MoneyScience News |
- RT @jasonkonior: RPT-'Quant' hedge funds headed for worst month since Aug 2007 http://t.co/tG8Bk736
- Blog Post: TheFinancialServicesClub: Mourners and exhibitionists
- RT @TimHarford: The art of working with complex systems - interesting. http://t.co/3xm3Gp3F
- On being the right size â speech by Andrew Haldane
- Published / Preprint: 30Oct/BIS hosts first GPFI Conference on Standard-Setting Bodies and Financial Inclusion
- Blog Post: Falkenblog: Blaming the Victim
- Published / Preprint: Uniqueness of Kusuoka Representations. (arXiv:1210.7257v1 [math.ST])
- Published / Preprint: The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management. (arXiv:1210.7329v1 [q-fin.PR])
- Published / Preprint: Isobenefit Lines, Breaking Point of equal attraction, Uniformity Benefit, Variety Value and Proximity Value, Preference Gap Gain. (arXiv:1210.7510v1 [q-fin.GN])
- Published / Preprint: Execution and block trade pricing with optimal constant rate of participation. (arXiv:1210.7608v1 [q-fin.TR])
- Published / Preprint: Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables. (arXiv:1210.7642v1 [q-fin.CP])
- Published / Preprint: Halton-type sequences from global function fields. (arXiv:1210.7721v1 [math.NT])
- Alan Kirman - What's the use of Economics?
- Research Library: Institutional Investors and Stock Market Volatility
- Research Library: The Behavior of Individual Investors
| RT @jasonkonior: RPT-'Quant' hedge funds headed for worst month since Aug 2007 http://t.co/tG8Bk736 Posted: 30 Oct 2012 04:37 AM PDT moneyscience: RT @jasonkonior: RPT-'Quant' hedge funds headed for worst month since Aug 2007 http://t.co/tG8Bk736 Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Mourners and exhibitionists Posted: 30 Oct 2012 02:52 AM PDT After two big sessions in the main conference, it was time to retire to the exhibit hall and see some other stuff, so I spent the afternoon networking, which is what SIBOS is all about.read more... Visit MoneyScience for the Complete Article.    |
| RT @TimHarford: The art of working with complex systems - interesting. http://t.co/3xm3Gp3F Posted: 30 Oct 2012 02:43 AM PDT moneyscience: RT @TimHarford: The art of working with complex systems - interesting. http://t.co/3xm3Gp3F Visit MoneyScience for the Complete Article.    |
| On being the right size â speech by Andrew Haldane Posted: 30 Oct 2012 02:15 AM PDT In a speech at the Institute of Economic Affairs, delivered on 25 October 2012, Andrew Haldane – Executive Director for Financial Stability and member of the Financial Policy Committee – reviews the initiatives taken to solve the too-big-to-fail problem. He concludes that, while existing change initiatives are right in direction, they may be insufficient in degree. He then... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Oct 2012 02:14 AM PDT Press release about the BIS hosting the first GPFI Conference on Standard-Setting Bodies and Financial Inclusion (30 October 2012) Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Blaming the Victim Posted: 29 Oct 2012 07:12 PM PDT Every week brings a new billion dollar settlement against the banks that supposedly rammed this stuff down the throats of the noble savages who couldn't afford the homes they bought. Luigi Zingales notes a study on how culpable banks were:Predatory lending is commonly defined as lending that imposes unfair and abusive loan terms on borrowers. The immediate effect of this mandatory... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Uniqueness of Kusuoka Representations. (arXiv:1210.7257v1 [math.ST]) Posted: 29 Oct 2012 05:46 PM PDT This paper addresses law invariant coherent risk measures and their Kusuoka representations. By elaborating the existence of a minimal representation we show that every Kusuoka representation can be reduced to its minimal representation. Uniqueness -- in a sense specified in the paper -- of the risk measure's Kusuoka representation is derived from this initial result. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Oct 2012 05:45 PM PDT Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic building block of no-arbitrage pricing... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Oct 2012 05:45 PM PDT Isobenefit Lines can offer a certain range of applicability in Location Theory and Gravitational Models for Urban and Geography Economics, in positional decision processes made by citizens, and, last but not least, in land value and property market theories and analysis. The value of a land, or a property, in a generic k point, is, ceteris paribus, the mirror of the quality, attractiveness,... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Oct 2012 05:45 PM PDT In this article, we develop a liquidation model in which the trader is constrained to liquidate a portfolio at constant participation rate. Considering the functional forms usually used by practitioners, we obtain a closed-form expression for the optimal participation rate and for the liquidity premium a trader should quote to buy a large block of shares. We also show that the difference in terms... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Oct 2012 05:45 PM PDT Random variables of the generalized Pareto distribution, can be transformed to that of the Pareto distribution. Explicit expressions exist for the maximum likelihood estimators of the parameters of the Pareto distribution. The performance of the estimation of the shape parameter of generalized Pareto distributed using transformed observations, based on the probability weighted method is tested.... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Oct 2012 05:45 PM PDT For any prime power $q$ and any dimension $s$, a new construction of $(t,s)$-sequences in base $q$ using global function fields is presented. The construction yields an analog of Halton sequences for global function fields. It is the first general construction of $(t,s)$-sequences that is not based on the digital method. The construction can also be put into the framework of the theory of... Visit MoneyScience for the Complete Article.    |
| Alan Kirman - What's the use of Economics? Posted: 29 Oct 2012 09:38 AM PDT The economic crisis has thrown the inadequacies of macroeconomics into stark relief. The narrow conception of the macroeconomy as a system in equilibrium is problematic. Economists should abandon entrenched theories and understand the macroeconomy as self-organising. This column offers detailed suggestions on what alternative ideas economists can teach their future students that better reflect... Visit MoneyScience for the Complete Article.    |
| Research Library: Institutional Investors and Stock Market Volatility Posted: 29 Oct 2012 08:55 AM PDT Xavier Gabaix New York University - Stern School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI) Parameswaran Gopikrishnan Boston University - Center for Polymer Studies Vasiliki Plerou Boston University - Center for Polymer Studies H. Eugene Stanley Boston University - Center for Polymer... Visit MoneyScience for the Complete Article.    |
| Research Library: The Behavior of Individual Investors Posted: 29 Oct 2012 08:52 AM PDT Brad M. Barber UC Davis Terrance Odean University of California, Berkeley - Haas School of Business September 7, 2011 Abstract We provide an overview of research on the stock trading behavior of individual investors. This research documents that individual investors (1) underperform standard benchmarks (e.g., a low cost index fund), (2) sell winning investments while holding losing investments... Visit MoneyScience for the Complete Article.    |
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