MoneyScience News |
- Blog Post: TheFinancialServicesClub: Are we on or off the rails
- Research Library: Is Profit Evil? Incentive Neglect and the Association of Profit With Social Harm
- Research Library: On the necessity of complexity
- Blog Post: PatrickBurns: Discovering the quality of portfolio decisions
- How 'black swans' and 'perfect storms' become lame excuses for bad risk management
- Vendor News: Fidessa collaborates with Thomson Reuters to extend liquidity access for buy-side traders
- Published / Preprint: Optimal portfolio for a robust financial system. (arXiv:1211.5235v1 [q-fin.RM])
- Published / Preprint: Extreme value statistics and recurrence intervals of NYMEX energy futures volatility. (arXiv:1211.5502v1 [q-fin.ST])
- Published / Preprint: CDS pricing under Basel III: capital relief and default protection. (arXiv:1211.5517v1 [q-fin.PR])
- Published / Preprint: Heterogeneous Enterprises in a Macroeconomic Agent-Based Model. (arXiv:1211.5575v1 [q-fin.GN])
- Blog Post: Falkenblog: Fighting Inequality
- Published / Preprint: No such pipe, or this pipe has been deleted
| Blog Post: TheFinancialServicesClub: Are we on or off the rails Posted: 26 Nov 2012 04:52 AM PST At SIBOS 2012, I led a session on the future of money along with Udayan Goyal ...read more... Visit MoneyScience for the Complete Article.      |
| Research Library: Is Profit Evil? Incentive Neglect and the Association of Profit With Social Harm Posted: 26 Nov 2012 04:07 AM PST Amit Bhattacharjee, University of Pennsylvania, USA Jason Dana, University of Pennsylvania, USA Jonathan Baron, University of Pennsylvania, USA Abstract We find a strong negative correlation between perceived profit and social value across both industries and specific firms. People report little faith in the power of markets to create and reward value, neglecting the incentive properties of... Visit MoneyScience for the Complete Article.    |
| Research Library: On the necessity of complexity Posted: 26 Nov 2012 04:05 AM PST Joost J. Joosten Abstract Wolfram's Principle of Computational Equivalence (PCE) implies that universal complexity abounds in nature. This paper comprises three sections. In the first section we consider the question why there are so many universal phenomena around. So, in a sense, we week a driving force behind the PCE if any. We postulate a principle GNS that we call the Generalized Natural... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: Discovering the quality of portfolio decisions Posted: 26 Nov 2012 02:59 AM PST Performance analysis of an example portfolio.read more... Visit MoneyScience for the Complete Article.    |
| How 'black swans' and 'perfect storms' become lame excuses for bad risk management Posted: 26 Nov 2012 01:29 AM PST Stanford risk expert recommends engineering principles to assess catastrophic riskread more... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 01:02 AM PST    |
| Posted: 25 Nov 2012 05:32 PM PST This study presents an ANSeR model (asset network systemic risk model) to quantify the risk of financial contagion which manifests itself in a financial crisis. The transmission of financial distress is governed by a heterogeneous bank credit network and an investment portfolio of banks. Bankruptcy reproductive ratio of a financial system is computed as a function of the diversity and risk... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2012 05:32 PM PST Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are defined as the waiting times $\tau$ between consecutive volatilities exceeding a given threshold $q$. We find that the recurrence intervals are distributed... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2012 05:32 PM PST Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with three legs: premium; default protection; and capital relief. If markets are complete, with no CDS bond basis, then CDSs can be replicated by taking short... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2012 05:32 PM PST We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods market. The model is stock-flow consistent; a bank lends money charging interest rates, and keeps track of equities. Important features of the model are... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Fighting Inequality Posted: 25 Nov 2012 05:08 PM PST NYT reporter Nicholas Kristoff notes that private power generators are extremely useful given the poor quality of modern US electricity infrastructure. This governmental inefficiency leads him to the conclusion that we need more progressive taxation. In the second century BC Cato the Elder ended each of his speeches with 'And, Carthage must be destroyed'. I think liberals... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: No such pipe, or this pipe has been deleted Posted: 25 Nov 2012 01:39 PM PST This data comes from pipes.yahoo.com but the Pipe does not exist or has been deleted. Visit MoneyScience for the Complete Article.    |
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