MoneyScience News |
- RT @Ian_Fraser: Follow @harrynwilson for tweets from the High Court: landmark case re: 'misselling' of interest rate swaps by #Barclays
- RT @a_biao: #quant New Post: A Fully Integrated Liquidity and Market Risk Model http://t.co/JYCy97yg
- The psychology of poverty: Economics fellow uses Kenyan lab to study, learn from the poor
- Published / Preprint: 29Oct/Basel Committee reports to G20 Finance Ministers and Central Bank Governors on Basel III implementation
- Vendor News: Nomura selects Fidessa's trading platform to support global derivatives operation
- Blog Post: TheFinancialServicesClub: #innotribe: the future of money
- Blog Post: filmackay: Fears about HFT dislocated from reality
- Published / Preprint: Generalised arbitrage-free SVI volatility surfaces. (arXiv:1210.7111v1 [q-fin.PR])
- Published / Preprint: Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets. (arXiv:1210.7215v1 [q-fin.ST])
- Published / Preprint: A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization. (arXiv:1210.7230v1 [q-fin.TR])
- Blog Post: Falkenblog: AQR on Making Low Vol Better
- Blog Post: ThePracticalQuant: Mining Time-series with Trillions of Points: Dynamic Time Warping at scale
| Posted: 29 Oct 2012 04:56 AM PDT moneyscience: RT @Ian_Fraser: Follow @harrynwilson for tweets from the High Court: landmark case re: 'misselling' of interest rate swaps by #Barclays Visit MoneyScience for the Complete Article.      |
| RT @a_biao: #quant New Post: A Fully Integrated Liquidity and Market Risk Model http://t.co/JYCy97yg Posted: 29 Oct 2012 04:56 AM PDT moneyscience: RT @a_biao: #quant New Post: A Fully Integrated Liquidity and Market Risk Model http://t.co/JYCy97yg Visit MoneyScience for the Complete Article.    |
| The psychology of poverty: Economics fellow uses Kenyan lab to study, learn from the poor Posted: 29 Oct 2012 04:13 AM PDT To Johannes Haushofer, studying Western college students to understand economic decision-making more clearly will only take economists so far. Sooner or later, those who want to grasp one of the world's largest economic problems—the plight of the global poor—are going to have to talk to some poor people.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Oct 2012 03:43 AM PDT Press release about the Basel Committee reporting to G20 Finance Ministers and Central Bank Governors on Basel III implementation (29 October 2012) Visit MoneyScience for the Complete Article.    |
| Vendor News: Nomura selects Fidessa's trading platform to support global derivatives operation Posted: 29 Oct 2012 02:08 AM PDT    |
| Blog Post: TheFinancialServicesClub: #innotribe: the future of money Posted: 29 Oct 2012 02:05 AM PDT Now I know where all the people are … they’re in the conference!read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: filmackay: Fears about HFT dislocated from reality Posted: 28 Oct 2012 06:08 PM PDT Gareth Hutchens posted this followup to the weekend article. Lets look at the weekend article first:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Oct 2012 05:32 PM PDT In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterisation. Visit MoneyScience for the Complete Article.    |
| Posted: 28 Oct 2012 05:32 PM PDT This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of different exchange features and the impact of market participants in different asset sectors. This paper aims to address the following questions: read more... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Oct 2012 05:32 PM PDT In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations obtained in Zheng and Sowers (2012). In contrary to several models proposed and researched in literature, this model provides complete continuity in both time and... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: AQR on Making Low Vol Better Posted: 28 Oct 2012 04:28 PM PDT AQR has been offering 'low vol' funds institutionally for a couple of years, but last July started offering them to retail customers too. As they are titled 'Defensive Equity' funds, they escaped my radar but really these are 'low vol' funds (eg, U.S. Defensive Equity Fund AUEIX, the AQR International Defensive Equity Fund (ANDIX), and the AQR Emerging Defensive Equity Fund... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Oct 2012 10:05 AM PDT Take a similarity measure that's already well-known by researchers who work with time-series, and devise an algorithm to compute it efficiently at scale. Suddenly intractable problems become tractable, and Big Data mining applications that use the metric are within reach. The classification, clustering, and indexing (search) of time series has important applications in many domains. In medicine... Visit MoneyScience for the Complete Article.    |
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