MoneyScience News |
- Blog Post: emotionalfinance: Lions and lion-shaped bushes in financial markets: traders' expertise in emotion regulation
- Profiting from Monetary Policy: Investing through the Business Cycle - An interview with Thomas Aubrey
- On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets
- Blog Post: TheFinancialServicesClub: Banks can haz cheezburger
- Published / Preprint: Inferring Social Rank in an Old Assyrian Trade Network
- Published / Preprint: Bubbles, Jumps, and Scaling from Properly Anticipated Prices
- Published / Preprint: Econophysics of adaptive power markets: When a market does not dampen fluctuations but amplifies them
- Published / Preprint: Dynamics and Spatial Distribution of Global Nighttime Lights
- Blog Post: TheAlephBlog: Neglected Stocks Are Typically in Strong Hands
- Blog Post: Falkenblog: Taking Offense is not Righteous
- Published / Preprint: Dynamical Trading Mechanism in Limit Order Markets. (arXiv:1303.3133v1 [q-fin.TR])
- Published / Preprint: The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (arXiv:1303.3148v1 [q-fin.PM])
- Published / Preprint: Exact and high order discretization schemes for Wishart processes and their affine extensions. (arXiv:1006.2281v2 [math.PR] UPDATED)
- Vendor News: SS&C Announces Sale of Common Stock by Selling Stockholders
| Posted: 14 Mar 2013 04:47 AM PDT Fight or flight Massai (Photo credit: Wikipedia)read more... Visit MoneyScience for the Complete Article.      |
| Posted: 14 Mar 2013 03:25 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets Posted: 14 Mar 2013 02:46 AM PDT This paper employs a probit model using information from the Conference Board Leading Indicator series to detect the turning points in four key US commercial rents series. We find that both the optimally chosen and simpler models based on the leading indicator have considerable power to predict changes in the direction of commercial rents up to two years ahead, exhibitingContinue reading Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Banks can haz cheezburger Posted: 14 Mar 2013 01:47 AM PDT I’m not even at South by South West, or SXSW as it’s known by its hashtag on twitter, and yet I know what it’s all about. For all you folks wrapped up in SEPA, EMIR, the PSD, Banking unions, bonus caps, the Banking Reform Bill etc, this may seem to have zero relevance to you or your banking lives, but I assure you it does.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Inferring Social Rank in an Old Assyrian Trade Network Posted: 14 Mar 2013 01:36 AM PDT We present work in jointly inferring the unique individuals as well as their social rank within a collection of letters from an Old Assyrian trade colony in K\"ultepe, Turkey, settled by merchants from the ancient city of Assur for approximately 200 years between 1950-1750 BCE, the height of the Middle Bronze Age. Using a probabilistic latent-variable model, we leverage pairwise social... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bubbles, Jumps, and Scaling from Properly Anticipated Prices Posted: 14 Mar 2013 01:27 AM PDT Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws similar to, for example, turbulent fluids. They are believed to reflect the complex interactions of heterogenous agents which give rise to irrational herding.... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2013 01:27 AM PDT The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive notion is to dampen electric power fluctuations from fluctuating sources (as e.g. wind or solar) via a market mechanism, namely by variable power prices that adapt... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dynamics and Spatial Distribution of Global Nighttime Lights Posted: 14 Mar 2013 01:27 AM PDT Using open source data, we observe the fascinating dynamics of nighttime light. Following a global economic regime shift, the planetary center of light can be seen moving eastwards at a pace of about 60 km per year. Introducing spatial light Gini coefficients, we find a universal pattern of human settlements across different countries and see a global centralization of light. Observing 160... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Neglected Stocks Are Typically in Strong Hands Posted: 13 Mar 2013 10:01 PM PDT Neglected stocks — I measure it by the ratio of market cap to average dollar volume. 15% of my portfolio is allocated to such stocks, but I would be happy for it to be 50%, if not more. Many of my companies have a single large holder or group — Industrias Bachoco, National Western Life Insurance Company, CVR Energy, and Berkshire Hathaway. These companies have few analysts; there... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Taking Offense is not Righteous Posted: 13 Mar 2013 07:03 PM PDT Curiously, a former definition of impoliteness has become a new focal point for all sorts of political and psychological offense. I remember Miss Manners noting that politeness has two, related, sides: not giving or taking unintentional offense. That's clearly old school. There seems to be a public bounty of perceiving slights, and lots of columnists appear to be full-time... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2013 05:37 PM PDT This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of trading processes, which is critical in the dynamics of bid-ask pairs and the switching laws between different traders' types and their orders. In general, after... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2013 05:37 PM PDT We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small transaction costs, we derive simple formal asymptotics for the optimal policy and welfare. These reveal the roles of the investors' preferences as well as the market... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2013 05:37 PM PDT This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use composition techniques as Ninomiya and Victoir or Alfonsi. Doing so, we have found a remarkable splitting for Wishart processes that enables us to sample exactly Wishart distributions, without any... Visit MoneyScience for the Complete Article.    |
| Vendor News: SS&C Announces Sale of Common Stock by Selling Stockholders Posted: 13 Mar 2013 02:36 PM PDT    |
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