Thursday, November 1, 2012

MoneyScience News

MoneyScience News

Blog Post: PatrickBurns: Popular posts 2012 October

Posted: 01 Nov 2012 03:09 AM PDT

Most popular posts in 2012 October Review of “R For Dummies” Annotations for “R For Dummies” A practical introduction to garch modeling S&P 500 correlation up to date A tale of two returns (posted in 2010) S&P 500 sector strengths A look at Bayesian statistics The top 7 portfolio optimization problems The basics of Value at Risk and Expected Shortfall Introduction...

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Blog Post: TheFinancialServicesClub: Muhammad Yunus: how to end poverty forever

Posted: 01 Nov 2012 03:06 AM PDT

The final keynote at SIBOS 2012 is Muhammad Yunus, founder of Grameen Bank and Chairman of the Yunus Centre.read more...

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Blog Post: TheAlephBlog: Yield is the Last Refuge of Scoundrels

Posted: 31 Oct 2012 09:29 PM PDT

Governments involved in financial repression (keeping savings rates below the inflation rate) encourage their citizens to do stupid things by reaching for yield.  Remember, most people think of yield as a magic chicken that lays eggs on schedule, and never gets sick or dies.  Those who truly understand markets know that yield is an allocation of free cash flow, and that many businesses...

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RT @LME_News If you're in Chicago for the FIA Expo we're at stand 205, in the green area. Come and say hello. ht... http://t.co/BqSrrgbq

Posted: 31 Oct 2012 08:21 PM PDT

moneyscience: RT @LME_News If you're in Chicago for the FIA Expo we're at stand 205, in the green area. Come and say hello. ht... http://t.co/BqSrrgbq

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Published / Preprint: LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT

Posted: 31 Oct 2012 08:21 PM PDT

We prove a law of large numbers for the loss from default and use it for approximating the distribution of the loss from default in large, potentially heterogeneous portfolios. The density of the limiting measure is shown to solve a nonlinear stochastic partial differential equation, and certain moments of the limiting measure are shown to satisfy an infinite system of stochastic differential...

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Blog Post: Falkenblog: Mauboussin on Success and Luck

Posted: 31 Oct 2012 06:48 PM PDT

My 5-year old daughter recently was very excited to discover a new solution to a pressing problem. Her mother had told her she was not allowed to eat cookies and left the room. 5 minutes later Izzie told me she had a great idea: I give her a cookie but we don't tell mom, so mom wouldn't be upset.  Win-win! Her pride in independently discovering the tactic of lying reminded me that many...

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Published / Preprint: Markets structure explained by pairwise interactions. (arXiv:1210.8380v1 [q-fin.ST])

Posted: 31 Oct 2012 05:33 PM PDT

Financial markets are a typical example of complex systems where interactions between constituants lead to many remarkable features. Here we give empirical evidences, by making as few assumptions as possible, that the market microstructure capturing almost all of the available information in the data of stock markets does not involve higher order than pairwise interactions. We give an economic...

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Published / Preprint: Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets

Posted: 31 Oct 2012 08:12 AM 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: 1. Is there...

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Published / Preprint: A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization

Posted: 31 Oct 2012 08:12 AM 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...

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Published / Preprint: Stability and robustness analysis of cooperation cycles driven by destructive agents in finite populations

Posted: 31 Oct 2012 08:12 AM PDT

The emergence and promotion of cooperation are two of the main issues in evolutionary game theory, as cooperation is amenable to exploitation by defectors, which take advantage of cooperative individuals at no cost, dooming them to extinction. It has been recently shown that the existence of purely destructive agents (termed jokers) acting on the common enterprises (public goods games) can induce...

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Published / Preprint: Exponential random graph models

Posted: 31 Oct 2012 08:12 AM PDT

Nowadays, exponential random graphs (ERGs) are among the most widely-studied network models. Different analytical and numerical techniques for ERG have been developed that resulted in the well-established theory with true predictive power. An excellent basic discussion of exponential random graphs addressed to social science students and researchers is given in [Anderson et al., 1999][Robins et...

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Blog Post: rob_daly: Are Post-Flash Crash SEC Initiatives Doing Their Jobs?

Posted: 31 Oct 2012 07:50 AM PDT

Are Post-Flash Crash SEC Initiatives Doing Their Jobs?read more...

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Research Library: Ethics and Finance: The Role of Mathematics

Posted: 31 Oct 2012 05:06 AM PDT

Timothy C. Johnson The Maxwell Institute for Mathematical Sciences Abstract This paper presents the contemporary Fundamental Theorem of Asset Pricing as being equivalent to approaches to pricing that emerged before 1700 in the context of Virtue Ethics. This is done by considering the history of science and mathematics in the thirteenth and seventeenth century. An explanation as to why these...

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Event: Certificate in Quantitative Finance Information Session - San Francisco

Posted: 30 Oct 2012 07:06 AM PDT

Location: San Francisco Hilton; Date: November 29th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks,...

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Event: Certificate in Quantitative Finance Information Session - Chicago

Posted: 30 Oct 2012 07:05 AM PDT

Location: Conrad Chicago; Date: November 28th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks, refreshments...

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Event: Certificate in Quantitative Finance Information Session - Americas Region Webinar

Posted: 30 Oct 2012 07:03 AM PDT

Location: Online; Date: November 28th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks, refreshments...

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Event: Certificate in Quantitative Finance Information Session - EMEA Region Webinar

Posted: 30 Oct 2012 07:01 AM PDT

Location: Online; Date: November 28th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks, refreshments...

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Event: Certificate in Quantitative Finance Information Session - APAC Region Webinar

Posted: 30 Oct 2012 07:00 AM PDT

Location: Online; Date: November 28th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks, refreshments...

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Event: Certificate in Quantitative Finance Information Session - London

Posted: 30 Oct 2012 06:58 AM PDT

Location: 7city Learning, 4 Chiswell Street, London, EC1Y 4UP; Date: November 15th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city,...

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Event: Certificate in Quantitative Finance Information Session - Mumbai

Posted: 30 Oct 2012 06:56 AM PDT

Location: Hotel Ramada Powai; Date: November 9th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks, refreshments...

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Event: Certificate in Quantitative Finance Information Session - Singapore

Posted: 30 Oct 2012 06:56 AM PDT

Location: Conrad Centennial; Date: November 7th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks, refreshments...

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Event: Certificate in Quantitative Finance Information Session - Hong Kong

Posted: 30 Oct 2012 06:46 AM PDT

Location: Mandarin Oriental; Date: November 6th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks, refreshments...

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Event: Certificate in Quantitative Finance Information Session - Tokyo

Posted: 30 Oct 2012 06:43 AM PDT

Location: Conrad Tokyo; Date: November 5th, 2012; Find out more about the CQF, the quantitative finance industry and your career options within it by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. All info sessions take place in a central location in a specific city, and include drinks, refreshments...

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Event: Numerical Problem Solving...using The NAG Library from Excel & The NAG Toolbox for MATLAB

Posted: 25 Oct 2012 04:03 AM PDT

Location: Oxford, UK; Date: November 15th, 2012; Overview:The Numerical Algorithms Group (NAG) delivers high quality numerical software and high performance computing (HPC) services. NAG’s Numerical Library underpins thousands of applications used around the world in fields such as finance, science, engineering, academia, and research. Since its first release more than forty years ago, it...

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