MoneyScience News |
- Blog Post: TheAlephBlog: Penny Wise, Pound Foolish
- Blog Post: TheFinancialServicesClub: Try to destroy yourself '¦ and then do it
- Blog Post: Falkenblog: Getting Back to Basics
- Published / Preprint: Compact Securities Markets for Pareto Optimal Reallocation of Risk. (arXiv:1301.3886v1 [cs.GT])
- Published / Preprint: Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary $1/f$ noise. Application to volatility fluctuations in stock markets. (arXiv:1301.4160v1 [q-fin.ST])
- Published / Preprint: Diversity and no arbitrage. (arXiv:1301.4173v1 [q-fin.PM])
- Published / Preprint: Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?. (arXiv:1301.4194v1 [q-fin.PM])
- Published / Preprint: Anticipatory Systems, Preferences, & Averages. (arXiv:1301.4207v1 [q-fin.GN])
- Blog Post: iMFdirect: The Ties That Bond Us: What Demand For Government Debt Can Tell Us About the Risks Ahead
- Research Library: The Trading Profits of High Frequency Traders
| Blog Post: TheAlephBlog: Penny Wise, Pound Foolish Posted: 18 Jan 2013 03:23 AM PST Some of the dumbest things I have seen in my life inside corporations revolve around incompetent managers, who don’t have the foggiest idea how to grow value organically, and use a variety of shortcuts or cheats to give an illusion of creating value by doing nothing. I have given a few examples in these two articles:read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Try to destroy yourself '¦ and then do it Posted: 18 Jan 2013 02:26 AM PST One of the panellists at this week’s conference said that he employed twenty people whose sole duty was to find a way to destroy the business.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Getting Back to Basics Posted: 17 Jan 2013 07:21 PM PST From Bloomberg:Chief Executive Officer Michael Corbat, said “We’ve got to get to a point where we stop destroying our shareholders’ capital.†At least he understands what they have been doing. If he's serious, why not start by selling the bank off into manageable parts? I just don't see how its possible to efficiently maximize a 2 trillion dollar bank, with 260k... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jan 2013 05:33 PM PST The emph{securities market} is the fundamental theoretical framework in economics and finance for resource allocation under uncertainty. Securities serve both to reallocate risk and to disseminate probabilistic information. emph{Complete} securities markets - which contain one security for every possible state of nature - support Pareto optimal allocations of risk. Complete markets suffer from... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jan 2013 05:33 PM PST In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval, are very close to continuous cascade models. These latter models are indeed well known to reproduce faithfully the main stylized facts of financial time... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Diversity and no arbitrage. (arXiv:1301.4173v1 [q-fin.PM]) Posted: 17 Jan 2013 05:33 PM PST A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy to construct diffusion models which are both diverse and free of arbitrage. Can one tell whether an observed diverse market admits arbitrage? read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jan 2013 05:33 PM PST Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a portfolio. In practice, it faces challenges by virtue of varying math. formulations, parameters, business constraints and complex financial instruments. Empirical... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jan 2013 05:33 PM PST Behavior of systems that are functions of anticipated behavior of other systems, whose own behavior is also anticipatory but homeostatic and determined by hierarchical ordering, which changes over time, of sets of possible environments that are not co-possible, is proven to be highly non-linear and sensitively dependent on precise parameters. Averages and other kinds of aggregates cannot be... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jan 2013 12:10 PM PST by Serkan Arslanalp and Takahiro Tsudaread more... Visit MoneyScience for the Complete Article.    |
| Research Library: The Trading Profits of High Frequency Traders Posted: 17 Jan 2013 08:41 AM PST Via The Big Picture Matthew Baron, Jonathan Brogaard and Andrei Kirilenko Abstract We examine the profitability of high frequency traders (HFTs). Using transaction level data with user identifications, we find that high frequency trading (HFT) is highly profitable: HFTs collectively earn over $23 million in trading profits in the E-mini S&P 500 futures contract during the month of August... Visit MoneyScience for the Complete Article.    |
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