MoneyScience News |
- Research Library: Regulatory scrutiny of algorithmic trading systems: an assessment of the feasibility and potential economic impact (pdf)
- Research Library: The impact of circuit breakers on market outcomes (pdf)
- Blog Post: PatrickBurns: Thalesians, and other events
- Research Library: Minimum obligations of market makers (pdf)
- Blog Post: TheFinancialServicesClub: The Future of Hacktivism: the Collective Party
- Research Library: Tick size regulation: costs, benefits and risks (pdf)
- Research Library: Tick size regulation (pdf)
- Research Library: Stock market circuit breakers (pdf)
- Research Library: Minimum resting times vs. call markets and circuit breakers (pdf)
- Research Library: Minimum resting times and transaction-to-order ratios (pdf)
- Research Library: Minimum quote life and maximum order message-to-trade ratio (pdf)
- Is there a "gender gap" in the views of professional economists? Quite a big one, apparently http://t.co/nNhi3lnN
- .@icmacentre: Waving from windows http://t.co/TOrKHUmJ
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @icmacentre @UBCommunity
- Blog Post: TheAlephBlog: How Warren Buffett is Different from Most Investors, Part 2
- Blog Post: Falkenblog: Economists Love The Spread
- Published / Preprint: Crises and collective socio-economic phenomena: cartoon models and challenges. (arXiv:1209.0453v1 [cond-mat.stat-mech])
- Published / Preprint: Scenarios and their Aggregation in the Regulatory Risk Measurement Environment. (arXiv:1209.0646v1 [q-fin.RM])
- Published / Preprint: Pricing of Variance Swaps under a Credit-Equity Modeling Framework. (arXiv:1209.0697v1 [q-fin.PR])
- Published / Preprint: On the global economic potentials and marginal costs of non-renewable resources. (arXiv:1209.0708v1 [q-fin.GN])
- Waving from windows
- Cass reveals new look MSc in Management
- In case you missed it: The Harvard Cheating Scandal http://t.co/6taGi20h
- Business schools and their discontents http://t.co/TdQzJGgj
- Female B-School Deans Bring Ethics to Campus http://t.co/6G7q7KtH
- Courting Controversy: Women, Business Schools and finding a husband - http://t.co/0GAtvtBJ, http://t.co/ilkCUDPZ and http://t.co/tbcAsehx
- Meeting the first dean of China's first business school http://t.co/weJBGux4
- We need a new way to teach #ethics in business schools http://t.co/ekCiYF5Q
- Cosma Shalizi is posting slides and details of his course: âIntroduction to Statistical Computingâ #stats #quant http://t.co/vrUv7sfG
- An essay on the meandering path of the word "quant"
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @DeutscheBoerse @KathyBurger @SellSideTech
- Research Library: The evolution of algorithmic classes (pdf)
- Research Library: UK Gov Foresight Project - Economic impact assessments on MiFID II policy measures related to computer trading in financial markets
- Research Library: Why It is No Longer a Good Idea to Be in The Investment Industry - Nassim Taleb (pdf)
- Research Library: Cycles of Distrust: An Economic Model (pdf)
- Research Library: Risk and Return in Environmental Economics (pdf)
- Research Library: Market Liquidity: Theory and Empirical Evidence (pdf)
| Posted: 05 Sep 2012 04:50 AM PDT Prof. Dave Cliff, University of Bristol Director, UK Large-Scale Complex IT Systems Initiative (www.lscits.org) UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA16 Objective The last decade has seen a significant growth in the prevalence of algorithmic trading in the financial markets, where computers execute programs that make... Visit MoneyScience for the Complete Article.      |
| Research Library: The impact of circuit breakers on market outcomes (pdf) Posted: 05 Sep 2012 04:37 AM PDT Lucy F. Ackert Department of Economics and Finance Coles College of Business Kennesaw State University UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA9 Objective As we are all very well aware, market swings in recent times have been quite dramatic. Policymakers, practitioners, and academics are all concerned about the... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: Thalesians, and other events Posted: 05 Sep 2012 04:36 AM PDT Featured Thalesians, London 2012 September 12.read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Minimum obligations of market makers (pdf) Posted: 05 Sep 2012 04:29 AM PDT Minimum obligations of market makers Daniel Weaver UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA7 Objective The business model of market makers is to buy securities from sellers and then to resell them at a higher price to buyers. Market makers can be officially recognized as such or operate in that capacity on a de-facto... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The Future of Hacktivism: the Collective Party Posted: 05 Sep 2012 04:26 AM PDT During the week, I’ve been discussing various aspects of risk and riot in the system, from the potential for an uprising to how anonymous works.read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Tick size regulation: costs, benefits and risks (pdf) Posted: 05 Sep 2012 04:09 AM PDT James J. Angel, Ph.D., CFA UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA7 Objective The tick size, or minimum price variation, is the smallest increment permitted in quoting or trading a security. For example, one may trade BP on the LSE at 500 or 500.05 pence, but not at 500.0001. Tick rules protect investors who have... Visit MoneyScience for the Complete Article.    |
| Research Library: Tick size regulation (pdf) Posted: 05 Sep 2012 04:05 AM PDT Tarun Chordia Goizueta Business School Emory University UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA6 Executive summary This note discusses the tradeoffs and provides recommendations about the choice of a tick size. The discussion brings to bear the data and evidence from the US markets, specifically the New York Stock... Visit MoneyScience for the Complete Article.    |
| Research Library: Stock market circuit breakers (pdf) Posted: 05 Sep 2012 04:00 AM PDT Avanidhar Subrahmanyam Professor of Finance, University of California, Los Angeles UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA4 Objective Rapidly falling prices may exacerbate panic amongst investors and cause price-contingent orders to become unfairly stale. Large price swings may create execution uncertainty, which may... Visit MoneyScience for the Complete Article.    |
| Research Library: Minimum resting times vs. call markets and circuit breakers (pdf) Posted: 05 Sep 2012 03:35 AM PDT P. Brewer, J. Cvitanic and C. Plott UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA3 Objective The objective of introducing minimum resting times for trades submitted to the market, that we address in this report, is to alleviate effects of a market "flash crash". The hope is that requiring traders to have their bids and asks... Visit MoneyScience for the Complete Article.    |
| Research Library: Minimum resting times and transaction-to-order ratios (pdf) Posted: 05 Sep 2012 03:30 AM PDT Review of Amendment 2.3.f and Question 20 European Commission Public Consultation Review of the Markets in Financial Instruments Directive J. Doyne Farmer Santa Fe Institute Spyros Skouras Athens University of Economics and Business UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA2 Objective The proposed measure of minimum... Visit MoneyScience for the Complete Article.    |
| Research Library: Minimum quote life and maximum order message-to-trade ratio (pdf) Posted: 05 Sep 2012 03:25 AM PDT Jonathan A. Brogaard UK Government Foresight Project, Future of Computer Trading in Financial Markets Economic Impact Assessment EIA1 Objective This Regulatory Impact Assessment studies the impact of the proposed Order Book Activity Restrictions. The aim of the proposed measures is to meet the goals of the Markets in Financial Instruments Directive (MiFID). These goals are summarized in the... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Sep 2012 03:21 AM PDT BusinessSchools: Is there a "gender gap" in the views of professional economists? Quite a big one, apparently http://t.co/nNhi3lnN Visit MoneyScience for the Complete Article.    |
| .@icmacentre: Waving from windows http://t.co/TOrKHUmJ Posted: 05 Sep 2012 02:47 AM PDT BusinessSchools: .@icmacentre: Waving from windows http://t.co/TOrKHUmJ Visit MoneyScience for the Complete Article.    |
| Posted: 05 Sep 2012 12:23 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @icmacentre @UBCommunity Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: How Warren Buffett is Different from Most Investors, Part 2 Posted: 04 Sep 2012 09:31 PM PDT Before I begin this evening, let me simply say that where I find intelligence, I appreciate it, whether I agree with all the ethics of the situation or not. Buffett is a bright guy, brighter than most. I have *not* been shy to criticize Buffett when I thought there were ethical lapses — whether it was retroactive reinsurance, life settlements, David Sokol, or anything else.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Economists Love The Spread Posted: 04 Sep 2012 06:07 PM PDT The spread is a debating tactic where you present a set of supporting arguments so wide and particular your opponents are unable to rebut them all because 1) they have day jobs and 2) they have limited space or time to address them in any particular forum. A champion spreader is Noam Chomsky, who selectively recites facts of world history from Indonesia, Russia, to El Salvadore and 200... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2012 05:30 PM PDT Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of the most important problems in economic theory. In this paper, we review recent efforts to include heterogeneities and interactions in models of decision. We argue that the Random Field Ising model (RFIM) indeed provides... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2012 05:30 PM PDT We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements. Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2012 05:30 PM PDT We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a L\'{e}vy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent L\'{e}vy measure, local stochastic volatility and have a local stochastic default intensity. Moreover, the L\'{e}vy subordinator that drives the underlying can be obtained... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2012 05:30 PM PDT A model is presented in this work for simulating endogenously the evolution of the marginal costs of production of energy carriers from non-renewable resources, their consumption, depletion pathways and timescales. Such marginal costs can be used to simulate the price formation of energy commodities. Drawing on previous work where a global database of energy resource economic potential was... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2012 02:06 PM PDT Sat perusing the sleeve notes of the new Elbow CD I came across the following about the b-sides and rarities that make up the album: “others….. were written and recorded quickly and perhaps not fully appreciated by the band until some time afterwards”.read more... Visit MoneyScience for the Complete Article.    |
| Cass reveals new look MSc in Management Posted: 04 Sep 2012 12:06 PM PDT Revamped course includes an MBA-style business consulting project Visit MoneyScience for the Complete Article.    |
| In case you missed it: The Harvard Cheating Scandal http://t.co/6taGi20h Posted: 04 Sep 2012 09:30 AM PDT BusinessSchools: In case you missed it: The Harvard Cheating Scandal http://t.co/6taGi20h Visit MoneyScience for the Complete Article.    |
| Business schools and their discontents http://t.co/TdQzJGgj Posted: 04 Sep 2012 08:45 AM PDT BusinessSchools: Business schools and their discontents http://t.co/TdQzJGgj Visit MoneyScience for the Complete Article.    |
| Female B-School Deans Bring Ethics to Campus http://t.co/6G7q7KtH Posted: 04 Sep 2012 08:45 AM PDT BusinessSchools: Female B-School Deans Bring Ethics to Campus http://t.co/6G7q7KtH Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2012 08:45 AM PDT BusinessSchools: Courting Controversy: Women, Business Schools and finding a husband - http://t.co/0GAtvtBJ, http://t.co/ilkCUDPZ and http://t.co/tbcAsehx Visit MoneyScience for the Complete Article.    |
| Meeting the first dean of China's first business school http://t.co/weJBGux4 Posted: 04 Sep 2012 08:45 AM PDT BusinessSchools: Meeting the first dean of China's first business school http://t.co/weJBGux4 Visit MoneyScience for the Complete Article.    |
| We need a new way to teach #ethics in business schools http://t.co/ekCiYF5Q Posted: 04 Sep 2012 08:45 AM PDT BusinessSchools: We need a new way to teach #ethics in business schools http://t.co/ekCiYF5Q Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2012 08:31 AM PDT BusinessSchools: Cosma Shalizi is posting slides and details of his course: “Introduction to Statistical Computing†#stats #quant http://t.co/vrUv7sfG Visit MoneyScience for the Complete Article.    |
| An essay on the meandering path of the word "quant" Posted: 04 Sep 2012 08:08 AM PDT Aaron Brown posts an in depth and useful dissection of the word 'Quant', analysing it's usage and implications. As he says, "Sloppy use can lead to error. For example, are the quants in Scott Patterson’s book The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It as wise and gentle as Emanuel Derman? Or are the words being used in different senses?"read... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2012 05:47 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @DeutscheBoerse @KathyBurger @SellSideTech Visit MoneyScience for the Complete Article.    |
| Research Library: The evolution of algorithmic classes (pdf) Posted: 03 Sep 2012 08:40 AM PDT Lajos Gergely Gyurko Mathematical Institute, University of Oxford. Introduction This paper aims to explore the key factors that drive the evolution of algorithmic classes. We analyse the impact of changes in regulation, the development of new trading venues, technological innovations, the economic environment, changes in market micro-structure, the availability and quality of data/information,... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Sep 2012 08:10 AM PDT Oliver Linton, Cambridge University Maureen O’Hara, Cornell University J.P. Zigrand, London School of Economics Published: August 2012 Computer trading has changed markets in fundamental ways, not the least of which is the speed at which trading now occurs. There are a variety of policies proposed to address this new world of trading with the goals of improving market performance and... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Aug 2012 06:30 AM PDT Nassim N. Taleb NYU-Poly August 2012 ~~~~~Preliminary Draft~~~~~~~ A spurious tail is the performance of a certain number of operators that is entirely caused by luck, what is called the “lucky fool” in Taleb (2001). Because of winner-take-all-effects (from globalization), spurious performance increases with time and explodes under fat tails in alarming proportions. An operator... Visit MoneyScience for the Complete Article.    |
| Research Library: Cycles of Distrust: An Economic Model (pdf) Posted: 14 Aug 2012 07:25 AM PDT Daron Acemoglu MIT Alexander Wolitzky Stanford and Microsoft Research Abstract We propose a model of cycles of distrust and conflict. Overlapping generations of agents from two sequentially play coordination games under incomplete information about whether the other side consists of 'extremists' who will never take the good/trusting action. Good actions may be mistakenly perceived as... Visit MoneyScience for the Complete Article.    |
| Research Library: Risk and Return in Environmental Economics (pdf) Posted: 14 Aug 2012 07:13 AM PDT Robert S. Pindyck Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER) Abstract I examine the risk/return tradeoff for environmental investments, and its implications for policy choice. Consider a policy to reduce carbon emissions. To what extent does the value of such a policy depend on the expected future damages from global... Visit MoneyScience for the Complete Article.    |
| Research Library: Market Liquidity: Theory and Empirical Evidence (pdf) Posted: 14 Aug 2012 07:06 AM PDT Dimitri Vayanos and Jiang Wang Abstract In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity affects expected asset returns. Using a unified model from... Visit MoneyScience for the Complete Article.    |
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