MoneyScience News |
- Blog Post: TheFinancialServicesClub: The World Payments Report 2012, Part One
- Variety is the spice of life
- Blog Post: TheAlephBlog: Match Assets and Liabilities
- Blog Post: Falkenblog: Google Stop Per Regulations
- Published / Preprint: Designing Informative Securities. (arXiv:1210.4837v1 [cs.GT])
- Published / Preprint: Weighted Sets of Probabilities and MinimaxWeighted Expected Regret: New Approaches for Representing Uncertainty and Making Decisions. (arXiv:1210.4853v1 [cs.GT])
- Published / Preprint: Probability and Asset Updating using Bayesian Networks for Combinatorial Prediction Markets. (arXiv:1210.4900v1 [cs.AI])
- Published / Preprint: An Approximate Solution Method for Large Risk-Averse Markov Decision Processes. (arXiv:1210.4901v1 [q-fin.PM])
- Published / Preprint: Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation. (arXiv:1210.4973v1 [q-fin.GN])
- Published / Preprint: Counterparty Risk and Funding: The Four Wings of the TVA. (arXiv:1210.5046v1 [q-fin.RM])
- Published / Preprint: Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters. (arXiv:1210.5111v1 [q-fin.PM])
- Published / Preprint: A construction of (t,s)-sequences with finite-row generating matrices using global function fields. (arXiv:1210.5152v1 [math.NT])
- Published / Preprint: The Merton Problem with a Drawdown Constraint on Consumption. (arXiv:1210.5205v1 [q-fin.PM])
- Published / Preprint: Quantifying the Behavior of Stock Correlations Under Market Stress
- Meet the Tutor event a success
| Blog Post: TheFinancialServicesClub: The World Payments Report 2012, Part One Posted: 19 Oct 2012 02:43 AM PDT The World Payments Report (WPR) has just come out. It is the 8th report produced by EFMA, in partnership with Cap Gemini and the Royal Bank of Scotland (ABN AMRO previously), and provides a good analysis of global payments movements in the same way as we do with our European Payments Report, produced in partnership with Logica and the EBA (if you want a copy, email me). read more... Visit MoneyScience for the Complete Article.      |
| Posted: 19 Oct 2012 02:10 AM PDT Just about everyone says that they want variety in their jobs. In fact no one has ever said to me that they want monotony.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Match Assets and Liabilities Posted: 18 Oct 2012 11:45 PM PDT “Good investing stems from matching assets to the eventual need to pay cash at a future date. True for individuals and institutions.â€read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Google Stop Per Regulations Posted: 18 Oct 2012 06:19 PM PDT Google had a PR snafu and announced earnings intraday. This caused a big price move of 10%, and then a price freeze for about 2 hours per US regulations. To think this had any help on generating a more efficient market is absurd. This disruption wasn't horrible but highlights the futility of trying to do good: such regulations always ends up something really dumb that just annoys everyone in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Designing Informative Securities. (arXiv:1210.4837v1 [cs.GT]) Posted: 18 Oct 2012 05:31 PM PDT We create a formal framework for the design of informative securities in prediction markets. These securities allow a market organizer to infer the likelihood of events of interest as well as if he knew all of the traders' private signals. We consider the design of markets that are always informative, markets that are informative for a particular signal structure of the participants, and... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Oct 2012 05:31 PM PDT We consider a setting where an agent's uncertainty is represented by a set of probability measures, rather than a single measure. Measure-bymeasure updating of such a set of measures upon acquiring new information is well-known to suffer from problems; agents are not always able to learn appropriately. To deal with these problems, we propose using weighted sets of probabilities: a representation... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Oct 2012 05:31 PM PDT A market-maker-based prediction market lets forecasters aggregate information by editing a consensus probability distribution either directly or by trading securities that pay off contingent on an event of interest. Combinatorial prediction markets allow trading on any event that can be specified as a combination of a base set of events. However, explicitly representing the full joint... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Oct 2012 05:31 PM PDT Stochastic domains often involve risk-averse decision makers. While recent work has focused on how to model risk in Markov decision processes using risk measures, it has not addressed the problem of solving large risk-averse formulations. In this paper, we propose and analyze a new method for solving large risk-averse MDPs with hybrid continuous-discrete state spaces and continuous action spaces.... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Oct 2012 05:31 PM PDT In order to design complex networks that are robust and sustainable, we must understand systemic risk. As economic systems become increasingly interconnected, for example, a shock in a single financial network can provoke cascading failures throughout the system. The widespread effects of the current EU debt crisis and the 2008 world financial crisis occur because financial systems are... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Oct 2012 05:31 PM PDT The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA), Liquidity Valuation Adjustment (LVA) and Replacement Cost (RC) issues, jointly referred to in this paper as Total Valuation Adjustment (TVA), have been thoroughly... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Oct 2012 05:31 PM PDT We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown drift. We use the dynamical programming approach and find an optimal financial strategy which depends... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Oct 2012 05:31 PM PDT For any prime power $q$ and any dimension $s \ge 1$, we present a construction of $(t,s)$-sequences in base $q$ with finite-row generating matrices such that, for fixed $q$, the quality parameter $t$ is asymptotically optimal as a function of $s$ as $s \to \infty$. This is the first construction of $(t,s)$-sequences that yields finite-row generating matrices and asymptotically optimal... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Oct 2012 05:31 PM PDT In this paper, we work in the framework of the Merton problem but we impose a drawdown constraint on the consumption process. This means that consumption can never fall below a fixed proportion of the running maximum of past consumption. In terms of economic motivation, this constraint represents a type of habit formation where the investor is reluctant to let his standard of living fall too far... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Quantifying the Behavior of Stock Correlations Under Market Stress Posted: 18 Oct 2012 11:37 AM PDT Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a... Visit MoneyScience for the Complete Article.    |
| Meet the Tutor event a success Posted: 18 Oct 2012 08:11 AM PDT Another annual event took place at the ICMA Centre recently to help new and returning students to settle back into university life. Students from all programmes and many different countries gathered together at the ICMA Centre to meet their tutor over a drink and light buffet. Postgraduates mixed with undergraduates, including ERASMUS students from Bucharest and Venice, to make theContinue reading Visit MoneyScience for the Complete Article.    |
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