MoneyScience News |
- Blog Post: TheFinancialServicesClub: It's Thursday so the banks will open
- Published / Preprint: New: How Efficiency Shapes Market Impact
- Blog Post: Falkenblog: A New Low Vol Theory
- Published / Preprint: Two unconditionally implied parameters and volatility smiles and skews. (arXiv:1303.4847v1 [q-fin.CP])
- Published / Preprint: A Solution to Kolmogorov-Feller Equation and Pricing of Options. (arXiv:1303.4849v1 [math-ph])
- Published / Preprint: The Identification of Thresholds and Time Delay in Self-Exciting Threshold a Model by Wavelet. (arXiv:1303.4867v1 [math-ph])
- Blog Post: TheAlephBlog: Redacted Version of the March 2013 FOMC Statement
- Vendor News: Sabby Capital Confirms Confidence in SS&C GlobeOpâs Fund Administration Services
| Blog Post: TheFinancialServicesClub: It's Thursday so the banks will open Posted: 21 Mar 2013 02:32 AM PDT Theo Ousalotmoney: OK guys, time to open the bank.read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: New: How Efficiency Shapes Market Impact Posted: 20 Mar 2013 10:23 PM PDT We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large metaorders is smaller than that of small metaorders. We formulate a stylized model of an algorithmic... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: A New Low Vol Theory Posted: 20 Mar 2013 07:31 PM PDT Value and Size are common strategies based on the higher-than-average return to value and small cap stocks, and one can mention the value or size 'factor' that presumably causes this to happen without much explanation. It's a 'risk' factor to many, because small cap and value stocks generate statitical out-performance, which can only persist if there is risk associated with it. As to what... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Mar 2013 05:32 PM PDT The paper studies estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the risk-free interest rate. In reality, the risk free interest rate is unknown and need to be forecasted, because the option price depends on its future... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Mar 2013 05:32 PM PDT We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model. Visit MoneyScience for the Complete Article.    |
| Posted: 20 Mar 2013 05:32 PM PDT In this paper we studied about the wavelet identification of the thresholds and time delay for more general case without the constraint that the time delay is smaller than the order of the model. Here we composed an empirical wavelet from the SETAR (Self-Exciting Threshold Autoregressive) model and identified the thresholds and time delay in the model using it. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Redacted Version of the March 2013 FOMC Statement Posted: 20 Mar 2013 11:46 AM PDT January 2013March 2013CommentsInformation received since the Federal Open Market Committee met in December suggests that growth in economic activity paused in recent months, in large part because of weather-related disruptions and other transitory factors.Information received since the Federal Open Market Committee met in January suggests a return to moderate economic growth following a pause... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Mar 2013 06:03 AM PDT    |
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