MoneyScience News |
- 'One article doth not make a trend' or '5 reasons why HFT isn't going anywhere, anytime soon'
- Blog Post: TheFinancialServicesClub: There is no effective identity system, which is why laundering succeeds
- Blog Post: TheAlephBlog: Book Review: The Financial Domino Effect
- Blog Post: Falkenblog: Vol of Vol
- Published / Preprint: Physical assets replacement: an analytical approach. (arXiv:1210.3678v1 [q-fin.GN])
- Published / Preprint: Redistribution spurs growth by using a portfolio effect on human capital. (arXiv:1210.3716v1 [q-fin.GN])
- Published / Preprint: A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance. (arXiv:1210.3800v1 [math.PR])
- Published / Preprint: Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments. (arXiv:1210.3811v1 [q-fin.PR])
- Published / Preprint: Russian interbank networks: main characteristics and stability with respect to contagion. (arXiv:1210.3814v1 [q-fin.RM])
- Published / Preprint: A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving. (arXiv:1210.3849v1 [q-fin.RM])
- Published / Preprint: An introduction to particle integration methods: with applications to risk and insurance. (arXiv:1210.3851v1 [q-fin.CP])
- Published / Preprint: Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration. (arXiv:1210.4000v1 [q-fin.TR])
- Published / Preprint: Towards international E-stat for monitoring the socio-economic activities across the globe. (arXiv:1210.4129v1 [q-fin.GN])
- Published / Preprint: Applying hedging strategies to estimate model risk and provision calculation. (arXiv:1102.3534v2 [q-fin.RM] UPDATED)
- Economics Nobel 2012 awarded to Game Theorists Alvin E. Roth and Lloyd S. Shapley
- Published / Preprint: How We Tend To Overestimate Powerlaw Tail Exponents
- Published / Preprint: Optimal order placement in limit order markets
- Published / Preprint: Three state herding model of the financial markets
- Published / Preprint: Strong random correlations in networks of heterogeneous agents
- Published / Preprint: Connect and win: The role of social networks in political elections
- Published / Preprint: Physics peeks into the ballot box
- Published / Preprint: Financial Reforms and Capital Flows: Insights from General Equilibrium (CEPR DP9174)
| 'One article doth not make a trend' or '5 reasons why HFT isn't going anywhere, anytime soon' Posted: 16 Oct 2012 04:07 AM PDT So lots of people jumped on a New York Times article yesterday that indicated that profits from High Frequency Trading in US stocks was down 35% to $1.35 billion this year. HFT is too expensive, so the argument runs, the marketplace is too crowded, the competition too fierce, trading volumes are down, regulation is set to stifle the industry further.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 16 Oct 2012 02:17 AM PDT The converse of KYC and AML is identity management.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Book Review: The Financial Domino Effect Posted: 15 Oct 2012 11:49 PM PDT This is a good book. It has one significant problem, though. It is very good at describing the problems that exist, but does not follow through on the subtitle: How to Profit Now in the Volatile Global Economy. That might be a publisher error. They want to sell books, and a book that describes the problem will have a small audience, while a book that shows how you can profit from a... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Vol of Vol Posted: 15 Oct 2012 06:56 PM PDT I was at this year's OptionMetrics conference and it was a nice overview of 13 different papers. One that stood out was Guido Boltussen's paper (coauthored by Van Bekkum and Van Der Grient of Erasmus U) on Unknown Unknowns: Vol-of-Vol and the Cross Section of Returns. The idea was simple. Instead of sorting by vol, they sorted by vol of vol, and generate a rather large annualized return (10%)... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:34 PM PDT The economic life of an asset is the optimum length of its usefulness, which is the moment that the asset's expenses are minimum. In this paper, the economic life of physical assets, such as industry machine and equipment, can be interpreted as the moment that the minimum is reached by its equivalent property cost function, defined as the sum of all equivalent capital and maintenance costs during... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT We demonstrate by mathematical analysis and systematic computer simulations that redistribution can lead to sustainable growth in a society. The human capital dynamics of each agent is described by a stochastic multiplicative process which, in the long run, leads to the destruction of individual human capital and the extinction of the individualistic society. When agents are linked by... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest $\frac{\mu}{\sigma^2}$ at every point in time an extremal process is constructed which is under suitable time changes... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT The main result of this paper is a bilateral collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debt valuation adjustments (CVA, DVA) along with margining and funding costs, all in a consistent way. We find that the equation has a recursive form, making the introduction of a purely additive funding valuation... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT Systemic risks characterizing the Russian overnight interbank market from the network point of view are analyzed. Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian Paid-Incurred-Claims models, combining the claims reserving models of Hertig et al. (1985) and Gogol et al. (1993). In the process we extend the independent log-normal... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT Interacting particle methods are increasingly used to sample from complex and high-dimensional distributions. These stochastic particle integration techniques can be interpreted as an universal acceptance-rejection sequential particle sampler equipped with adaptive and interacting recycling mechanisms. Practically, the particles evolve randomly around the space independently and to each particle... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT We study the price-setting problem of market makers under risk neutrality and perfect competition in continuous time. Thereby we follow the classic Glosten-Milgrom model that defines bid and ask prices as expectations of a true value of the asset given the market makers' partial information that includes the customers trading decisions. The true value is modeled as a Markov process that can be... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT We investigate relationship between annual electric power consumption per capita and gross domestic production (GDP) per capita for 131 countries. We found that the relationship can be fitted with a power-law function. We examine the relationship for 47 prefectures in Japan. Furthermore, we investigate values of annual electric power production reported by four international organizations. We... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:33 PM PDT This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven. This measure allows comparing products valued with different models (pricing hypothesis) under a homogeneous framework which allows concluding which model is the closest to the reference. The relative model risk measure... Visit MoneyScience for the Complete Article.    |
| Economics Nobel 2012 awarded to Game Theorists Alvin E. Roth and Lloyd S. Shapley Posted: 15 Oct 2012 07:56 AM PDT The Royal Swedish Academy of Sciences has decided to award The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for 2012 toread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: How We Tend To Overestimate Powerlaw Tail Exponents Posted: 15 Oct 2012 07:17 AM PDT In the presence of a layer of metaprobabilities (from uncertainty concerning the parameters), the asymptotic tail exponent corresponds to the lowest possible tail exponent regardless of its probability. The problem explains "Black Swan" effects, i.e., why measurements tend to chronically underestima 564 te tail contributions, rather than merely deliver imprecise but unbiased estimates. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal order placement in limit order markets Posted: 15 Oct 2012 07:17 AM PDT To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the structure of transaction fees and rebates across exchanges. We propose a quantitative framework for studying... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Three state herding model of the financial markets Posted: 15 Oct 2012 07:06 AM PDT We propose a Markov jump process with the three state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description exhibiting sophisticated statistical features. Along with 6b5 power-law probability density function of the absolute returns we are able to reproduce the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Strong random correlations in networks of heterogeneous agents Posted: 15 Oct 2012 07:06 AM PDT Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is studied by numerical simulations. The dynamics is so slow that one can meaningfully speak of quasi-equilibrium states. Performing measurements of correlations... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Connect and win: The role of social networks in political elections Posted: 15 Oct 2012 07:06 AM PDT Many networks do not live in isolation but are strongly interacting, with profound consequences on their dynamics. Here, we consider the case of two interacting social networks and, in the context of a simple model, we address the case of political elections. Each network represents a competing party and every agent on the election day can choose to be either active in one of the two networks... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Physics peeks into the ballot box Posted: 15 Oct 2012 07:06 AM PDT Electoral results show universal features, such as statistics of candidates' performance and turnout rates, in different countries and over time. Are voters as predictable as atoms? Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2012 05:34 AM PDT Financial Reforms and Capital Flows: Insights from General Equilibrium Author(s): Alberto Martin, Jaume Ventura CEPR Discussion Paper Number 9174 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), International Macroeconomics (IM) Date of Publication: 14/10/2012 Keyword(s): capital flows, economic growth, financial... Visit MoneyScience for the Complete Article.    |
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