MoneyScience News |
- Blog Post: TheFinancialServicesClub: Good news for all banks '¦ except Britainâs
- Blog Post: TheAlephBlog: The Education of a Mortgage Bond Manager, Part V
- Published / Preprint: Representing Aggregate Belief through the Competitive Equilibrium of a Securities Market. (arXiv:1302.1564v1 [cs.AI])
- Published / Preprint: On the Robust superhedging of measurable claims. (arXiv:1302.1850v1 [q-fin.PR])
- Blog Post: rob_daly: Low-Latency Zeptonics Mired in Legal Woes
- Published / Preprint: Reverse Survivorship Bias
- Published / Preprint: How Wise Are Crowds? Insights from Retail Orders and Stock Returns
- Published / Preprint: RISK METRICS AND FINE TUNING OF HIGHâFREQUENCY TRADING STRATEGIES
- Published / Preprint: TIMEâCONSISTENT AND MARKETâCONSISTENT EVALUATIONS
- Published / Preprint: ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
- Published / Preprint: ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
- Published / Preprint: PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS
- One Rule for One, Another for Another
| Blog Post: TheFinancialServicesClub: Good news for all banks '¦ except Britainâs Posted: 08 Feb 2013 04:23 AM PST I mentioned that I’d just attended the branding in banking conference this week. It was organised by the Banker Magazine, and is in its seventh year of operation.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: The Education of a Mortgage Bond Manager, Part V Posted: 07 Feb 2013 10:50 PM PST Sometimes you have to do odd stuff for your client. My boss and I were asked to come to a client meeting where there would be games (and a dopey speaker, I will leave that out). As it was I found myself in a game where the one who moves his feet amid pushing loses. I came in 4th (amid 60), I eventually lost to the tax guy… a very clever guy who should never be underestimated. I... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Feb 2013 05:41 PM 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... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Feb 2013 05:40 PM PST The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics. Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: Low-Latency Zeptonics Mired in Legal Woes Posted: 07 Feb 2013 03:28 PM PST Low-Latency Zeptonics Mired in Legal Woesread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Reverse Survivorship Bias Posted: 07 Feb 2013 11:43 AM PST Mutual funds often disappear following poor performance. When this poor performance is partly attributable to negative idiosyncratic shocks, funds’ estimated alphas understate their true alphas. This paper estimates a structural model to correct for this bias. Although most funds still have negative alphas, they are not nearly as low as those suggested by the fund-by-fund regressions.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: How Wise Are Crowds? Insights from Retail Orders and Stock Returns Posted: 07 Feb 2013 11:43 AM PST We analyze the role of retail investors in stock pricing using a database uniquely suited for this purpose. The data allow us to address selection bias concerns and to separately examine aggressive (market) and passive (limit) orders. Both aggressive and passive net buying positively predict firms’ monthly stock returns with no evidence of return reversal. Only aggressive orders correctly... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: RISK METRICS AND FINE TUNING OF HIGHâFREQUENCY TRADING STRATEGIES Posted: 07 Feb 2013 09:57 AM PST We propose risk metrics to assess the performance of highâ€frequency (HF) trading strategies that seek to maximize profits from making the realized spread where the holding period is extremely short (fractions of a second, seconds, or at most minutes). The HF trader maximizes expected terminal wealth and is constrained by both capital and the amount of inventory that she can hold at any time.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: TIMEâCONSISTENT AND MARKETâCONSISTENT EVALUATIONS Posted: 07 Feb 2013 09:45 AM PST We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new marketâ€consistent... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS Posted: 07 Feb 2013 09:45 AM PST We develop a theory of robust pricing and hedging of a weighted variance swap given market prices for a finite number of coâ€maturing put options. We assume the put option prices do not admit arbitrage and deduce noâ€arbitrage bounds on the weighted variance swap along with super†and subâ€replicating strategies that enforce them. We find that market quotes for variance swaps are... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Feb 2013 09:45 AM PST We study the optimal investment problem for a behavioral investor in an incomplete discreteâ€time multiperiod financial market model. For the first time in the literature, we provide easily verifiable and interpretable conditions for wellâ€posedness. Under two different sets of assumptions, we also establish the existence of optimal strategies.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS Posted: 07 Feb 2013 09:45 AM PST Several approximations have been proposed in the literature for the pricing of Europeanâ€style swaptions under multifactor term structure models. However, none of them provides an estimate for the inherent approximation error. Until now, only the Edgeworth expansion technique of Collinâ€Dufresne and Goldstein is able to characterize the order of the approximation error. Under a multifactor HJM... Visit MoneyScience for the Complete Article.    |
| One Rule for One, Another for Another Posted: 07 Feb 2013 07:58 AM PST I was chatting to a zookeeper last night which is not something I’ve ever been able to type before. Â She spent one day per week volunteering at the zoo whilst taking her zoology degree, and she must have impressed everyone because she was asked to join full time a few months after graduation.read more... Visit MoneyScience for the Complete Article.    |
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