Thursday, November 29, 2012

MoneyScience News

MoneyScience News

Blog Post: TheAlephBlog: On Human Fertility, Part 2

Posted: 29 Nov 2012 03:12 AM PST

I write about this every now and then, because human fertility is falling faster then most demographers expect.  Using the CIA Factbook for data, the present total fertility rate for the world is 2.47 births per woman that survives childbearing.  Last year it was 2.50, and in 2006 it was 2.90.  2.10 is replacement rate.  At the current trend, the world will be at replacement rate in 2022. ...

Visit MoneyScience for the Complete Article.

RT @MichaelJWatt: France warns on use of derivatives to evade new transaction tax - http://t.co/AnbJolUr. Great piece from Tom Newton

Posted: 29 Nov 2012 02:59 AM PST

moneyscience: RT @MichaelJWatt: France warns on use of derivatives to evade new transaction tax - http://t.co/AnbJolUr. Great piece from Tom Newton

Visit MoneyScience for the Complete Article.

RT @InteDelta: InteDelta & SunGard survey of 100+ collateral management pros on a number of key industry developments http://t.co/rs0xHipS

Posted: 29 Nov 2012 02:59 AM PST

moneyscience: RT @InteDelta: InteDelta & SunGard survey of 100+ collateral management pros on a number of key industry developments http://t.co/rs0xHipS

Visit MoneyScience for the Complete Article.

Blog Post: TheFinancialServicesClub: Can banks meet the hybrid challenge?

Posted: 29 Nov 2012 01:56 AM PST

It’s taken me a while, talking about social media and stuff, to finally work out why this is a fundamental change for banking.read more...

Visit MoneyScience for the Complete Article.

The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @ISCParisSchool

Posted: 29 Nov 2012 12:26 AM PST

BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @ISCParisSchool

Visit MoneyScience for the Complete Article.

Published / Preprint: Momentum universe shrinkage effect in price momentum. (arXiv:1211.6517v1 [q-fin.GN])

Posted: 28 Nov 2012 05:40 PM PST

We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher momentum returns than other universes do but large-size companies such as the KOSPI 50 components hinder...

Visit MoneyScience for the Complete Article.

Published / Preprint: The Pricing Mechanism of Contingent Claims and its Generating Function. (arXiv:1211.6525v1 [q-fin.PR])

Posted: 28 Nov 2012 05:40 PM PST

In this paper we study dynamic pricing mechanism of contingent claims. A typical model of such pricing mechanism is the so-called g-expectation $E^g_{s,t}[X]$ defined by the solution of the backward stochastic differential equation with generator g and with the contingent claim X as terminal condition. The generating function g this BSDE. We also provide examples of determining the price...

Visit MoneyScience for the Complete Article.

Published / Preprint: High Frequency Trading and Mini Flash Crashes. (arXiv:1211.6667v1 [q-fin.TR])

Posted: 28 Nov 2012 05:40 PM PST

We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find...

Visit MoneyScience for the Complete Article.

Published / Preprint: Unstable Price Dynamics as a Result of Information Absorption in Speculative Markets. (arXiv:1211.6695v1 [q-fin.TR])

Posted: 28 Nov 2012 05:40 PM PST

In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual unpredictable fluctuations. This classical view of markets absorbing information and otherwise operating close to an equilibrium is challenged by extreme price...

Visit MoneyScience for the Complete Article.

Research Library: Financial Markets and High Frequency Trading: An Information Management Perspective

Posted: 28 Nov 2012 08:46 AM PST

Babis Theodoulidis University of Manchester - Manchester Business School David Diaz Universidad de Chile - Escuela de Economia y Negocios November 21, 2012 Abstract The advances in trading technologies and networking infrastructures combined with the globalisation and competitive environment of the financial markets has increased the complexity and dynamics of markets making them difficult to...

Visit MoneyScience for the Complete Article.

Video - Ciamac Moallemi: High-Frequency Trading and Market Microstructure

Posted: 28 Nov 2012 07:20 AM PST

Ciamac Moallemi is the Barbara and Meyer Feldberg Associate Professor of Business in the Decision, Risk, & Operations Division of the Graduate School of Business at Columbia University. read more...

Visit MoneyScience for the Complete Article.

Video - Ciamac Moallemi: High-Frequency Trading and Market Microstructure

Posted: 28 Nov 2012 07:10 AM PST

Via Sal Arnuk from Themis Trading coming this interesting presentation on HFT. read more...

Visit MoneyScience for the Complete Article.

Vendor News: Grupo Vidanta Selects SS&Câs TimeShareWare

Posted: 28 Nov 2012 06:06 AM PST

Published / Preprint: 28Nov/BIS, ECB and IMF publish third part of Handbook on Securities Statistics

Posted: 28 Nov 2012 06:03 AM PST

Press relase about the BIS, ECB and IMF publishing the third part of the "Handbook on Securities Statistics" (Press release 28 November 2012)

Visit MoneyScience for the Complete Article.