MoneyScience News |
- Blog Post: TheAlephBlog: The Education of an Investment Risk Manager, Part I
- Published / Preprint: Pivotal uniform inference in high-dimensional regression with random design in wide classes of models via linear programming. (arXiv:1303.7092v1 [math.ST])
- Published / Preprint: High-frequency market-making for multi-dimensional Markov processes. (arXiv:1303.7177v1 [q-fin.TR])
- Published / Preprint: A Map of the Brazilian Stock Market. (arXiv:1107.4146v2 [q-fin.ST] UPDATED)
- Blog Post: iMFdirect: Time for Change'Shifting Energy Spending in Africa
- Published / Preprint: Evidence on the Benefits of Alternative Mortgage Products
| Blog Post: TheAlephBlog: The Education of an Investment Risk Manager, Part I Posted: 28 Mar 2013 10:58 PM PDT This is likely to be the last series describing how I learned my skills that I still apply today. I hope you enjoy it.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 28 Mar 2013 05:30 PM PDT We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The method is based on linear programming only, so that its numerical implementation is faster than for previously known techniques using conic programs, and it... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Mar 2013 05:30 PM PDT In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model admits several state variables (e.g. market spread, stochastic volatility and intensities of market orders) provided the full system is Markov. The solution of the corresponding HJB equation is exact in the case of zero... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Map of the Brazilian Stock Market. (arXiv:1107.4146v2 [q-fin.ST] UPDATED) Posted: 28 Mar 2013 05:30 PM PDT We use the correlation matrix of stocks returns in order to create maps of the S\~ao Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analised using techniques of network... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Time for Change'Shifting Energy Spending in Africa Posted: 28 Mar 2013 06:19 AM PDT By Antoinette M. Sayehread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Evidence on the Benefits of Alternative Mortgage Products Posted: 28 Mar 2013 06:03 AM PDT Alternative mortgage products have been identified by many as culprits in the financial crisis. However, because of their lower initial mortgage payments relative to loan amount, they may be a valuable tool for households who expect higher and more certain future labor income, and who wish to smooth consumption over the life-cycle. Using U.K. household-level panel data, this paper provides... 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 | |