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- Research Library: Vector Autoregressive Models: An Overview
- #Quant funds make up only about 10% of the $2tr hedge fund industry, Mark Carhart's Kepos Capital is one of them. #tcm http://t.co/b221tfl8
- An actual estimate of the cost to society of scientists becoming hedge fund managers #tcm http://t.co/peEndwTH
- Doubts about success of Nasdaq OMX's new #derivatives venue: a lack of differentiation from established platforms? #tcm http://t.co/0YfKHs29
- Designed for simulation - T-Platforms to roll out $50k HPC cluster: a P8000 blade enclosure mounted on wheels #tcm http://t.co/V9qqvjI5
- The race to produce the world's first viable synthesised meat #tcm http://t.co/THMW7KsJ
- Doubts about success of Nasdaq OMX's new #derivatives venue: a lack of differentiation from established platforms? #tcm http://t.co/RjoiwWV8
- Designed for simulation - T-Platforms to roll out $50k HPC cluster: a P8000 blade enclosure mounted on wheels #tcm http://t.co/0bHNhkxE
- According to an @BristolUni study, math-heavy research is referenced 50% less often than that with little or no maths http://t.co/iMVcTCms
- Published / Preprint: A Utility Framework for Bounded-Loss Market Makers
- Published / Preprint: Simple laws of urban growth
- Vendor News: Fidessa examines the forces reshaping derivatives markets
- How NatWest's IT meltdown developed #tcm http://t.co/xigqHUhl
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @uniofglos @Bob_Bruner
- Published / Preprint: 26Jun/Final rules on banks' disclosure of the composition of their capital issued by the Basel Committee
- Blog Post: TheFinancialServicesClub: All you need to know about the City, but were too afraid to ask
- Blog Post: Falkenblog: The Envelope Theorem, Group Selection, and Cynical Framing
- Published / Preprint: A Utility Framework for Bounded-Loss Market Makers. (arXiv:1206.5252v1 [cs.GT])
- Published / Preprint: Effective Trade Execution. (arXiv:1206.5324v1 [q-fin.TR])
- Published / Preprint: Numerical methods for the quadratic hedging problem in Markov models with jumps. (arXiv:1206.5393v1 [q-fin.RM])
- Published / Preprint: On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes. (arXiv:1206.5756v1 [q-fin.CP])
- Published / Preprint: On the Existence of Consistent Price Systems. (arXiv:0911.3789v4 [q-fin.GN] UPDATED)
- Computer science tackles 30-year-old economics problem: The Multi-Item Auction @mitnews http://t.co/TvOSBTwk
- Competition Among University Endowments - a dramatic shift towards alternative investments @ssrn http://t.co/SROHDVIF
- Southampton study warns of dangers of concentrating solely on economic policies to create growth @unisouthampton #tcm http://t.co/6ShLKRYa
- Computer science tackles 30-year-old economics problem: The Multi-Item Auction
- Cass Business School MSc in Investment Management http://t.co/gvZdGh6G #investment @CassintheNews
- Cass Business School PhD Program @CassintheNews http://t.co/hh2KYjRp
- âVOX eCollection - Austerity: Too Much of a Good Thing?â http://t.co/Y2uGymNF
- VOX eCollection - Austerity: Too Much of a Good Thing?
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @virginieoshea @WatersTech @LowLatency
| Research Library: Vector Autoregressive Models: An Overview Posted: 26 Jun 2012 03:53 AM PDT By Helmut Luetkephol Multivariate simultaneous equations models were used extensively for macroeconometric analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives. At that time longer and more frequently observed macroeconomic time series called for models which described the dynamic structure of the variables. VAR models lend themselves for this purpose. They... Visit MoneyScience for the Complete Article.      |
| Posted: 26 Jun 2012 02:32 AM PDT moneyscience: #Quant funds make up only about 10% of the $2tr hedge fund industry, Mark Carhart's Kepos Capital is one of them. #tcm http://t.co/b221tfl8 Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2012 02:32 AM PDT moneyscience: An actual estimate of the cost to society of scientists becoming hedge fund managers #tcm http://t.co/peEndwTH Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2012 02:32 AM PDT moneyscience: Doubts about success of Nasdaq OMX’s new #derivatives venue: a lack of differentiation from established platforms? #tcm http://t.co/0YfKHs29 Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2012 02:32 AM PDT moneyscience: Designed for simulation - T-Platforms to roll out $50k HPC cluster: a P8000 blade enclosure mounted on wheels #tcm http://t.co/V9qqvjI5 Visit MoneyScience for the Complete Article.    |
| The race to produce the world's first viable synthesised meat #tcm http://t.co/THMW7KsJ Posted: 26 Jun 2012 02:32 AM PDT moneyscience: The race to produce the world's first viable synthesised meat #tcm http://t.co/THMW7KsJ Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2012 01:47 AM PDT fin_tech: Doubts about success of Nasdaq OMX’s new #derivatives venue: a lack of differentiation from established platforms? #tcm http://t.co/RjoiwWV8 Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2012 01:35 AM PDT fin_tech: Designed for simulation - T-Platforms to roll out $50k HPC cluster: a P8000 blade enclosure mounted on wheels #tcm http://t.co/0bHNhkxE Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2012 01:35 AM PDT BusinessSchools: According to an @BristolUni study, math-heavy research is referenced 50% less often than that with little or no maths http://t.co/iMVcTCms Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Utility Framework for Bounded-Loss Market Makers Posted: 26 Jun 2012 01:27 AM PDT We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We prove that hyperbolic absolute risk aversion utility market makers are equivalent to weighted pseudospherical scoring rule market makers. In particular, Hanson's logarithmic scoring rule market... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Simple laws of urban growth Posted: 26 Jun 2012 01:27 AM PDT By analysing the evolution of the street network of Greater London from the late 1700s to the present, we are able to shed light on the inner mechanisms that lie behind the growth of a city. First we define an object called a city as a spatial discontinuous phenomena, from clustering the density of street intersections. Second, we find that the city growth mechanisms can be described by two... Visit MoneyScience for the Complete Article.    |
| Vendor News: Fidessa examines the forces reshaping derivatives markets Posted: 26 Jun 2012 01:19 AM PDT    |
| How NatWest's IT meltdown developed #tcm http://t.co/xigqHUhl Posted: 26 Jun 2012 01:11 AM PDT fin_tech: How NatWest's IT meltdown developed #tcm http://t.co/xigqHUhl Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2012 12:28 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @uniofglos @Bob_Bruner Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2012 12:26 AM PDT Press release about the Basel Committee issuing final rules on banks' disclosure of the composition of their capital (26 June 2012) Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: All you need to know about the City, but were too afraid to ask Posted: 25 Jun 2012 10:51 PM PDT We had a fun evening last week at the Financial Services Club with Geraint Anderson, aka Cityboy, who gave us an amusing insight packed full of anecdotes into life in his City trading days.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: The Envelope Theorem, Group Selection, and Cynical Framing Posted: 25 Jun 2012 06:45 PM PDT I'm rather fascinated by the concept of group selection, which seems rather important in explaining human behavior. I don't think it explains everything, but a lot. Steven Pinker just wrote an Edge piece criticizing it, and it is pretty good. His basic point is that unlike ants, human soldiers need a lot of prodding to kill themselves for the commonweal. Kin selection and reciprocal altruism,... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jun 2012 05:31 PM PDT We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We prove that hyperbolic absolute risk aversion utility market makers are equivalent to weighted pseudospherical scoring rule market makers. In particular, Hanson's logarithmic scoring rule market... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Effective Trade Execution. (arXiv:1206.5324v1 [q-fin.TR]) Posted: 25 Jun 2012 05:31 PM PDT This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are examined together with an intuitive description of the implied dynamics of the order book conditional to... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jun 2012 05:31 PM PDT We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value function of the quadratic hedging problem can be related to a triangular system of parabolic partial integro-differential equations (PIDE), which can be shown to possess unique smooth solutions in our... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jun 2012 05:31 PM PDT This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for weak convergence of the random walk to a Gaussian continuous-time stochastic process.... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jun 2012 05:31 PM PDT We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS) introduced by Guasoni, Rasonyi, and Schachermayer [Ann. Appl. Probab., 18(2008), pp. 491-520] . We use the new condition to show the existence of CPSs for certain processes that fail to have the CFS property. In particular this condition gives... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jun 2012 09:04 AM PDT BusinessSchools: Computer science tackles 30-year-old economics problem: The Multi-Item Auction @mitnews http://t.co/TvOSBTwk Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jun 2012 08:39 AM PDT BusinessSchools: Competition Among University Endowments - a dramatic shift towards alternative investments @ssrn http://t.co/SROHDVIF Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jun 2012 08:04 AM PDT BusinessSchools: Southampton study warns of dangers of concentrating solely on economic policies to create growth @unisouthampton #tcm http://t.co/6ShLKRYa Visit MoneyScience for the Complete Article.    |
| Computer science tackles 30-year-old economics problem: The Multi-Item Auction Posted: 25 Jun 2012 08:04 AM PDT MIT researchers generalize Nobel winner’s work on single-item auctions to auctions involving multiple items.read more... Visit MoneyScience for the Complete Article.    |
| Cass Business School MSc in Investment Management http://t.co/gvZdGh6G #investment @CassintheNews Posted: 25 Jun 2012 07:26 AM PDT BusinessSchools: Cass Business School MSc in Investment Management http://t.co/gvZdGh6G #investment @CassintheNews Visit MoneyScience for the Complete Article.    |
| Cass Business School PhD Program @CassintheNews http://t.co/hh2KYjRp Posted: 25 Jun 2012 07:26 AM PDT BusinessSchools: Cass Business School PhD Program @CassintheNews http://t.co/hh2KYjRp Visit MoneyScience for the Complete Article.    |
| âVOX eCollection - Austerity: Too Much of a Good Thing?â http://t.co/Y2uGymNF Posted: 25 Jun 2012 07:00 AM PDT BusinessSchools: “VOX eCollection - Austerity: Too Much of a Good Thing?†http://t.co/Y2uGymNF Visit MoneyScience for the Complete Article.    |
| VOX eCollection - Austerity: Too Much of a Good Thing? Posted: 25 Jun 2012 06:17 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jun 2012 05:57 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @virginieoshea @WatersTech @LowLatency Visit MoneyScience for the Complete Article.    |
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