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- Is there a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices
- Remarkable RT @yvessmith: 10,000 Posts and Counting!: This, dear readers, is Naked Capitalism's 10,000th post. http://t.co/RxTnZv3h
- RT @fin_tech: Follow @foresightgovuk for tweets from the Foresight Report Presentations at Bloomberg #computertrading #hft
- RT @carlcarrie: Future of Computerized Trading - UK Report http://t.co/w0X1LC4d (pdf)
- Blog Post: TheFinancialServicesClub: Has your customer sold their soul?
- Blog Post: TheAlephBlog: The Rules, Part XXXIV
- Final Report: The Future of Computer Trading in Financial Markets
- Blog Post: Falkenblog: Pointless Econ Debates
- Published / Preprint: Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives. (arXiv:1210.5773v1 [q-fin.PR])
- Published / Preprint: High Frequency Market Making. (arXiv:1210.5781v1 [q-fin.TR])
- Published / Preprint: Determination the Parameters of Markowitz Portfolio Optimization Model. (arXiv:1210.5859v1 [q-fin.PM])
- Published / Preprint: Stability analysis of financial contagion due to overlapping portfolios. (arXiv:1210.5987v1 [q-fin.GN])
- Published / Preprint: Solvency assessment within the ORSA framework: issues and quantitative methodologies. (arXiv:1210.6000v1 [q-fin.RM])
- Published / Preprint: Weak Dynamic Programming for Generalized State Constraints. (arXiv:1105.0745v2 [math.OC] UPDATED)
- Published / Preprint: Opinion Mining for Relating Subjective Expressions and Annual Earnings in US Financial Statements. (arXiv:1210.3865v1 [cs.CL] CROSS LISTED)
- Vendor News: The RSS feed for Investment Technology Group, Inc. is currently unavailable.
- Blog Post: rob_daly: New York Startup Conferences
- Research Library: Does Academic Research Destroy Stock Return Predictability?
| Posted: 23 Oct 2012 03:16 AM PDT This study investigates the financial effects of additions to and deletions from two of the most well-known social stock indices: the Calvert social index and the MSCI KLD 400 index. By examining not only short-term abnormal returns but also trading activity, earnings per share and long-term performance of stocks that are involved in these events, we are able to shedContinue reading Visit MoneyScience for the Complete Article.      |
| Posted: 23 Oct 2012 02:57 AM PDT moneyscience: Remarkable RT @yvessmith: 10,000 Posts and Counting!: This, dear readers, is Naked Capitalism's 10,000th post. http://t.co/RxTnZv3h Visit MoneyScience for the Complete Article.    |
| Posted: 23 Oct 2012 02:17 AM PDT moneyscience: RT @fin_tech: Follow @foresightgovuk for tweets from the Foresight Report Presentations at Bloomberg #computertrading #hft Visit MoneyScience for the Complete Article.    |
| RT @carlcarrie: Future of Computerized Trading - UK Report http://t.co/w0X1LC4d (pdf) Posted: 23 Oct 2012 01:39 AM PDT moneyscience: RT @carlcarrie: Future of Computerized Trading - UK Report http://t.co/w0X1LC4d (pdf) Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Has your customer sold their soul? Posted: 23 Oct 2012 12:49 AM PDT Every time I click on something online, I get this funny thing about agreeing terms and conditions.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Rules, Part XXXIV Posted: 23 Oct 2012 12:16 AM PDT “Once something is used for hedging purposes, it becomes useless for predictive purposes.”read more... Visit MoneyScience for the Complete Article.    |
| Final Report: The Future of Computer Trading in Financial Markets Posted: 22 Oct 2012 11:20 PM PDT Advances in technology continue to transform how our financial markets operate. The volume of financial products traded through computer automated trading taking place at high speed and with little human involvement has increased dramatically in the past few years.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Pointless Econ Debates Posted: 22 Oct 2012 07:00 PM PDT A big point of contentions seems to be whether or not the 2008 slump was a 'financial-induced recession', because as Reinhart and Rogoff say these have slower-than-average recoveries, this benchmark then makes the current recovery look better; compared to the average recession it looks worse. My old mentor Hyman Minsky argued that most recessions are financially induced, from excessive... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2012 05:30 PM PDT We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO2 emission allowances. Single phase cap-and-trade schemes lead readily to terminal conditions given by indicator functions of the forward component, and using fine partial differential equations... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: High Frequency Market Making. (arXiv:1210.5781v1 [q-fin.TR]) Posted: 22 Oct 2012 05:30 PM PDT Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase liquidity because of the presence of market makers, who are willing to trade as counterparties at any time, in exchange for a fee, the bid-ask spread. In this... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2012 05:30 PM PDT The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a portfolio consisting of foreign currency exchange rates and selected assets from the Istanbul Stock Exchange ISE 30, over the period 2001-2009. In the... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2012 05:30 PM PDT Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping portfolios and leverage, and we show how it can be understood in terms of a generalized branching process. By studying a stylized model we estimate the circumstances... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2012 05:30 PM PDT The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In a life insurance society framework, the intuitive approaches to answer this problem can sometimes lead... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2012 05:30 PM PDT We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a measurable selection but still implies the Hamilton-Jacobi-Bellman equation in the viscosity sense. We treat open state constraints as a special case of... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2012 05:30 PM PDT Financial statements contain quantitative information and manager's subjective evaluation of firm's financial status. Using information released in U.S. 10-K filings. Both qualitative and quantitative appraisals are crucial for quality financial decisions. To extract such opinioned statements from the reports, we built tagging models based on the conditional random field (CRF) techniques,... Visit MoneyScience for the Complete Article.    |
| Vendor News: The RSS feed for Investment Technology Group, Inc. is currently unavailable. Posted: 22 Oct 2012 04:09 PM PDT The RSS feed for this subscription is currently unavailable. Please try this subscription again later. Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: New York Startup Conferences Posted: 22 Oct 2012 09:12 AM PDT New York Startup Conferencesread more... Visit MoneyScience for the Complete Article.    |
| Research Library: Does Academic Research Destroy Stock Return Predictability? Posted: 22 Oct 2012 05:57 AM PDT R. David McLean University of Alberta - Department of Finance and Management Science Jeffrey Pontiff Boston College - Department of Finance Abstract We study the out-of-sample and post-publication return-predictability of 82 characteristics that are identified in the academic literature. The average out-of-sample decay due to statistical bias is about 10%, but not statistically different from... Visit MoneyScience for the Complete Article.    |
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