MoneyScience News |
- Blog Post: TheFinancialServicesClub: Capitalism is dead, long live capitalism
- Research Library: High-Frequency Trading and the Execution Costs of Institutional Investors (pdf)
- Blog Post: Falkenblog: Don't Innovate Too Much
- Published / Preprint: DVA for Assets. (arXiv:1301.5425v1 [q-fin.PR])
- Published / Preprint: Model-independent no-arbitrage conditions on American put options. (arXiv:1301.5467v1 [q-fin.PR])
- Published / Preprint: Cash Flow Entropy. (arXiv:1301.5504v1 [q-fin.GN])
- Published / Preprint: A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. (arXiv:1301.5568v1 [math.PR])
- Blog Post: iMFdirect: We May Have Avoided the Cliffs, But We Still Face High Mountains
- Blog Post: WealthandCapitalMarketsBlog: IOSCO vs. SEC: one-all, ball in the centre
- Blog Post: TheAlephBlog: On Insurance Investing, Part 1
- SEC-mandated XBRL data at risk of being irrelevant to investors and analysts
- Vendor News: SS&C GlobeOp Forward Redemption Indicator
| Blog Post: TheFinancialServicesClub: Capitalism is dead, long live capitalism Posted: 24 Jan 2013 04:28 AM PST Following on from my previous two polemics:read more... Visit MoneyScience for the Complete Article.      |
| Research Library: High-Frequency Trading and the Execution Costs of Institutional Investors (pdf) Posted: 24 Jan 2013 04:21 AM PST H/T @CarlCarrie on Twitter Jonathan Brogaard, Terrence Hendershott, Stefan Hunt, Torben Latza, Lucas Pedace, Carla Ysusi FSA OCCASIONAL PAPERS IN FINANCIAL REGULATION While some institutional investors are concerned that high frequency trading increases the cost of investing, others suggest that high frequency trading has been beneficial, for example by creating more accurate and faster... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Don't Innovate Too Much Posted: 23 Jan 2013 08:25 PM PST Dick Thaler gives out some advice to econ students: My advice for young researchers at the start of their career is… Work on your own ideas, not your advisor’s ideas (or at least in addition to her ideas). I think this is bad advice. Kids love to think that they can do it all themselves in an Ayn Rand fantasy, independent of others. Yet, to succeed is to succeed socially, because... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: DVA for Assets. (arXiv:1301.5425v1 [q-fin.PR]) Posted: 23 Jan 2013 05:44 PM PST The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset whose value depends on the status, or existence, of the firm will have a DVA. We extend (Burgard and Kjaer 2011) to provide a hedging strategy for such assets and provide an in-depth example from the balance sheet... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jan 2013 05:44 PM PST We consider the pricing of American put options in a model-independent setting: that is, we do not assume that asset prices behave according to a given model, but aim to draw conclusions that hold in any model. We incorporate market information by supposing that the prices of European options are known. read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Cash Flow Entropy. (arXiv:1301.5504v1 [q-fin.GN]) Posted: 23 Jan 2013 05:43 PM PST In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information entropy as a natural measure of diversity. This leads to a hirarchical inequality measure, which includes the well-known Theil index as a special case, and a... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jan 2013 05:43 PM PST We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a model-independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a super-linearly growing payoff-function, e.g., a... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: We May Have Avoided the Cliffs, But We Still Face High Mountains Posted: 23 Jan 2013 01:49 PM PST read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: IOSCO vs. SEC: one-all, ball in the centre Posted: 23 Jan 2013 09:57 AM PST Yesterday the Securities and Exchange Commission (SEC) has issued a public statement concerning the publication by the International Organization of Securities Commissions (IOSCO) of the Final Report on “Suitability Requirements with respect to the Distribution of Complex Financial Products”, to underline they did not approve the final report and that they objected its... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Insurance Investing, Part 1 Posted: 23 Jan 2013 06:46 AM PST Shrinking the Share Countread more... Visit MoneyScience for the Complete Article.    |
| SEC-mandated XBRL data at risk of being irrelevant to investors and analysts Posted: 23 Jan 2013 06:42 AM PST In 2009, the Securities and Exchange Commission mandated that public companies submit portions of annual (10-K) and quarterly (10-Q) reports—in a digitized format known as eXtensible Business Reporting Language (XBRL). The goal of this type of data was to provide more relevant, timely, and reliable "interactive" data to investors and analysts. The XBRL-formatted data is meant to allow users... Visit MoneyScience for the Complete Article.    |
| Vendor News: SS&C GlobeOp Forward Redemption Indicator Posted: 23 Jan 2013 06:00 AM PST    |
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