t.co/bA6m13KA
- False-Positive Psychology: How Lack of Disclosure in Academic Research Can Damage Credibility http://t.co/ceCc8K4C
- Cass Business School MSc in Financial Mathematics #quant #finmath http://t.co/L5Co5tGJ
- Cass Business School MSc Quantitative Finance #Quant #risk @CassintheNews http://t.co/uuhMiODC
- Tales of the Unexpected: Andrew Haldane Paper presented at âThe Credit Crisis Five Years On: Unpacking the Crisisâ http://t.co/gEQOi46Q
- Research Library: ‘The Formula That Killed Wall Street’? The Gaussian Copula and the Material Cultures of Modelling (pdf)
- Published / Preprint: Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM
- Published / Preprint: Prediction of Emerging Technologies Based on Analysis of the U.S. Patent Citation Network
- The Lego Turing Machine #tcm http://t.co/VnS0JcAF
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @jimnup @InaSAP @Interoute
- Economists find evidence for David Ricardo's famous hypothesis of âcomparative advantageâ @mitnews #tcm http://t.co/4TSR5w6z
- â...a vague, slow evolution toward the gold model of open access publishing, at the publishers' pace and price.." #tcm http://t.co/ctjTYa6d
- Does Reputation Limit Opportunistic Behavior in the VC Industry? Evidence from Litigation against VCs #venturecapital http://t.co/SV5K4he3
- Published / Preprint: Social Influence in Social Advertising: Evidence from Field Experiments
- Published / Preprint: Robust Detection of Dynamic Community Structure in Networks
- Tales of the Unexpected: Andrew Haldane Paper presented at Conference: âThe Credit Crisis Five Years On: Unpacking the Crisisâ
- Event: Optimize Your Investment Psychology & Performance: A MarketPsych Intensive
- Event: 2012 IAFE 20th Annual Conference: Controlling Risk
| Blog Post: TheFinancialServicesClub: Celebrate the City weekend Posted: 22 Jun 2012 04:46 AM PDT In case you have not noticed, there are loads of free events taking place this weekend across the City, as part of the Celebrate the City weekend.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 22 Jun 2012 04:13 AM PDT moneyscience: RT @LME_News Last chance to book LME training courses in Toronto. 26-28 June. http://t.co/stELUMjO http://t.co/0GucrFUm Visit MoneyScience for the Complete Article.    |
| Interactional expertise, contributory Expertise and the Turing Test http://t.co/6vF7WqVi Posted: 22 Jun 2012 01:57 AM PDT BusinessSchools: Interactional expertise, contributory Expertise and the Turing Test http://t.co/6vF7WqVi Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jun 2012 01:25 AM PDT moneyscience: RT @themoneygame: Here's Why Everyone Is Freaking Out About Morgan Stanley's Downgrade More Than Any Other Bank's by @lopezlinette http: ... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jun 2012 01:12 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @IUBloomington @UofMaryland @LibertyU Visit MoneyScience for the Complete Article.    |
| RT @portfolioprobe: Two new, important books on R http://t.co/hzvVGgiy #rstats #book Posted: 22 Jun 2012 12:52 AM PDT fin_tech: RT @portfolioprobe: Two new, important books on R http://t.co/hzvVGgiy #rstats #book Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 10:28 PM PDT fin_tech: RT @sclopit: Machine Learning that Matters. (arXiv:1206.4656v1 [cs.LG]) http://t.co/P9qV8afx six impact challenges Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Investors Like Large Spreads, Says Broker Posted: 21 Jun 2012 07:03 PM PDT Here's a good example of someone who has learned to rationalize his self-interest so well he does not recognize when he is saying something absurd, from the WSJ:"If you could set your tick size [minimum bid-ask spread] much wider, market participants will react," said Jeffrey Solomon, chief executive of banking firm Cowen and Co. LLC, speaking to lawmakers at the hearing Wednesday. "Investors... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:34 PM PDT On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:34 PM PDT In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recovery rate (RR) for each pair of industry factor and credit rating grade, and these derived TSDP and RR are regarded as what investors imply in forming CB prices in the market at each time. A unique feature of this formulation is that the model allows each firm... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:34 PM PDT We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched part of the order is recorded in the order book. Subsequently these buy unmatched orders may be matched with new incoming sell orders. The resulting demand curve... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:34 PM PDT In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8 No.3 2008) and Gueant, Lehalle and Fernandez-Tapia ("Dealing with inventory risk", Preprint 2011) to the case of a rather general class of mid-price processes, under either exponential or linear PNL utility functions, and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A shorter proof of Lemma A.6 (arXiv:1005.0768). (arXiv:1206.4917v1 [q-fin.PR]) Posted: 21 Jun 2012 05:34 PM PDT For the convenience of readers of the article {\em No-arbitrage pricing under systemic risk: accounting for cross-ownership} (Fischer, 2012, arXiv:1005.0768), a full proof of Lemma A.5 and a shorter proof of Lemma A.6 of that paper are provided. Visit MoneyScience for the Complete Article.    |
| Cass professor invited to join JETCO Posted: 21 Jun 2012 04:23 PM PDT The initiative aims to strengthen economic ties between the UK and India Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 08:51 AM PDT BusinessSchools: WestLB, bank for the energy sector quietly changes lending policies to exclude operations in the #arctic http://t.co/nuEelCz6 Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 08:51 AM PDT BusinessSchools: Ted Talk: Peter Norvig who taught Stanford's AI Course on 'The 100,000-student classroom' #tcm http://t.co/7WUiwcFD Visit MoneyScience for the Complete Article.    |
| Newcastle Business School launch Bloomberg Sponsored Trading Room @NBSNU http://t.co/bA6m13KA Posted: 21 Jun 2012 08:51 AM PDT BusinessSchools: Newcastle Business School launch Bloomberg Sponsored Trading Room @NBSNU http://t.co/bA6m13KA Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 07:41 AM PDT BusinessSchools: False-Positive Psychology: How Lack of Disclosure in Academic Research Can Damage Credibility http://t.co/ceCc8K4C Visit MoneyScience for the Complete Article.    |
| Cass Business School MSc in Financial Mathematics #quant #finmath http://t.co/L5Co5tGJ Posted: 21 Jun 2012 07:41 AM PDT BusinessSchools: Cass Business School MSc in Financial Mathematics #quant #finmath http://t.co/L5Co5tGJ Visit MoneyScience for the Complete Article.    |
| Cass Business School MSc Quantitative Finance #Quant #risk @CassintheNews http://t.co/uuhMiODC Posted: 21 Jun 2012 07:41 AM PDT BusinessSchools: Cass Business School MSc Quantitative Finance #Quant #risk @CassintheNews http://t.co/uuhMiODC Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 06:48 AM PDT BusinessSchools: Tales of the Unexpected: Andrew Haldane Paper presented at “The Credit Crisis Five Years On: Unpacking the Crisis†http://t.co/gEQOi46Q Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 06:33 AM PDT H/T Felix Salmon who comments on this paper in his article: The Dangerous Gaussian Copula Function Donald MacKenzie and Taylor Spears Abstract This paper presents a predominantly oral-history account of the development of the Gaussian copula family of models, which are used in finance to estimate the probability distribution of losses on a pool of loans or bonds, and which were... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 06:13 AM PDT We present conditions under b7e which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used in Jarrow (2010, pg. 20), to derive the illusionary alpha result, is... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 06:13 AM PDT The network of patents connected by citations is an evolving graph, which provides a representation of the innovation process. A patent citing another implies that the cited patent reflects a piece of previously existing knowledge that the citing patent builds upon. A methodology presented here (i) identifies actual clusters of patents: i.e. technological branches, and (ii) gives predictions... Visit MoneyScience for the Complete Article.    |
| The Lego Turing Machine #tcm http://t.co/VnS0JcAF Posted: 21 Jun 2012 05:58 AM PDT fin_tech: The Lego Turing Machine #tcm http://t.co/VnS0JcAF Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:58 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @jimnup @InaSAP @Interoute Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:57 AM PDT BusinessSchools: Economists find evidence for David Ricardo's famous hypothesis of ‘comparative advantage’ @mitnews #tcm http://t.co/4TSR5w6z Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:57 AM PDT BusinessSchools: “...a vague, slow evolution toward the gold model of open access publishing, at the publishers' pace and price.." #tcm http://t.co/ctjTYa6d Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:57 AM PDT BusinessSchools: Does Reputation Limit Opportunistic Behavior in the VC Industry? Evidence from Litigation against VCs #venturecapital http://t.co/SV5K4he3 Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Social Influence in Social Advertising: Evidence from Field Experiments Posted: 21 Jun 2012 05:57 AM PDT Social advertising uses information about consumers' peers, including peer affiliations with a brand, product, organization, etc., to target ads and contextualize their display. This approach can increase ad efficacy for two main reasons: peers' affiliations reflect unobserved consumer characteristics, which are correlated along the social network; and the inclusion of social cues (i.e., peers'... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Robust Detection of Dynamic Community Structure in Networks Posted: 21 Jun 2012 05:57 AM PDT We describe techniques for the robust detection of community structure in some classes of time-dependent networks. Specifically, we consider the use of statistical null models for facilitating the principled identification of structural modules in semi-decomposable systems. Null models play an important role both in the optimization of quality functions such as modularity and in the subsequent... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 05:55 AM PDT Speech 582​read more... Visit MoneyScience for the Complete Article.    |
| Event: Optimize Your Investment Psychology & Performance: A MarketPsych Intensive Posted: 12 May 2012 11:58 PM PDT Location: London; Date: June 19th, 2012; Attendance limited to 25 so personal work will be more productive.read more... Visit MoneyScience for the Complete Article.    |
| Event: 2012 IAFE 20th Annual Conference: Controlling Risk Posted: 04 May 2012 07:52 AM PDT Location: New York, USA; Date: June 1st, 2012; Click Here to Download Full Brochureread more... Visit MoneyScience for the Complete Article.    |
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