MoneyScience News |
- Blog Post: TheFinancialServicesClub: Talking about Berlusconi, who's the richest politician in the world?
- Blog Post: TheAlephBlog: Six Years at the Aleph Blog!
- Blog Post: Falkenblog: Tom Brady Highlights Algorithm Deficiency
- Published / Preprint: The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles. (arXiv:1302.7010v1 [q-fin.PR])
- Published / Preprint: Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility. (arXiv:1302.7036v1 [q-fin.ST])
- Published / Preprint: Weak and strong no-arbitrage conditions for continuous financial markets. (arXiv:1302.7192v1 [q-fin.PR])
- Published / Preprint: An analytic multi-currency model with stochastic volatility and stochastic interest rates. (arXiv:1302.7246v1 [q-fin.PR])
- New Professor of Real Estate Finance
- Published / Preprint: Information Transmission Between Financial Markets in Chicago and New York
- Published / Preprint: Signal amplification in an agent-based herding model
- Published / Preprint: Predicting the Temporal Dynamics of Information Diffusion in Social Networks
- Published / Preprint: The Role of Information Diffusion in the Evolution of Social Networks
- Published / Preprint: Characterizing scientific production and consumption in Physics
- Call for Papers: "European Financial Management Association 2013 Annual Meetingâ http://t.co/YzMNM0nc
- Call for Papers: "Marie Curie ITN Conference on Financial Risk Management & Risk Reportingâ http://t.co/0JsVQIFY
- Call for Papers: WU Gutmann Center Symposium: "Sovereign Credit Risk and Asset Management" http://t.co/O0gwoU8x
- Call for book chapters: âCorporate Governance in Emerging Markets: Theories, Practices and Casesâ
| Posted: 01 Mar 2013 01:56 AM PST Having blogged previously about who is the richest royal (and it’s not our good old Queenie), I noted that French President Nicolas Sarkozy was blowing over $150 million a year on his lavish lifestyle at the time.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Six Years at the Aleph Blog! Posted: 28 Feb 2013 09:53 PM PST Thanks to all of my readers, whether you read me via RSS, e-mail, twitter, or natively at the website. But I have a favor to ask… if you read me elsewhere, drop by the site every now and then, because not all of my commentary gets republished by those that reprint my work. Also, not that we get a ton of comments at Aleph Blog, but I appreciate the quality of almost all of the comments... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Tom Brady Highlights Algorithm Deficiency Posted: 28 Feb 2013 06:37 PM PST The NFL combine is rather interesting, because predicting outcomes based on Moneyball-type inputs is very alluring. For everyone excited by some new statistic, there's another person who notes these don't capture what's most important. The answer, as usual, is to use both metrics and subjective expert analysis.An amusing new signal is an athlete's butt, the bigger the better. ... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2013 05:33 PM PST We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each underlying shows a volatility smile and is modeled according to a density-mixture dynamical model while the same property holds for the multivariate process of all assets, whose density is a mixture of multivariate basic densities. This allows to reconcile single name... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2013 05:33 PM PST The cusp catastrophe theory has been primarily developed as a deterministic theory for systems that may respond to continuous changes in a control variables by a discontinuous change. While most of the systems in behavioral sciences are subject to noise, and in behavioral finance moreover to time-varying volatility, it may be difficult to apply the theory in these fields. This paper addresses the... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2013 05:33 PM PST We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk. We provide a complete characterisation of all no-arbitrage conditions, linking their validity to the existence and to... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Feb 2013 05:33 PM PST We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed effciently through the FFT methodology thanks to the affinity of the model. A joint calibration exercise of the implied volatility surfaces... Visit MoneyScience for the Complete Article.    |
| New Professor of Real Estate Finance Posted: 28 Feb 2013 07:54 AM PST The ICMA Centre and the University of Reading are delighted to welcome Professor Sotiris Tsolacos who joins the Henley Business School as Professor of Real Estate Finance. Prof. Tsolacos joins us from Property & Portfolio Research, the world’s largest independent real estate research consultancy, with its headquarters in Boston. Prof. Tsolacos served the company as the Director of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Information Transmission Between Financial Markets in Chicago and New York Posted: 28 Feb 2013 05:00 AM 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: Signal amplification in an agent-based herding model Posted: 28 Feb 2013 05:00 AM 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: Predicting the Temporal Dynamics of Information Diffusion in Social Networks Posted: 28 Feb 2013 05:00 AM PST Online social networks play a major role in the spread of information at very large scale and it becomes essential to provide means to analyse this phenomenon. In this paper we address the issue of predicting the temporal dynamics of the information diffusion process. We develop a graph-based approach built on the assumption that the macroscopic dynamics of the spreading process are explained by... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Role of Information Diffusion in the Evolution of Social Networks Posted: 28 Feb 2013 04:59 AM PST Every day millions of users are connected through online social networks, generating a rich trove of data that allows us to study the mechanisms behind human interactions. Triadic closure has been treated as the major mechanism for creating social links: if Alice follows Bob and Bob follows Charlie, Alice will follow Charlie. Here we present an analysis of longitudinal micro-blogging data,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Characterizing scientific production and consumption in Physics Posted: 28 Feb 2013 04:59 AM PST We analyze the entire publication database of the American Physical Society generating longitudinal (50 years) citation networks geolocalized at the level of single urban areas. We define the knowledge diffusion proxy, and scientific production ranking algorithms to capture the spatio-temporal dynamics of Physics knowledge worldwide. By using the knowledge diffusion proxy we identify the key... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 07:03 AM PDT moneyscience: Call for Papers: “European Financial Management Association 2013 Annual Meeting†http://t.co/YzMNM0nc Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 07:03 AM PDT moneyscience: Call for Papers: “Marie Curie ITN Conference on Financial Risk Management & Risk Reporting†http://t.co/0JsVQIFY Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 07:03 AM PDT moneyscience: Call for Papers: WU Gutmann Center Symposium: “Sovereign Credit Risk and Asset Management" http://t.co/O0gwoU8x 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.    |
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