Wednesday, January 23, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Money is meaningless

Posted: 23 Jan 2013 12:38 AM PST

I’ve blogged and presented about this subject many times before, so rather than repeating all that, here’s a summation with a new twist.read more...

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Blog Post: Falkenblog: A Happy Skewness Delusion

Posted: 22 Jan 2013 07:37 PM PST

There are several papers asserting that investors like positive skew to their returns. This is because empirically investors tend to be highly undiversified, and have a bias towards highly volatile stocks, and so they seem to want big lottery-type payoffs (incidentally, this is the exact opposite to what Nassim Taleb states is common, that people prefer payoffs that have high modes and low...

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Published / Preprint: Ergodicity and scaling limit of a constrained multivariate Hawkes process. (arXiv:1301.5007v1 [q-fin.CP])

Posted: 22 Jan 2013 05:35 PM PST

We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with respect to boundary conditions on a multidimensional constraint variable, whose evolution is driven by the point process. We study this process in the special...

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Published / Preprint: Bayesian Non-Parametric Portfolio Decisions with Financial Time Series. (arXiv:1301.5129v1 [q-fin.PM])

Posted: 22 Jan 2013 05:35 PM PST

A Bayesian non-parametric approach for efficient risk management is proposed. A dynamic model is considered where optimal portfolio weights and hedging ratios are adjusted at each period. The covariance matrix of the returns is described using an asymmetric MGARCH model. Restrictive parametric assumptions for the errors are avoided by relying on Bayesian non-parametric methods, which allow for a...

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Blog Post: ThePracticalQuant: Contest: Social Computing, Behavioral-Cultural Modeling, & Prediction

Posted: 22 Jan 2013 05:35 PM PST

This looks like a fun way to get hands-on experience with an interesting data set: Cell phones afford a convenient platform to advance the understanding of social dynamics and influence, because of their pervasiveness, sensing capabilities, and computational power. Many applications have emerged in recent years in mobile health, mobile banking, location based services, media democracy, and...

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Vendor News: SS&C GlobeOp Announces Release of TNR Solution 2013

Posted: 22 Jan 2013 06:02 AM PST