MoneyScience News

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• Blog Post: TheAlephBlog: On Equity Valuations
• Blog Post: TheFinancialServicesClub: Mobile's time has come
• Published / Preprint: Information Transmission Between Financial Markets in Chicago and New York. (arXiv:1302.5966v1 [q-fin.TR])
• Published / Preprint: Optimal dividends problem with a terminal value for spectrally positive Levy processes. (arXiv:1302.6011v1 [q-fin.PR])
• Published / Preprint: An Optimal Pairs-Trading Rule. (arXiv:1302.6120v1 [q-fin.PR])
• Published / Preprint: On The EU and Euro-zone Stability. (arXiv:1302.6212v1 [q-fin.GN])
• Blog Post: Falkenblog: The Spin-Off Anomaly
• Published / Preprint: Volatility polarization of non-specialized investors' heterogeneous activity
• Published / Preprint: Bridging stylized facts in finance and data non-stationarities
• Published / Preprint: Bimodality in the firm size distributions: a kinetic exchange model approach
• Published / Preprint: The transition towards immortality: non-linear autocatalytic growth of citations to scientific papers
• Published / Preprint: Trend prediction in temporal bipartite networks: the case of Movielens, Netflix, and Digg
• Published / Preprint: Graph and Network Theory in Physics. A Short Introduction
• Published / Preprint: On time-varying collaboration networks
• Published / Preprint: Early-warning signals of topological collapse in interbank networks
• Published / Preprint: Quantifying the effects of social influence
• Published / Preprint: Critical reflexivity in financial markets: a Hawkes process analysis
• Published / Preprint: Robust Hedging with Proportional Transaction Costs
• Published / Preprint: Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
• Published / Preprint: Representing Aggregate Belief through the Competitive Equilibrium of a Securities Market
• Published / Preprint: Bootstrap Methods for the Empirical Study of Decision-Making and Information Flows in Social Systems
• Published / Preprint: Confused Confusers: How to Stop Thinking Like an Economist and Start Thinking Like a Scientist
• Published / Preprint: Dynamics of Boltzmann Q learning in two-player two-action games
• Alchemy: Turning knowledge into action
• Blog Post: iMFdirect: Time For A Spring Cleaning: The Global Economy Will Thank You

Blog Post: TheAlephBlog: On Equity Valuations Posted: 26 Feb 2013 02:37 AM PST From a reader:read more... Visit MoneyScience for the Complete Article.

Blog Post: TheFinancialServicesClub: Mobile's time has come Posted: 26 Feb 2013 12:50 AM PST It’s the Mobile World Congress week this week, so everyone’s talking about mobile.read more... Visit MoneyScience for the Complete Article.

Published / Preprint: Information Transmission Between Financial Markets in Chicago and New York. (arXiv:1302.5966v1 [q-fin.TR]) Posted: 25 Feb 2013 05:36 PM PST High frequency trading has led to widespread efforts to reduce information propagation delays between physically distant exchanges. Using relativistically correct millisecond-resolution tick data, we document a 3-millisecond decrease in one-way communication time between the Chicago and New York areas that has occurred from April 27th, 2010 to August 17th, 2012. We attribute the first segment of... Visit MoneyScience for the Complete Article.

Published / Preprint: Optimal dividends problem with a terminal value for spectrally positive Levy processes. (arXiv:1302.6011v1 [q-fin.PR]) Posted: 25 Feb 2013 05:36 PM PST In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that the risk process is modeled by a general spectrally positive Levy process before dividends are deducted. Using the fluctuation theory of spectrally positive Levy processes we give an explicit expression of the value... Visit MoneyScience for the Complete Article.

Published / Preprint: An Optimal Pairs-Trading Rule. (arXiv:1302.6120v1 [q-fin.PR]) Posted: 25 Feb 2013 05:36 PM PST This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a pair to short the outperforming stock and to long the underperforming one. Such a strategy bets the "spread" between the two would eventually converge. In... Visit MoneyScience for the Complete Article.

Published / Preprint: On The EU and Euro-zone Stability. (arXiv:1302.6212v1 [q-fin.GN]) Posted: 25 Feb 2013 05:36 PM PST The aim of the present article is to offer a strictly mathematical, statistical treatment of the current account balances in EU and in the Eurozone. Based on Eurostat data, an overview of the total and annual balances is first made for different collections among the EU countries. Then, using the Mathematica technical computing software, curve fitting is employed to determine the functions which... Visit MoneyScience for the Complete Article.

Blog Post: Falkenblog: The Spin-Off Anomaly Posted: 25 Feb 2013 05:24 PM PST The straightforward strategy of buying companies that have recently been spun off from their parent has generated very good results.  Here's the performance of the Bloomberg Spin-Off index (BNSPIN Index) since 2003. As you can see, it's pretty good, a 15% annualized return vs a 6% for the S&P500 over that period. Volatility was higher but not extremely so (20% vs. 15%), while the beta... Visit MoneyScience for the Complete Article.

Published / Preprint: Volatility polarization of non-specialized investors' heterogeneous activity Posted: 25 Feb 2013 10:32 AM PST Financial markets provide an ideal frame for studying decision making in crowded environments. Both the amount and accuracy of the data allows to apply tools and concepts coming from physics that studies collective and emergent phenomena or self-organised and highly heterogeneous systems. We analyse the activity of 29,930 non-expert individuals that represent a small portion of the whole market... Visit MoneyScience for the Complete Article.

Published / Preprint: Bridging stylized facts in finance and data non-stationarities Posted: 25 Feb 2013 10:32 AM PST Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary paths of different length, we introduce a comprehensive analysis of the key observables in a financial market: the trading volume and the price fluctuations. From the segmentation procedure we are able to introduce a quantitative description of statistical features... Visit MoneyScience for the Complete Article.

Published / Preprint: Bimodality in the firm size distributions: a kinetic exchange model approach Posted: 25 Feb 2013 10:32 AM PST Firm growth process in the developing economies is known to produce divergence in their growth path giving rise to bimodality in the size distribution. Similar bimodality has been observed in wealth distribution as well. Here, we introduce a modified kinetic exchange model which can reproduce such features. In particular, we will show numerically that a nonlinear retention rate (or savings... Visit MoneyScience for the Complete Article.

Published / Preprint: The transition towards immortality: non-linear autocatalytic growth of citations to scientific papers Posted: 25 Feb 2013 10:32 AM PST We discuss microscopic mechanisms of complex network growth, with the special emphasis of how these mechanisms can be evaluated from the measurements on real networks. As an example we consider the network of citations to scientific papers. Contrary to common belief that its growth is determined by the linear preferential attachment, our microscopic measurements show that it is driven by the... Visit MoneyScience for the Complete Article.

Published / Preprint: Trend prediction in temporal bipartite networks: the case of Movielens, Netflix, and Digg Posted: 25 Feb 2013 10:32 AM PST Online systems where users purchase or collect items of some kind can be effectively represented by temporal bipartite networks where both nodes and links are added with time. We use this representation to predict which items might become popular in the near future. Various prediction methods are evaluated on three distinct datasets originating from popular online services (Movielens, Netflix,... Visit MoneyScience for the Complete Article.

Published / Preprint: Graph and Network Theory in Physics. A Short Introduction Posted: 25 Feb 2013 10:32 AM PST A book Chapter consisting of some of the main areas of research in graph theory applied to physics. It includes graphs in condensed matter theory, such as the tight-binding and the Hubbard model. It follows the study of graph theory and statistical physics by means of the analysis of the Potts model. Then, we consider the use of graph polynomials in solving Feynman integrals, graphs and... Visit MoneyScience for the Complete Article.

Published / Preprint: On time-varying collaboration networks Posted: 25 Feb 2013 10:32 AM PST The patterns of scientific collaboration have been frequently investigated in terms of complex networks without reference to time evolution. In the present work, we derive collaborative networks (from the arXiv repository) parameterized along time. By defining the concept of affine group, we identify several interesting trends in scientific collaboration, including the fact that the average size... Visit MoneyScience for the Complete Article.

Published / Preprint: Early-warning signals of topological collapse in interbank networks Posted: 25 Feb 2013 10:32 AM PST The financial crisis marked a paradigm shift, from traditional studies of individual risk to recent research on the "systemic risk" generated by whole networks of institutions. However, the reverse effects of realized defaults on network topology are poorly understood. Here we analyze the Dutch interbank network over the period 1998-2008, ending with the global crisis. We find that many... Visit MoneyScience for the Complete Article.

Published / Preprint: Quantifying the effects of social influence Posted: 25 Feb 2013 10:32 AM PST How do humans respond to indirect social influence when making decisions? We analysed an experiment where subjects had to repeatedly guess the correct answer to factual questions, while having only aggregated information about the answers of others. While the response of humans to aggregated information is a widely observed phenomenon, it has not been investigated quantitatively, in a controlled... Visit MoneyScience for the Complete Article.

Published / Preprint: Critical reflexivity in financial markets: a Hawkes process analysis Posted: 25 Feb 2013 10:32 AM PST We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short times, less than approximately 10^3 seconds, and crosses over to a second power-law regime with a larger decay exponent of approximately -1.45 for longer times... Visit MoneyScience for the Complete Article.

Published / Preprint: Robust Hedging with Proportional Transaction Costs Posted: 25 Feb 2013 10:32 AM PST Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static position in vanilla options which can be exercised at maturity. Only stock trading is subject to proportional transaction costs. The main theorem is duality... Visit MoneyScience for the Complete Article.

Published / Preprint: Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs Posted: 25 Feb 2013 10:32 AM PST We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible maturities. Our framework is well adapted to the study of no-arbitrage properties and related hedging problems. In particular, we extend the Fundamental Theorem of... Visit MoneyScience for the Complete Article.

Published / Preprint: Representing Aggregate Belief through the Competitive Equilibrium of a Securities Market Posted: 25 Feb 2013 10:32 AM PST We consider the problem of belief aggregation: given a group of individual agents with probabilistic beliefs over a set of uncertain events, formulate a sensible consensus or aggregate probability distribution over these events. Researchers have proposed many aggregation methods, although on the question of which is best the general consensus is that there is no consensus. We develop a... Visit MoneyScience for the Complete Article.

Published / Preprint: Bootstrap Methods for the Empirical Study of Decision-Making and Information Flows in Social Systems Posted: 25 Feb 2013 10:32 AM PST We characterize the statistical bootstrap for the estimation of information-theoretic quantities from data, with particular reference to its use in the study of large-scale social phenomena. Our methods allow one to preserve, approximately, the underlying axiomatic relationships of information theory---in particular, consistency under arbitrary coarse-graining---that motivate use of these... Visit MoneyScience for the Complete Article.

Published / Preprint: Confused Confusers: How to Stop Thinking Like an Economist and Start Thinking Like a Scientist Posted: 25 Feb 2013 10:32 AM PST The present paper takes it as an indisputable fact that subjective-behavioral thinking leads, for deeper methodological reasons, with inner necessity to inconclusive filibustering about the agents’ economic conduct and therefore has to be replaced by something fundamentally different. The key argument runs as follows: (a) the subjective-behavioral approach can not, as a matter of principle,... Visit MoneyScience for the Complete Article.

Published / Preprint: Dynamics of Boltzmann Q learning in two-player two-action games Posted: 25 Feb 2013 10:32 AM PST We consider the dynamics of Q learning in two-player two-action games with a Boltzmann exploration mechanism. For any nonzero exploration rate the dynamics is dissipative, which guarantees that agent strategies converge to rest points that are generally different from the game's Nash equlibria (NEs). We provide a comprehensive characterization of the rest point structure for different games and... Visit MoneyScience for the Complete Article.

Alchemy: Turning knowledge into action Posted: 25 Feb 2013 07:01 AM PST I’ve just been reading a blog on the Guardian website where a student is discussing whether the country’s education policy has the balance right – that she & her peers know a lot of stuff, but don’t know how to actually do much themselves.read more... Visit MoneyScience for the Complete Article.

Blog Post: iMFdirect: Time For A Spring Cleaning: The Global Economy Will Thank You Posted: 25 Feb 2013 05:27 AM PST read more... Visit MoneyScience for the Complete Article.

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