MoneyScience News |
- Blog Post: TheFinancialServicesClub: Bank trust is at an all time low
- Blog Post: PatrickBurns: The components garch model in the rugarch package
- Blog Post: WealthandCapitalMarketsBlog: 3.14.13: Celent Securities & Investments Webinar: Big Data in Capital Markets
- Vendor News: Make digital marketing a strategic priority: Key finding of new study from Infosys and EBG
- Blog Post: Falkenblog: Don't Renounce Instincts
- Published / Preprint: Conservation laws, financial entropy and the Eurozone crisis. (arXiv:1301.5974v1 [q-fin.GN])
- Published / Preprint: Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability. (arXiv:1301.6069v1 [q-fin.RM])
- Published / Preprint: Leverage-induced systemic risk under Basle II and other credit risk policies. (arXiv:1301.6114v1 [q-fin.RM])
- Published / Preprint: DebtRank-transparency: Controlling systemic risk in financial networks. (arXiv:1301.6115v1 [q-fin.RM])
- Published / Preprint: Modelling systemic cojumps with Hawkes factor models. (arXiv:1301.6141v1 [q-fin.ST])
| Blog Post: TheFinancialServicesClub: Bank trust is at an all time low Posted: 28 Jan 2013 01:34 AM PST I recently hosted a meeting of financial market players to talk about how to rebuild trust in banking. read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: PatrickBurns: The components garch model in the rugarch package Posted: 28 Jan 2013 01:24 AM PST How to fit and use the components model.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Jan 2013 11:21 PM PST Celent Senior Analyst Bill Fearnley, Jr.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Jan 2013 06:42 PM PST Digital marketing is firmly established within the business strategies of the majority of global organizations, with rising budgets and increased importance of multi-channel marketing driving impacts across the enterprise. These are the key findings of an in-depth report, “Unlocking Business Value from Digital Marketing†in France, by Infosys and EBG. Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Don't Renounce Instincts Posted: 27 Jan 2013 06:27 PM PST In this Bloggingheads video between Robert Wright and Buddhist Gary Weber, Weber notes that he has achieved such a state of bliss that he no longer feels that he care more about his daughters than other children. This he finds transcendent and logical. I think it's sad. As a child, I really liked the thought that my mom liked me more than others, and so... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Jan 2013 05:35 PM PST The report attempts of apply econophysics concepts to the Eurozone crisis. It starts by examining the idea of conservation laws as applied to market economies. It formulates a measure of financial entropy and gives numerical simulations indicating that this tends to rise. We discuss an analogue for free energy released during this process. The concepts of real and symbolic appropriation are... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Jan 2013 05:35 PM PST Based on the work of Suzuki (2002), we consider a generalization of Merton's asset valuation approach (Merton, 1974) in which two firms are linked by cross-ownership of equity and liabilities. Suzuki's results then provide no arbitrage prices of firm values, which are derivatives of exogenous asset values. In contrast to the Merton model, the assumption of lognormally distributed assets does not... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Jan 2013 05:35 PM PST We use a simple agent based model of value investors in financial markets to test three credit regulation policies. The first is the unregulated case, which only imposes limits on maximum leverage. The second is Basle II, which also imposes interest rate spreads on loans and haircuts on collateral, and the third is a hypothetical alternative in which banks perfectly hedge all of... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Jan 2013 05:35 PM PST Banks in the interbank network can not assess the true risks associated with lending to other banks in the network, unless they have full information on the riskiness of all the other banks. These risks can be estimated by using network metrics (for example DebtRank) of the interbank liability network which is available to Central Banks. With a simple agent based model we show that by increasing... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Jan 2013 05:35 PM PST Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of multiple cojumps, i.e. minutes in which a sizable number of stocks displays a discontinuity of the price process. We show that the dynamics of these jumps is not... Visit MoneyScience for the Complete Article.    |
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