MoneyScience News |
- Published / Preprint: Is There A Real Estate Bubble in Switzerland?
- Published / Preprint: Quantifying the Impact of Leveraging and Diversification on Systemic Risk
- Published / Preprint: Diving through the end of the business cycle. How to cope with exponential debt growth in linear revenue regimes
- Published / Preprint: Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe
- Published / Preprint: Inferring the origin of an epidemy with dynamic message-passing algorithm
- Published / Preprint: Do scientists trace hot topics?
- Published / Preprint: Model of complex networks based on citation dynamics
- Published / Preprint: The emergence and role of strong ties in time-varying communication networks
- Published / Preprint: 26Mar/Basel Committee issues consultative document on measuring and controlling large exposures
- Blog Post: TheFinancialServicesClub: The $4 million dollar man: CBA's CIO
- Blog Post: TheAlephBlog: On Stock versus Flow Measures in Valuation
- Published / Preprint: ARCO1: An Application of Belief Networks to the Oil Market. (arXiv:1303.5703v1 [cs.AI])
- Published / Preprint: Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise. (arXiv:1303.5809v1 [q-fin.ST])
- Published / Preprint: Feedback models and stability analysis of three economic paradigms. (arXiv:1303.5882v1 [q-fin.GN])
- Published / Preprint: Volatility Swap Under the SABR Model. (arXiv:1303.6090v1 [q-fin.PR])
- Published / Preprint: Diving through the end of the business cycle. How to cope with exponential debt growth in linear revenue regimes. (arXiv:1303.6183v1 [q-fin.GN])
- Published / Preprint: Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe. (arXiv:1303.6192v1 [q-fin.GN])
- Published / Preprint: Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks. (arXiv:0912.5013v1 [stat.ME] CROSS LISTED)
- Mr Emmanouil Platanakis
| Published / Preprint: Is There A Real Estate Bubble in Switzerland? Posted: 26 Mar 2013 03:33 AM PDT We have analyzed the risks of possible development of bubbles in the Swiss residential real estate market. The data employed in this work has been collected by comparis.ch, and carefully cleaned from duplicate records through a procedure based on supervised machine learning methods. The study uses the log periodic power law (LPPL) bubble model to analyze the development of asking prices of... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Quantifying the Impact of Leveraging and Diversification on Systemic Risk Posted: 26 Mar 2013 03:23 AM PDT Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be considered independent. Based on the structural framework by Merton (1974), we discuss a model in which these correlations arise from overlaps in banks' portfolios.... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2013 03:23 AM PDT Compound interest as well as inflation grows exponentially with time, whereas other means to repay debt grow polynomially. For this and other, mostly political, reasons, debt without inflation is unsustainable. We suggest a discontinuous way to eliminate debt by nullifying it. Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2013 03:23 AM PDT In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the performance of these two regimes in terms of the relationship between inflation,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Inferring the origin of an epidemy with dynamic message-passing algorithm Posted: 26 Mar 2013 03:23 AM PDT We study the problem of estimating the origin of an epidemic outbreak -- given a contact network and a snapshot of epidemic spread at a certain time, determine the infection source. Finding the source is important in different contexts of computer or social networks. We assume that the epidemic spread follows the most commonly used susceptible-infected-recovered model. We introduce an inference... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Do scientists trace hot topics? Posted: 26 Mar 2013 03:23 AM PDT Do scientists follow hot topics in their scientific investigations? In this paper, by performing analysis to papers published in the American Physical Society (APS) Physical Review journals, it is found that papers are more likely to be attracted by hot fields, where the hotness of a field is measured by the number of papers belonging to the field. This indicates that scientists generally do... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Model of complex networks based on citation dynamics Posted: 26 Mar 2013 03:23 AM PDT Complex networks of real-world systems are believed to be controlled by common phenomena, producing structures far from regular or random. These include scale-free degree distributions, small-world structure and assortative mixing by degree, which are also the properties captured by different random graph models proposed in the literature. However, many (non-social) real-world networks are in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The emergence and role of strong ties in time-varying communication networks Posted: 26 Mar 2013 03:23 AM PDT In most social, information, and collaboration systems the complex activity of agents generates rapidly evolving time-varying networks. Temporal changes in the network structure and the dynamical processes occurring on its fabric are usually coupled in ways that still challenge our mathematical or computational modelling. Here we analyse a mobile call dataset describing the activity of millions... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Mar 2013 02:58 AM PDT Press release about "Basel Committee issues consultative document on measuring and controlling large exposures" (26 March 2013) Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The $4 million dollar man: CBA's CIO Posted: 26 Mar 2013 02:09 AM PDT Time to head home after a day in India at the launch of the new design centre for finance launched by Polaris Financial Technology in Chennai (Madras for the old folks out there).read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Stock versus Flow Measures in Valuation Posted: 25 Mar 2013 11:54 PM PDT In valuing companies or indexes, one must look at the earnings or cash flow statements, and the balance sheet. The former are flow measures, measuring performance over a period, versus the balance sheet which attempts to measure the value of the company on an amortized cost basis (with varying accuracy).read more... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Mar 2013 05:40 PM PDT Belief networks are a new, potentially important, class of knowledge-based models. ARCO1, currently under development at the Atlantic Richfield Company (ARCO) and the University of Southern California (USC), is the most advanced reported implementation of these models in a financial forecasting setting. ARCO1's underlying belief network models the variables believed to have an impact on the crude... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Mar 2013 05:40 PM PDT In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are studied. Our proposed estimator is compared with the existing popular volatility estimators via numerical studies. The results show that our estimator can have... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Mar 2013 05:40 PM PDT In this paper, simple mathematical models from Control Theory are applied to three very important economic paradigms, namely (a) minimum wages in self-regulating markets, (b) market-versus-true values and currency rates, and (c) government spending and taxation levels. Analytical solutions are provided in all three paradigms and some useful conclusions are drawn in terms of variable analysis.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Volatility Swap Under the SABR Model. (arXiv:1303.6090v1 [q-fin.PR]) Posted: 25 Mar 2013 05:40 PM PDT The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is found. The solution is then verified using Rama Cont's functional calculus. Visit MoneyScience for the Complete Article.    |
| Posted: 25 Mar 2013 05:40 PM PDT Compound interest as well as inflation grows exponentially with time, whereas other means to repay debt grow polynomially. For this and other, mostly political, reasons, debt without inflation is unsustainable. We suggest a discontinuous way to eliminate debt by nullifying it. Visit MoneyScience for the Complete Article.    |
| Posted: 25 Mar 2013 05:40 PM PDT In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the performance of these two regimes in terms of the relationship between inflation,... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Mar 2013 05:40 PM PDT Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many economic and financial applications, such as conditional value-at-risk, production efficiency, and adjustment... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Mar 2013 09:27 AM PDT Emmanouil graduated from the school of Mathematics at the University of Southampton with an MSc in Operational Research with Finance (ORF) in 2012. He studied under a partial scholarship from EPSRC (RCUK) and graduated with distinction, ranked in the top 3% of his class. His specialization was in robust and stochastic portfolio optimization and in equilibrium modelling while his MScContinue... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |