Thursday, June 28, 2012

MoneyScience News

MoneyScience News

RT @Kiffmeister: RT @artemisbm: Have catastrophe bonds become competition for traditional reinsurance? http://t.co/Cyq3YAB4

Posted: 28 Jun 2012 04:51 AM PDT

moneyscience: RT @Kiffmeister: RT @artemisbm: Have catastrophe bonds become competition for traditional reinsurance? http://t.co/Cyq3YAB4

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Going with the flow: Can analog simulations make economics an experimental science?

Posted: 28 Jun 2012 04:19 AM PDT

This article is by John Hulls, of the Cambiant Project at the Dominican University of California. The project uses a fluid dynamics modeling concept he developed to simulate economic performance.read more...

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RT @cate_long: Good overview vid: banks looking over their shoulders as libor scandal looks set to go beyond barclays: http://t.co/BkrlZ3T8

Posted: 28 Jun 2012 04:09 AM PDT

moneyscience: RT @cate_long: Good overview vid: banks looking over their shoulders as libor scandal looks set to go beyond barclays: http://t.co/BkrlZ3T8

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Via @FoxJust - proof that economists are far more confident in their statements than they have a right to be #tcm http://t.co/5oayLlNi

Posted: 28 Jun 2012 04:09 AM PDT

moneyscience: Via @FoxJust - proof that economists are far more confident in their statements than they have a right to be #tcm http://t.co/5oayLlNi

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CEO Pay and the Market for CEOs #tcm http://t.co/1vsR8wOm

Posted: 28 Jun 2012 04:09 AM PDT

moneyscience: CEO Pay and the Market for CEOs #tcm http://t.co/1vsR8wOm

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Blog Post: TheAlephBlog: On Bond Ladders

Posted: 28 Jun 2012 03:26 AM PDT

I received the following from a reader:read more...

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Published / Preprint: 27Jun/Press release - The internal audit function in banks - final document

Posted: 28 Jun 2012 02:01 AM PDT

Press release about the Basel Committee paper The internal audit function in banks - final document.

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The Financial Education Daily is out! http://t.co/TYluKzUv

Posted: 28 Jun 2012 12:47 AM PDT

BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv

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Blog Post: TheFinancialServicesClub: The solution to this crisis? More sex!

Posted: 27 Jun 2012 10:13 PM PDT

A controversial title I know, and not my own … it’s a conversation I was having with one senior European banker about the crisis we have today.read more...

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Published / Preprint: Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin. (arXiv:1206.6268v1 [q-fin.PM])

Posted: 27 Jun 2012 05:32 PM PDT

In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on the whole path of the wealth process.

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Published / Preprint: Inventory Management with Partially Observed Nonstationary Demand. (arXiv:1206.6283v1 [math.OC])

Posted: 27 Jun 2012 05:32 PM PDT

We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the world is unobserved and must be inferred by the manager. We also assume that demands are observed only when they are completely met. We first derive the explicit filtering equations and pass to an equivalent fully observed...

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Published / Preprint: Stochastic Target Games with Controlled Loss. (arXiv:1206.6325v1 [math.OC])

Posted: 27 Jun 2012 05:32 PM PDT

We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is chosen by the other player. We provide, in a general setup, a relaxed geometric dynamic programming for this problem and derive, for the case of a controlled SDE, the corresponding dynamic programming equation in the sense of...

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@icmacentre: Itâs been a while http://t.co/GJFvbsGk

Posted: 27 Jun 2012 03:59 PM PDT

BusinessSchools: @icmacentre: Itâs been a while http://t.co/GJFvbsGk

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Published / Preprint: Evolutionary Model of the Growth and Size of Firms

Posted: 27 Jun 2012 08:24 AM PDT

The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explicitly Gibrat's law of proportionate effects as the result of the competition between products. Applying a preferential attachment mechanism for firms the theory allows to establish the size distribution of products and...

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Published / Preprint: Characterizing and Modeling the Dynamics of Online Popularity

Posted: 27 Jun 2012 07:26 AM PDT

Online popularity has an enormous impact on opinions, culture, policy, and profits. We provide a quantitative, large scale, temporal analysis of the dynamics of online content popularity in two massive model systems: the Wikipedia and an entire country’s Web space. We find that the dynamics of popularity are characterized by bursts, displaying characteristic features of critical systems such...

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RT @pointsnfigures: Is High Frequency Trading Good? Or Bad? http://t.co/8TY5EQHo

Posted: 27 Jun 2012 07:11 AM PDT

fin_tech: RT @pointsnfigures: Is High Frequency Trading Good? Or Bad? http://t.co/8TY5EQHo

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Vendor News: SS&C Acquires GlobeOp

Posted: 27 Jun 2012 07:06 AM PDT

SS&C Technologies Holdings, Inc. (NASDAQ: SSNC), a global provider of financial services software and software-enabled services, today announced its acquisition of GlobeOp Financial Services S.A. (GlobeOp), for £4.85 per share (approximately £572 million). GlobeOp (LSE:GO) provides independent fund services, specializing in middle and back office services and integrated...

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Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @NASDAQOMX @accelereyes @InformaticaCorp

Posted: 27 Jun 2012 05:55 AM PDT

fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @NASDAQOMX @accelereyes @InformaticaCorp

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Itâs been a while

Posted: 27 Jun 2012 05:20 AM PDT

More than a month has passed since my last blog, for which I can only apologise, but I’ve been really busy seeing a number of our students who have turned their focus to job hunting now that their exams are over.read more...

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