MoneyScience News |
- Innovative #Risk Management: How To Really Leverage Legal Entity Data #tcm http://t.co/ZxK2QqWJ
- via @DEAGiles - Francis Diebold's Personal Perspective on the Use and Abuse of Diebold-Mariano Tests #tcm http://t.co/AH9PF9q9
- Innovative #Risk Management: How To Really Leverage Legal Entity Data #tcm http://t.co/erOdFD1m
- Blog Post: TheFinancialServicesClub: The future of the payments terminal
- Research Library: Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests - Francis Diebold
- Problems for MIT Sloan Admissions Dept. http://t.co/Hpc4KhFO & http://t.co/iTcbpon5
- A list that reminds everyone how B-School rankings have gotten completely out of hand http://t.co/0XEmGJus
- Why Are Business School Applications Declining? http://t.co/JbsR1IbB
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @CarlsonMBA @BostonCollege
- Blog Post: Falkenblog: Games People Play
- Published / Preprint: The beneficial role of random strategies in social and financial systems. (arXiv:1209.5881v1 [physics.soc-ph])
- Published / Preprint: Optimization problem and mean variance hedging on defaultable claims. (arXiv:1209.5953v1 [q-fin.PR])
- Published / Preprint: Quadratic hedging schemes for general GARCH models. (arXiv:1209.5976v1 [q-fin.PR])
- Published / Preprint: Asymptotically optimal discretization of hedging strategies with jumps. (arXiv:1108.5940v2 [q-fin.RM] UPDATED)
- Published / Preprint: On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation. (arXiv:0902.1328v3 [math.PR] CROSS LISTED)
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @AdvancedTrading @virginieoshea @AttovaTech
- Published / Preprint: Hierarchical structure of stock price fluctuations in financial markets
- Published / Preprint: A generalized statistical model for the size distribution of wealth
- Published / Preprint: Rethinking Centrality: The Role of Dynamical Processes in Social Network Analysis
- Published / Preprint: Randomness in Competitions
- Published / Preprint: Social Dynamics of Science
- Published / Preprint: In s caf cience "there is no bad publicity": Papers criticized in technical comments have high scientific impact
| Innovative #Risk Management: How To Really Leverage Legal Entity Data #tcm http://t.co/ZxK2QqWJ Posted: 27 Sep 2012 03:23 AM PDT moneyscience: Innovative #Risk Management: How To Really Leverage Legal Entity Data #tcm http://t.co/ZxK2QqWJ Visit MoneyScience for the Complete Article.      |
| Posted: 27 Sep 2012 03:23 AM PDT moneyscience: via @DEAGiles - Francis Diebold's Personal Perspective on the Use and Abuse of Diebold-Mariano Tests #tcm http://t.co/AH9PF9q9 Visit MoneyScience for the Complete Article.    |
| Innovative #Risk Management: How To Really Leverage Legal Entity Data #tcm http://t.co/erOdFD1m Posted: 27 Sep 2012 03:11 AM PDT fin_tech: Innovative #Risk Management: How To Really Leverage Legal Entity Data #tcm http://t.co/erOdFD1m Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The future of the payments terminal Posted: 27 Sep 2012 02:59 AM PDT I’m speaking at a conference on the future of payments today for one of the world’s largest suppliers of payments terminals.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Sep 2012 02:42 AM PDT Francis X. Diebold University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER) September 7, 2012 PIER Working Paper No. 12-035 Abstract The Diebold-Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Unfortunately, however, much of the large subsequent... Visit MoneyScience for the Complete Article.    |
| Problems for MIT Sloan Admissions Dept. http://t.co/Hpc4KhFO & http://t.co/iTcbpon5 Posted: 27 Sep 2012 02:25 AM PDT BusinessSchools: Problems for MIT Sloan Admissions Dept. http://t.co/Hpc4KhFO & http://t.co/iTcbpon5 Visit MoneyScience for the Complete Article.    |
| Posted: 27 Sep 2012 02:25 AM PDT BusinessSchools: A list that reminds everyone how B-School rankings have gotten completely out of hand http://t.co/0XEmGJus Visit MoneyScience for the Complete Article.    |
| Why Are Business School Applications Declining? http://t.co/JbsR1IbB Posted: 27 Sep 2012 02:25 AM PDT BusinessSchools: Why Are Business School Applications Declining? http://t.co/JbsR1IbB Visit MoneyScience for the Complete Article.    |
| Posted: 27 Sep 2012 12:20 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @CarlsonMBA @BostonCollege Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Games People Play Posted: 26 Sep 2012 07:35 PM PDT I just read Eric Berne's book 1964 book Games People Play and its a fascinating piece of psychology. The author is an expert on human self-deception and the real meaning of rituals. For example, he gives this example of a typical American ritual:1A: "Hi" (hello)1B: "Hi" (hello)2A: "Warm enough for ya?" (How are you?)2B: "Sure is, Look's like ran, though." (Fine, how are you?)3A: "Well, take... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2012 05:34 PM PDT In this paper we focus on the beneficial role of random strategies in social sciences by means of simple mathematical and computational models. We briefly review recent results obtained by two of us in previous contributions for the case of the Peter principle and the efficiency of a Parliament. Then, we develop a new application of random strategies to the case of financial trading and discuss... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2012 05:34 PM PDT We study the pricing and the hedging of claim {\psi} which depends on the default times of two firms A and B. In fact, we assume that, in the market, we can not buy or sell any defaultable bond of the firm B but we can only trade defaultable bond of the firm A. Our aim is then to find the best price and hedging of {\psi} using only bond of the firm A. Hence, we solve this problem in two... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2012 05:34 PM PDT In this paper we propose different schemes for option hedging when asset returns are modeled by a general class of GARCH models. Since the minimal martingale measure fails to produce a probability measure in this setting, we construct local risk minimization hedging strategies with respect to a risk neutral measure. Local risk minimization is investigated in the context of Gaussian driven models... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2012 05:34 PM PDT In this work, we consider the hedging error due to discrete trading in models with jumps. Extending an approach developped by Fukasawa (2011) for continuous processes, we propose a framework enabling to (asymptotically) optimize the discretization times. More precisely, a discretization rule is said to be optimal if for a given cost function, no strategy has (asymptotically, for large cost) a... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2012 05:34 PM PDT We study the class of Az\'ema-Yor processes defined from a general semimartingale with a continuous running maximum process. We show that they arise as unique strong solutions of the Bachelier stochastic differential equation which we prove is equivalent to the drawdown equation. Solutions of the latter have the drawdown property: they always stay above a given function of their past maximum.... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2012 05:50 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @AdvancedTrading @virginieoshea @AttovaTech Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Hierarchical structure of stock price fluctuations in financial markets Posted: 26 Sep 2012 05:39 AM PDT The financial market and turbulence have been broadly compared on account of the same quantitative methods and se 8ef veral common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous scaling exponents deviated from Kolmogorov monofractal scaling of the velocity fluctuation in fluid turbulence, is applied to study and quantify the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A generalized statistical model for the size distribution of wealth Posted: 26 Sep 2012 05:26 AM PDT In a recent paper in this journal [J. Stat. Mech. (2009) P02037] we proposed a new, physically motivated, distribution function for modeling individual incomes having its roots in the framework of the k-generalized statistical mechanics. The performance of the k-generalized distribution was checked against real data on personal income for the United States in 2003. In this paper we extend our... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2012 05:26 AM PDT Many popular measures used in social network analysis, including measures of centrality, are based on the random walk. The random walk is a model of a stochastic process where a node interacts with one other node at a time. However, the random walk may not be appropriate for modeling social phenomena, including epidemics and information diffusion, in which one node may interact with many others... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Randomness in Competitions Posted: 26 Sep 2012 05:26 AM PDT We study the effects of randomness on competitions based on an elementary random process in which there is a finite probability that a weaker team upsets a stronger team. We apply this model to sports leagues and sports tournaments, and compare the theoretical results with empi 9eb rical data. Our model shows that single-elimination tournaments are efficient but unfair: the number of games is... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Social Dynamics of Science Posted: 26 Sep 2012 05:26 AM PDT The birth and decline of disciplines are critical to science and society. However, no 839 quantitative model to date allows us to validate competing theories of whether the emergence of scientific disciplines drives or follows the formation of social communities of scholars. Here we propose an agent-based model based on a \emph{social dynamics of science,} in which the evolution of... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2012 05:26 AM PDT Technical comments are special types of scientific publications whose aim is to correct or criticize previously published papers. Often, comments are negatively perceived by the authors of the criticized articles because believed to make the commented papers less worthy or trusty to the eyes of the scientific community. Thus, there is a tendency to think that criticized papers are predestined to... Visit MoneyScience for the Complete Article.    |
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