Wednesday, November 14, 2012

MoneyScience News

MoneyScience News


Video - Joris Luyendijk at UK Parliamentary Commission on Banking Standards Joint Committee

Posted: 14 Nov 2012 05:23 AM PST

Joris Luyendijk is the Guardian Newspaper's roving financial anthropologist, and will be familiar to many readers at MoneyScience from his excellent Voices in Finance Series over at the Guardian's Banking Blog.read more...

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RT @Ian_Fraser: Joris Luijendijk, Guardian's banking anthropologist, is in front of PCBS panel now http://t.co/LvFhpc20 @JLbankingblog

Posted: 14 Nov 2012 03:14 AM PST

moneyscience: RT @Ian_Fraser: Joris Luijendijk, Guardian's banking anthropologist, is in front of PCBS panel now http://t.co/LvFhpc20 @JLbankingblog

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Blog Post: TheFinancialServicesClub: Virtual currencies will explode thanks to mobile games

Posted: 14 Nov 2012 12:09 AM PST

The European Central Bank (ECB) has just issued a report on Virtual Currency Schemes, with case studies on Second Life and Bitcoin (both previously covered in depth here).read more...

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Blog Post: TheAlephBlog: Don't be a Fool

Posted: 13 Nov 2012 10:17 PM PST

When I wrote for RealMoney, I would often write things critical of others, but not identify my target.  Why?read more...

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Blog Post: Falkenblog: Online Education's Advantage

Posted: 13 Nov 2012 06:52 PM PST

I'm a big fan, and hope the best for Marginal Revolutions new online class, as Alex Tabarrok notes:Dale Carnegie’s advice to “tell the audience what you're going to say, say it; then tell them what you've said” makes sense for a live audience. If 20% of your students aren’t following the lecture, it’s natural to repeat some of the material so that you keep the whole audience involved...

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Published / Preprint: Hurst Exponents For Short Time Series. (arXiv:1211.2862v1 [q-fin.ST])

Posted: 13 Nov 2012 05:30 PM PST

A new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used also to detect scaling properties and structural breaks in stock price series of Shanghai Stock market.

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Published / Preprint: Analysis of short term price trends in daily stock-market index data. (arXiv:1211.3060v1 [q-fin.ST])

Posted: 13 Nov 2012 05:30 PM PST

In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is found that the trend duration distribution often differs from the one expected under no memory. The expected and observed distributions are compared by means...

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Published / Preprint: Can we predict long-run economic growth?. (arXiv:1211.3102v1 [q-fin.GN])

Posted: 13 Nov 2012 05:30 PM PST

For those concerned with the long-term value of their accounts, it can be a challenge to plan in the present for inflation-adjusted economic growth over coming decades. Here, I argue that there exists an economic constant that carries through time, and that this can help us to anticipate the more distant future: global economic wealth has a fixed link to civilization's overall rate of energy...

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Blog Post: WealthandCapitalMarketsBlog: Innovations in OTC block equities: A new venue called Squawker

Posted: 13 Nov 2012 08:51 AM PST

Squawker is a new venue based out of London for trading of OTC stocks (among other listed products like ETFs and warrants) focusing on the approximately 10-15% of equities that trade OTC in Europe according to AFME. Squawker (the title is based on the old squawk box) is not yet launched but what is most interesting is that it is focusing on an area that tends to be overlooked amidst all the...

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Published / Preprint: FuturICT

Posted: 13 Nov 2012 08:37 AM PST

FuturlCT is a FET Flagship project using collective, participatory research, integrated across ICT, the social sciences and complexity science, to design socio-inspired technology and develop a science of global, socially interactive systems. The project will bring together, on a global level, Big Data, new modelling techniques and new forms of interaction, leading to a new understanding of...

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Published / Preprint: Impact of time illiquidity in a mixed market without full observation

Posted: 13 Nov 2012 08:37 AM PST

We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the illiquid one can be traded only at discrete random times corresponding to the jumps of a Poisson process with intensity $\lambda$, is observed at the trading...

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Published / Preprint: On the Dynamics of Cascading Failures in Interdependent Networks

Posted: 13 Nov 2012 08:37 AM PST

Cascading failures in interdependent networks have been investigated using percolation theory in recent years. Here, we study the dynamics of the cascading failures, the average and fluctuations of the number of cascading as a function of system size $N$ near criticality. The system we analyzed is a pair of fully interdependent Erd$\ddot{\textup{o}}$s-R$\acute{\textup{e}}$nyi (ER)...

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Published / Preprint: An explosive diffusion on a social network

Posted: 13 Nov 2012 08:37 AM PST

We explain a possible mechanism of an information diffusion on a network which spreads extraordinarily far from a seed node. On the basis of the model of the tweet diffusion on Twitter which we have constructed in the previous work, we will show that the correlation between the retweet rates enhances the chance of the explosive diffusion, shifting the transition point at which the diffusion...

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Published / Preprint: Early Prediction of Movie Box Office Success based on Wikipedia Activity Big Data

Posted: 13 Nov 2012 08:37 AM PST

Use of socially generated "big data" to access information about collective states of the minds in human societies becomes a new paradigm in the emerging field of computational social science. One of the natural application of this would be prediction of the society's reaction to a new product in the sense of popularity and adoption rate. However, bridging between "real time monitoring" and...

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Published / Preprint: Global Civil Unrest: Contagion, Self-Organization, and Prediction

Posted: 13 Nov 2012 08:37 AM PST

Civil unrest is a powerful form of collective human dynamics, which has led to major transitions of societies in modern history. The study of collective human dynamics, including collective aggression, has been the focus of much discussion in the context of modeling and identification of universal patterns of behavior. In contrast, the possibility that civil unrest activities, across countries...

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Advanced Finance Theory with Empirical Applications

Posted: 13 Nov 2012 05:37 AM PST

Research Library: Toward a Value Inclusive Theory of Economic Decision- Making: A 'New Science' Model

Posted: 08 Oct 2012 06:20 AM PDT

Holly A Bell   Abstract This paper explores one option for the development of a theoretical approach to economic decision-making that goes beyond the mechanical-mathematical models based on the assumptions of rational self-interest and utility maximization. The proposed model incorporates facts, values, relationships, cooperation, learning, and other factors into economic...

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Research Library: The Deeper Causes of the Financial Crisis - Mortgages Alone Cannot Explain It

Posted: 08 Oct 2012 06:15 AM PDT

Deeper Causes of the Financial Crisis Mark Adelson Abstract The losses on U.S. residential mortgage loans are too small to explain the magnitude of the 2008financial crisis. The total losses, including the losses realized to date and those yet to be realized,should fall in the range of $750 billion to $2 trillion. The full, global magnitude of the crisis issignificantly larger –...

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