MoneyScience News |
- Published / Preprint: Algebra of fundamental measurements as a basis of dynamics of economic systems
- Blog Post: TheFinancialServicesClub: When TQM means Totally Quack Management
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @BostonCollege @gwbusiness
- Blog Post: TheAlephBlog: On Tech Company Dividends
- Blog Post: Falkenblog: Why I'm a Fama Fan
- Published / Preprint: General Equilibrium as a Topological Field Theory
- Published / Preprint: General Equilibrium as a Topological Field Theory. (arXiv:1209.1705v1 [q-fin.GN])
- Published / Preprint: Dynkin Games and Israeli Options. (arXiv:1209.1791v1 [q-fin.PR])
- Published / Preprint: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering and other Problems. (arXiv:1209.1893v1 [q-fin.CP])
- Published / Preprint: Roles of discount rate, risk premium, and device performance in estimating the cost of energy for photovoltaics. (arXiv:1209.1903v1 [q-fin.GN])
- Published / Preprint: Numerical Valuation of Bermudan and Path-Dependent Interest Rate Derivatives via PDE Expansions. (arXiv:1209.1909v1 [q-fin.CP])
- Published / Preprint: 10Sep/Choongsoo Kim appointed Chair of the BIS Asian Consultative Council
- Blog Post: iMFdirect: Taking Away the Punch Bowl: Lessons from The Booms and Busts in Emerging Europe
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @hftreview @SellSideTech @quantbattle
- RT @portfolioprobe: Not fooled by randomness http://t.co/YQIMZ2tn #quant #finance #performancemeasurement #rstats http://t.co/ekqeDufh
- Vendor News: SS&C Acquires GlobeOp
- Mark Cuban: High-Frequency Traders Are the Ultimate Hackers
| Published / Preprint: Algebra of fundamental measurements as a basis of dynamics of economic systems Posted: 11 Sep 2012 02:32 AM PDT We propose an axiomatic approach to constructing the dynamics of systems, in which one the main elements 9e8 is the consciousness of a subject. The main axiom is the statements that the state of consciousness is completely determined by the results of measurements performed on it. In case of economic systems we propose to consider an offer of transaction as a fundamental measurement.... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: When TQM means Totally Quack Management Posted: 11 Sep 2012 01:42 AM PDT When I was growing up in business, there weren’t many management gurus around. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Sep 2012 12:23 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @BostonCollege @gwbusiness Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Tech Company Dividends Posted: 10 Sep 2012 10:27 PM PDT There’s a lousy idea floating out there, that it is a bad thing for a tech company to pay dividends (also here). Not true! Companies that pay dividends treat their capital more carefully, because now their equity has an explicit cost. Studies that I have read indicate that dividend-paying stocks do better then those that do not pay dividends, in the long run.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Why I'm a Fama Fan Posted: 10 Sep 2012 08:02 PM PDT Aaron Brown was gracious enough to give a rather nice review on Amazon of The Missing Risk Premium (paperback here, Kindle version here) and at Minnyanville. You can read it there. One point I made he found irksome was where I noted my Northwestern professors considered Fama a 'lightweight'. This was 1992-94. Unfortunately, he inferred something I didn't intend, namely that I too considered him... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: General Equilibrium as a Topological Field Theory Posted: 10 Sep 2012 05:39 PM PDT General equilibrium is the dominant theoretical framework for economic policy analysis at the level of the whole economy. In practice, general equilibrium treats economies as being always in equilibrium, albeit in a sequence of equilibria as driven by external changes in parameters. This view is sometimes defended on the grounds that internal dynamics are fast, while external changes are slow, so... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Sep 2012 05:32 PM PDT General equilibrium is the dominant theoretical framework for economic policy analysis at the level of the whole economy. In practice, general equilibrium treats economies as being always in equilibrium, albeit in a sequence of equilibria as driven by external changes in parameters. This view is sometimes defended on the grounds that internal dynamics are fast, while external changes are slow, so... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dynkin Games and Israeli Options. (arXiv:1209.1791v1 [q-fin.PR]) Posted: 10 Sep 2012 05:32 PM PDT We start briefly surveying research on optimal stopping games since their introduction by E.B.Dynkin more than 40 years ago. Recent renewed interest to dynkin's games is due, in particular, to the study of Israeli (game) options introduced in 2000. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Sep 2012 05:32 PM PDT This paper develops an asymptotic expansion technique in momentum space. It is shown that Fourier transformation combined with a polynomial-function approximation of the nonlinear terms gives a closed recursive system of ordinary differential equations (ODEs) as an asymptotic expansion of the conditional distribution appearing in stochastic filtering problems. Thanks to the simplicity of the ODE... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Sep 2012 05:32 PM PDT We show that different rates should be used for borrowing and discount rates, and that the risk-free rate should be used for discounting when assessing and comparing the cost of energy accross diffferent producers and technologies, on the example of photovoltaics. Recent quantitative models using the same rate for borrowing and discounting lead to an underestimation of the cost for... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Sep 2012 05:31 PM PDT In this article, we propose a new numerical approach to high-dimensional partial differential equations (PDEs) arising in the valuation of exotic derivatives on the LIBOR curve. The proposed method is adapted from Reisinger and Wittum (2007) and uses principal component analysis (PCA) of the underlying process in combination with a Taylor expansion of the value function into solutions to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 10Sep/Choongsoo Kim appointed Chair of the BIS Asian Consultative Council Posted: 10 Sep 2012 08:01 AM PDT Press release about the appointment of Choongsoo Kim as Chair of the BIS Asian Consultative Council (BIS Press Release 10 September 2012) Visit MoneyScience for the Complete Article.    |
| Posted: 10 Sep 2012 07:25 AM PDT By Bas B. Bakker and Christoph Klingenread more... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Sep 2012 05:57 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @hftreview @SellSideTech @quantbattle Visit MoneyScience for the Complete Article.    |
| Posted: 10 Sep 2012 02:00 AM PDT fin_tech: RT @portfolioprobe: Not fooled by randomness http://t.co/YQIMZ2tn #quant #finance #performancemeasurement #rstats http://t.co/ekqeDufh Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| Mark Cuban: High-Frequency Traders Are the Ultimate Hackers Posted: 26 Jun 2012 11:03 PM PDT This WSJ interview with Mark Cuban has received quite a lot of attention, as well as a Discussion at Slashdot.read more... Visit MoneyScience for the Complete Article.    |
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