MoneyScience News |
- Research Library: Dynamical Bias in the Coin Toss
- Blog Post: TheAlephBlog: Problems in Life Insurance
- Blog Post: TheFinancialServicesClub: A Banking Union? You must be joking!
- The Financial Education Daily is out! http://t.co/mgDaff68
- Blog Post: Falkenblog: New Low Vol Index
- Published / Preprint: Effect of detrending on multifractal characteristics. (arXiv:1212.0354v1 [physics.data-an])
- Published / Preprint: A note on estimating stochastic volatility and its volatility: a new simple method. (arXiv:1212.0380v1 [q-fin.GN])
- Published / Preprint: Maximum Entropy distributions of correlated variables with prespecified marginals. (arXiv:1212.0440v1 [cond-mat.stat-mech])
- Published / Preprint: Second-order BSDEs with general reflection and Dynkin games under uncertainty. (arXiv:1212.0476v1 [math.PR])
- Published / Preprint: Modeling non-stationarities in high-frequency financial time series. (arXiv:1212.0479v1 [q-fin.ST])
- Featured Book: The Future of Private Equity: Beyond the Mega Buyout - Mark Bishop http://t.co/h6gfkK2w @PalMacFinance
- Published / Preprint: 03Dec/Operationalising the selection and application of macroprudential instruments
- Research Library: High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market
- Video: A small shop in Delhi is being sued for photocopying academic textbooks for students http://t.co/uy5vhXRU
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @pattersonscott @mrodier @geonetworks
- RT @FuturICT: Olsen Ltd commits licensing software services and financial market #data to #FuturICT project. http://t.co/XsZ0WrIh (pdf)
| Research Library: Dynamical Bias in the Coin Toss Posted: 04 Dec 2012 02:21 AM PST Persi Diaconis, Susan Holmes, Richard Montgomery Abstract We analyze the natural process of flipping a coin which is caught in the hand. We prove that vigorously-flipped coins are biased to come up the same way they started. The amount of bias depends on a single parameter, the angle between the normal to the coin and the angular momentum vector. Measurements of this parameter based on... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Problems in Life Insurance Posted: 04 Dec 2012 01:54 AM PST I am not an FSA, but I am an actuary. That said, I am not presently practicing inside a life insurance company, so as I write this, there may be some things that I get wrong.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: A Banking Union? You must be joking! Posted: 03 Dec 2012 11:33 PM PST For the last decade, I’ve been a fan of the Eurozone. read more... Visit MoneyScience for the Complete Article.    |
| The Financial Education Daily is out! http://t.co/mgDaff68 Posted: 03 Dec 2012 11:32 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: New Low Vol Index Posted: 03 Dec 2012 07:31 PM PST This one is a bit too cute for me. The CBOE LOVOL Index combines a portfolio of SP 500 stocks and simultaneously selling SPX calls and buying one-month VIX 30-delta calls on a monthly basis. The LOVOL mix of VIX and SPX options reduces the chance of shortfalls below -10% but still preserves the bulk of market gains. By construction, the LOVOL delivers returns between the BXM and VXTH, or a... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 05:32 PM PST Different variants of MFDFA technique are applied in order to investigate various (artificial and real-world) time series. Our analysis shows that the calculated singularity spectra are very sensitive to the order of the detrending polynomial used within the MFDFA method. The relation between the width of the multifractal spectrum (as well as the Hurst exponent) and the order of the polynomial... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 05:32 PM PST We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series. Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 05:32 PM PST The problem of determining the joint probability distributions for correlated random variables with pre-specified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased" choice corresponds to the distribution of maximum entropy. The calculation of the maximum entropy distribution requires the solution of rather complicated... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 05:32 PM PST The aim of this paper is twofold. First, we extend the results of [32] concerning the existence and uniqueness of second-order reflected 2BSDEs to the case of upper obstacles. Then, under some regularity assumptions on one of the barriers, similar to the ones in [9], and when the two barriers are completely separated, we provide a complete wellposedness theory for doubly reflected second-order... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 05:32 PM PST We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We find that non-stationarities detected in other markets in the past are still there. Moreover, scaling properties reported in the previous literature for other high-frequency financial data are approximately valid as well. Finally, we propose a simple method for describing... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 08:29 AM PST BusinessSchools: Featured Book: The Future of Private Equity: Beyond the Mega Buyout - Mark Bishop http://t.co/h6gfkK2w @PalMacFinance Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 06:47 AM PST Press release about the CGFS releasing a report on "Operationalising the selection and application of macroprudential instruments", 03 December 2012 Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 06:36 AM PST Evangelos Benos and Satchit Sagade Abstract We analyse the intraday behaviour of high-frequency traders (HFTs) and its impact on aspects of market quality such as liquidity, price discovery and excess volatility. For that, we use a unique transactions data set for four UK stocks, over the period of a randomly selected week. Our data identifies the counterparties to each... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2012 05:01 AM PST BusinessSchools: Video: A small shop in Delhi is being sued for photocopying academic textbooks for students http://t.co/uy5vhXRU Visit MoneyScience for the Complete Article.    |
| Posted: 09 Oct 2012 05:53 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @pattersonscott @mrodier @geonetworks Visit MoneyScience for the Complete Article.    |
| Posted: 08 Oct 2012 07:32 AM PDT fin_tech: RT @FuturICT: Olsen Ltd commits licensing software services and financial market #data to #FuturICT project. http://t.co/XsZ0WrIh (pdf) Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |