Thursday, February 7, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: We don't care about service ... but we do care about friction

Posted: 07 Feb 2013 04:43 AM PST

Talking of no-one giving a jot about customer service in banking, there is a subtle nuance here which I thought someone might have spotted or commented upon but …read more...

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Blog Post: TheAlephBlog: The Education of a Mortgage Bond Manager, Part IV

Posted: 06 Feb 2013 10:30 PM PST

I sat down this evening with my trading notebooks.  It was a reminiscence of 11-14 years in the past.  I may produce another chapter of “education of a corporate bond manager” from the books.  But it gave me a flavor of what I learned (rapidly) as a mortgage bond manager 1998-2001.  So let me share a few more bits of what I learned.read more...

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Blog Post: Falkenblog: Gazzaniga on Preferences

Posted: 06 Feb 2013 06:12 PM PST

Jonathan Haidt is now a popular speaker, having written two very good books (The Happiness Hypothesis and The Righteous Mind), but his books are really derivative of Michael Gazzaniga, the guy who really pioneered the right/left brain differences by looking at patients who had their corpus collosum.  Gazzaniga's book Who's in Charge is filled with interesting tidbits, and Haidt's...

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Published / Preprint: Efficient Markets, Behavioral Finance and a Statistical Evidence of the Validity of Technical Analysis. (arXiv:1302.1228v1 [q-fin.GN])

Posted: 06 Feb 2013 05:31 PM PST

This work tried to detect the existence of a relationship between the graphic signals - or patterns - observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study show evidence of the existence of such a relationship, suggesting the validity of the Technical Analysis...

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Published / Preprint: Critical reflexivity in financial markets: a Hawkes process analysis. (arXiv:1302.1405v1 [q-fin.ST])

Posted: 06 Feb 2013 05:31 PM 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...

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