MoneyScience News |
- Blog Post: TheFinancialServicesClub: 2013 Big Bank Resolutions
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @ColumbiaBizNews @McGillU @UBCMBA
- Published / Preprint: Trading networks, abnormal motifs and stock manipulation. (arXiv:1301.0007v1 [q-fin.TR])
- Published / Preprint: The effect of debt on corporate profitability : Evidence from French service sector. (arXiv:1301.0072v1 [q-fin.GN])
- Published / Preprint: Robust Optimal Stopping under Volatility Uncertainty. (arXiv:1301.0091v1 [math.PR])
- Published / Preprint: On Reduced Form Intensity-based Model with Trigger Events. (arXiv:1301.0109v1 [q-fin.CP])
- Published / Preprint: On Infectious Model for Dependent Defaults. (arXiv:1301.0186v1 [q-fin.RM])
- Published / Preprint: Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. (arXiv:1301.0280v1 [q-fin.PM])
- Published / Preprint: Reflected Backward Stochastic Difference Equations with Finite State and their applications. (arXiv:1001.3054v5 [math.PR] UPDATED)
- Published / Preprint: Ising-like agent-based technology diffusion model: adoption patterns vs. seeding strategies. (arXiv:1011.3834v2 [physics.soc-ph] UPDATED)
- Blog Post: iMFdirect: For Your Eyes Only: Three Jobs Not to Defer in 2013
- .@icmacentre: Well I wasnât expecting that. http://t.co/RRBP4lqf
- Santa Fe Institute's Open Program 'Introduction to Complexity' Course http://t.co/xBAPWSCy starts Jan 28 @sfi_news
- The Gamification of Business School - http://t.co/Q8J6AQVr
- Research Library: Boys will be boys: Gender, Overconfidence, and Common Stock Investment (2001, pdf)
- Blog Post: Falkenblog: Buy AAPL
- Simons Institute for the Theory of Computing Program: Theoretical Foundations of Big Data Analysis 22 Aug - 20 Dec http://t.co/xfrorP3J
- Published / Preprint: Investigating Power Laws in Hurricane Damages
- Well I wasnât expecting that.
- Research Library: Carry Trade and Systemic Risk: Why are FX Options So Cheap?
- Research Library: The Inefficient Markets Hypothesis: Why Financial Markets do not work well in the Real World (pdf)
- Call for book chapters: âCorporate Governance in Emerging Markets: Theories, Practices and Casesâ
- Call for Papers: Conference on Currency Trading and Risk Premia - Oxford Man Institute of #Quant Finance @OxManInst http://t.co/1T1lMioi
- Intel and OnX Announce Social Media Hub for the Finteligent Trading Technology Community
| Blog Post: TheFinancialServicesClub: 2013 Big Bank Resolutions Posted: 03 Jan 2013 03:40 AM PST Trust y’all had a super break and then suddenly here we are in 2013.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 02 Jan 2013 11:31 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @ColumbiaBizNews @McGillU @UBCMBA Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 05:31 PM PST We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network consists of nodes and directed links, where every trader is a node and a link is formed from one trader to the other if the former sells shares to the latter. Specifically, three abnormal network motifs are investigated,... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 05:31 PM PST Current study aims to provide new empirical evidence on the impact of debt on corporate profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency cost theory. Using panel data sample of 2240 French non listed companies of service sector during 1999-2006. By utilizing generalized method of moments (GMM) econometric technique on three... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 05:31 PM PST We analyze a robust optimal stopping problem when there is volatility uncertainty. This is a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off against an adverse player which tries to minimize this payoff by choosing the probability measure by from a set of measures which are not necessarily equivalent. In particular, we analyze the upper Snell envelope... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 05:31 PM PST Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a new type of reduced-form intensity-based model that can incorporate the impacts of both observable "trigger" events and economic environment on corporate... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On Infectious Model for Dependent Defaults. (arXiv:1301.0186v1 [q-fin.RM]) Posted: 02 Jan 2013 05:31 PM PST In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of two sectors is in both direction, which enrich dependence dynamics. The Bayesian Information Criterion is adopted to compare the proposed model with the two-sector model in credit literature using the real data. We find... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 05:31 PM PST We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random trading times. To overcome the difficulties of the problem we use the dual approach. We define a dual problem and treat it by means of dynamic programming,... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 05:31 PM PST In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method. The connections between FS-RBSDEs and optimal stopping time problems are investigated and we also show that the optimal stopping problems with multiple priors... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 05:31 PM PST The well-known Ising model used in statistical physics was adapted to a social dynamics context to simulate the adoption of a technological innovation. The model explicitly combines (a) an individual's perception of the advantages of an innovation and (b) social influence from members of the decision-maker's social network. The micro-level adoption dynamics are embedded into an agent-based model... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: For Your Eyes Only: Three Jobs Not to Defer in 2013 Posted: 02 Jan 2013 03:01 PM PST By David Liptonread more... Visit MoneyScience for the Complete Article.    |
| .@icmacentre: Well I wasnât expecting that. http://t.co/RRBP4lqf Posted: 02 Jan 2013 11:40 AM PST BusinessSchools: .@icmacentre: Well I wasnât expecting that. http://t.co/RRBP4lqf Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 08:00 AM PST BusinessSchools: Santa Fe Institute's Open Program 'Introduction to Complexity' Course http://t.co/xBAPWSCy starts Jan 28 @sfi_news Visit MoneyScience for the Complete Article.    |
| The Gamification of Business School - http://t.co/Q8J6AQVr Posted: 02 Jan 2013 07:02 AM PST BusinessSchools: The Gamification of Business School - http://t.co/Q8J6AQVr Visit MoneyScience for the Complete Article.    |
| Research Library: Boys will be boys: Gender, Overconfidence, and Common Stock Investment (2001, pdf) Posted: 02 Jan 2013 06:54 AM PST Brad M Barber and Terrance Odean Abstract Theoretical models predict that overconfident investors trade excessively. We test this prediction by partitioning investors on gender. Psychological research demonstrates that, in areas such as finance, men are more overconfident than women. Thus, theory predicts that men will trade more excessively than women. Using account data for over... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Buy AAPL Posted: 02 Jan 2013 06:34 AM PST With the VIX at lows, and central banks across the globe printing money at breakneck pace, it seems a great time to be long equities. Not that I think this is good for the long run, but for at least a couple years this should be great for equities.Specifically, Apple has decline 25% from its peak in September, probably due to investors with large gains taking their capital gains before 2013 when... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 06:20 AM PST BusinessSchools: Simons Institute for the Theory of Computing Program: Theoretical Foundations of Big Data Analysis 22 Aug - 20 Dec http://t.co/xfrorP3J Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Investigating Power Laws in Hurricane Damages Posted: 02 Jan 2013 06:19 AM PST Recent research indicates that the energy generated by hurricanes follows a power law distribution. We hypothesize that economic damages caused by hurricanes also follow a power law distribution. Using yearly hurricane damage data from 1900-2005 we show that the distribution of yearly damages due to hurricanes in the US may follow either a power law or lognormal distribution. Furthermore, if the... Visit MoneyScience for the Complete Article.    |
| Well I wasnât expecting that. Posted: 02 Jan 2013 05:16 AM PST The festive holidays have given me the chance to catch up on movies I’ve missed, and rewatch others. Â Two of those I’ve rewatched (Quantum of Solace & Thor) were much better than I remembered, one of those I’ve caught up on (Prometheus) wasn’t as bad as I’d been lead to believe.read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Carry Trade and Systemic Risk: Why are FX Options So Cheap? Posted: 02 Jan 2013 05:12 AM PST Ricardo J. Caballero Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER) Joseph B. Doyle Cornerstone Research December 5, 2012 MIT Department of Economics Working Paper No. 12-28 Abstract In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jan 2013 05:00 AM PST Roger E.A. Farmer, Carine Nourry, Alain Venditti Abstract Existing literature continues to be unable to offer a convincing explanation for the volatility of the stochastic discount factor in real world data. Our work provides such an explanation. We do not rely on frictions, market incompleteness or transactions costs of any kind. Instead, we modify a simple stochastic representative agent... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 05:57 AM PDT To be published by Springer Verlag, 2013read more... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 05:48 AM PDT moneyscience: Call for Papers: Conference on Currency Trading and Risk Premia - Oxford Man Institute of #Quant Finance @OxManInst http://t.co/1T1lMioi Visit MoneyScience for the Complete Article.    |
| Intel and OnX Announce Social Media Hub for the Finteligent Trading Technology Community Posted: 24 Oct 2012 04:32 AM PDT TORONTO, Ontario and New York, NY, October 23, 2012 – read more... Visit MoneyScience for the Complete Article.    |
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