MoneyScience News |
- Blog Post: TheFinancialServicesClub: Europe needs confidence and trust, but not Berlusconi
- Blog Post: TheAlephBlog: Two Insurance Questions
- Published / Preprint: Random Matrix Theory and Cross-correlations in Global Financial Indices and Local Stock Market Indices. (arXiv:1302.6305v1 [q-fin.ST])
- Published / Preprint: Realtime market microstructure analysis: online Transaction Cost Analysis. (arXiv:1302.6363v1 [q-fin.TR])
- Published / Preprint: Swing options in commodity markets: A multidimensional L\'evy diffusion model. (arXiv:1302.6399v1 [q-fin.PR])
- Published / Preprint: Signal amplification in an agent-based herding model. (arXiv:1302.6477v1 [physics.soc-ph])
- Published / Preprint: Asymptotic arbitrage in the Heston model. (arXiv:1302.6491v1 [q-fin.PR])
- Vendor News: Hanlon Investment Management Goes Live on SS&Câs Global Wealth Platform™
| Blog Post: TheFinancialServicesClub: Europe needs confidence and trust, but not Berlusconi Posted: 27 Feb 2013 01:14 AM PST I was asked to chair a debate about whether the Eurozone crisis was behind us last week, as per President Francois Hollande’s recent comments:read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Two Insurance Questions Posted: 26 Feb 2013 09:26 PM PST First question:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2013 05:35 PM PST We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT). We compared eigenvalues and components of the largest and the second largest eigenvectors of the cross-correlation matrix before, during, and after the global... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2013 05:35 PM PST Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading performance. It also gives theoretical foundations to a generic framework for real-time trading analysis. Academic literature provides different ways to formalize these... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2013 05:35 PM PST We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional L\'evy process. We set up a valuation model in terms of a dynamic programming problem where the option can be exercised continuously in time. Here, the number of swing rights is given by a total volume... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2013 05:35 PM PST A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies and a limited rationality. We extend a stochastic herding formalism introduced for the modeling of decision making among financial agents, in order to take also... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Asymptotic arbitrage in the Heston model. (arXiv:1302.6491v1 [q-fin.PR]) Posted: 26 Feb 2013 05:35 PM PST In the context of the Heston model, we establish a precise link between the set of equivalent martingale measures, the ergodicity of the underlying variance process and the concept of asymptotic arbitrage proposed in Kabanov-Kramkov and in Follmer-Schachermayer. Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2013 06:00 AM PST    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |