Thursday, October 18, 2012

MoneyScience News

MoneyScience News


Blog Post: TheFinancialServicesClub: What really happened when the RBS payment system failed

Posted: 18 Oct 2012 02:20 AM PDT

At the start of this week, we had a discussion at the Financial Services Club about the issues at the Royal Bank of Scotland (RBS) over the summer when their payments systems failed.read more...

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Published / Preprint: How are academic age, productivity and collaboration related to citing behavior of researchers?

Posted: 18 Oct 2012 12:26 AM PDT

References are an essential component of research articles and therefore of scientific communication. In this study we investigate referencing (citing) behavior in five diverse fields (astronomy, mathematics, robotics, ecology and economics) based on 213,756 core journal articles. At the macro level we find: (a) a steady increase in the number of references per article over the period studied (50...

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Published / Preprint: Profit Maximization over Social Networks

Posted: 18 Oct 2012 12:26 AM PDT

Influence maximization is the problem of finding a set of influential users in a social network such that the expected spread of influence under a certain propagation model is maximized. Much of the previous work has neglected the important distinction between social influence and actual product adoption. However, as recognized in the management science literature, an individual who gets...

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Blog Post: TheAlephBlog: Total Return Versus Long Liabilities

Posted: 17 Oct 2012 09:28 PM PDT

Very briefly in my career, I was Chief Investment Officer of a significant life insurer.  Sadly, that was my dream job, and to have it and lose it was a blow that I accepted, because I did what was right.read more...

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Blog Post: Falkenblog: I Would Destroy Half the Value for Half the Price

Posted: 17 Oct 2012 07:51 PM PDT

Above is the stock price over Vikram Pandit's CEO tenure. He received $1 in 2009 and 2010, but then you knew he would make that up and so in March 2011 he was given a $23MM 'retention award'. As CEO, he has a lot of power so it's hard to avoid this, and to me it highlights the problems of allocating incentives and rights in large collectives. While I'm a critic of these poor CEOs getting large...

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Published / Preprint: Econoinformatics meets Data-Centric Social Sciences. (arXiv:1210.4643v1 [q-fin.GN])

Posted: 17 Oct 2012 05:32 PM PDT

Our society has been computerised and globalised due to emergence and spread of information and communication technology (ICT). This enables us to investigate our own socio-economic systems based on large amounts of data on human activities. In this article, methods of treating complexity arising from a vast amount of data, and linking data from different sources, are discussed. Furthermore,...

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Published / Preprint: Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach. (arXiv:1210.4713v1 [q-fin.RM])

Posted: 17 Oct 2012 05:32 PM PDT

This paper is devoted to the quantification and analysis of marginal risk contribution of a given single financial institution i to the risk of a financial system s. Our work expands on the CoVaR concept proposed by Adrian and Brunnermeier as a tool for the measurement of marginal systemic risk contribution. We first give a mathematical definition of CoVaR_{\alpha}^{s|L^i=l}. Our definition...

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Blog Post: rob_daly: If You Can't Eliminate, Mitigate

Posted: 17 Oct 2012 03:33 PM PDT

If You Can’t Eliminate, Mitigateread more...

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