MoneyScience News |
- RT @msgbi: Noahpinion: What is math, and why should we use it in economics? http://t.co/jcpp6mFj @rszbt @teraeuro
- RT @carlcarrie: Paper models inter-listed stocks, long/short term price discovery effects, relative exchange efficiency http://t.co/n6NJnns8
- An Economist Talks Rubbish or "Asset Pricing with Garbage" #tcm http://t.co/E7BOjg6G
- Blog Post: TheFinancialServicesClub: Can you imagine your bank advertising like this?
- Research Library: Asset Pricing with Garbage (pdf)
- An Economist Talks Rubbish or Asset Pricing with Garbage
- Blog Post: TheAlephBlog: An Actuarial Question
- Blog Post: Falkenblog: Idiocracy in Action
- Published / Preprint: Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives. (arXiv:1211.0707v1 [math.NA])
- Published / Preprint: Heat Kernel Framework for Asset Pricing in Finite Time. (arXiv:1211.0856v1 [q-fin.PR])
- Research Library: Behavioral Finance in Joseph De La Vega’s Confusion De Confusiones
- Research Library: Collective Hallucinations and Inefficient Markets: The British Railway Mania of the 1840s
| Posted: 06 Nov 2012 02:26 AM PST moneyscience: RT @msgbi: Noahpinion: What is math, and why should we use it in economics? http://t.co/jcpp6mFj @rszbt @teraeuro Visit MoneyScience for the Complete Article.      |
| Posted: 06 Nov 2012 02:02 AM PST moneyscience: RT @carlcarrie: Paper models inter-listed stocks, long/short term price discovery effects, relative exchange efficiency http://t.co/n6NJnns8 Visit MoneyScience for the Complete Article.    |
| An Economist Talks Rubbish or "Asset Pricing with Garbage" #tcm http://t.co/E7BOjg6G Posted: 06 Nov 2012 01:50 AM PST moneyscience: An Economist Talks Rubbish or "Asset Pricing with Garbage" #tcm http://t.co/E7BOjg6G Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Can you imagine your bank advertising like this? Posted: 06 Nov 2012 01:49 AM PST Japan has so much culture, tradition, beauty and รข€¦ downright weirdness.read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Asset Pricing with Garbage (pdf) Posted: 06 Nov 2012 01:25 AM PST ALEXI SAVOV Abstract A new measure of consumption, garbage, is more volatile and more correlated with stocks than the canonical measure, NIPA consumption expenditure. A garbage-based CCAPM matches the U.S. equity premium with relative risk aversion of 17 versus 81 and evades the joint equity premium-risk-free rate puzzle. These results carry through to European data. In a cross-section of size,... Visit MoneyScience for the Complete Article.    |
| An Economist Talks Rubbish or Asset Pricing with Garbage Posted: 06 Nov 2012 01:21 AM PST A researcher has used the rubbish we throw away as an alternative, more reliable measure of consumption than the standard model.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: An Actuarial Question Posted: 05 Nov 2012 11:34 PM PST Here is a question from a reader:read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Idiocracy in Action Posted: 05 Nov 2012 07:18 PM PST Ideally, politics is about coming up with a set of understood compromises on issues trading off redistribution and efficiency. In practice, everyone presents their ideas as win-win on an absolute basis, except for perhaps the very wealthy (little pity there). Admitting there will be trade-offs, winners and losers, seems a dominated strategy. As most people have instincts on the long... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Nov 2012 05:33 PM PST We consider $N$ Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected functionals of the proportion $L_N$ of variables in a given state converge at rate 1/N as $N\rightarrow \infty$. Based on these results, we propose a multi-level simulation algorithm using a family of sequences... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Nov 2012 05:33 PM PST A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by weighted heat kernels that are driven by multivariate Markov processes and that provide enough degrees of freedom in order to calibrate to relevant data, e.g.... Visit MoneyScience for the Complete Article.    |
| Research Library: Behavioral Finance in Joseph De La Vega’s Confusion De Confusiones Posted: 05 Nov 2012 09:04 AM PST M. Teresa Corzo Universidad Pontificia Comillas Margarita Prat affiliation not provided to SSRN Maria Esther Vaquero Lafuente affiliation not provided to SSRN Abstract In this paper, we link Joseph de la Vega’s work Confusion de Confusiones, written in 1688, with current behavioral finance and propose that Vega be considered the first precursor of modern behavioral finance. In addition... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Nov 2012 09:01 AM PST Andrew Odlyzko University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center Abstract The British Railway Mania of the 1840s was by many measures the greatest technology mania in history, and its collapse was one of the greatest financial crashes. It has attracted surprisingly little scholarly interest. In particular, it has not been noted that it provides a... Visit MoneyScience for the Complete Article.    |
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