MoneyScience News |
- Published / Preprint: Predictability on Complete Financial Markets
- Published / Preprint: Non-Stationarity in Financial Time Series and Generic Features
- Published / Preprint: Origins of power-law degree distribution in the heterogeneity of human activity in social networks
- Published / Preprint: DELTACON: A Principled Massive-Graph Similarity Function
- Published / Preprint: If cooperation is likely punish mildly: Insights from economic experiments based on the snowdrift game
- Vendor News: April 19, 2013 - SS&C GlobeOp Forward Redemption Indicator: April notifications 2.95%
- Blog Post: TheFinancialServicesClub: Things worth reading: 19th April 2013
- Blog Post: TheAlephBlog: At the Towson University Investment Group's International Market Summit, Part 3
- Published / Preprint: Schr\"odinger group and quantum finance. (arXiv:1304.4995v1 [q-fin.GN])
- Published / Preprint: A stochastic control approach to robust duality in utility maximization. (arXiv:1304.5040v1 [q-fin.PM])
- Published / Preprint: Central Clearing of OTC Derivatives: bilateral vs multilateral netting. (arXiv:1304.5065v1 [q-fin.RM])
- Published / Preprint: Non-Stationarity in Financial Time Series and Generic Features. (arXiv:1304.5130v1 [q-fin.ST])
- Published / Preprint: Option pricing, Bayes risks and Applications. (arXiv:1304.5156v1 [q-fin.PR])
- Prof. Adrian Bell meets future ICMA Centre students in Beijing
- Open Source Finance 2. OpenGamma, Risk Analytics and Next Generation Financial Technology
- Event: IMA Conference on Mathematics in Finance
| Published / Preprint: Predictability on Complete Financial Markets Posted: 19 Apr 2013 02:12 AM PDT The following fundamental properties are proved to be true if a financial market is exhaustive: (i) Every event which is measurable by the price history at time T is independent of G_t conditional on the current price history H_t, where G_t is a superset of H_t, (ii) every event which is measurable by G_t is independent of H_T conditional on H_t. These properties are especially useful for asset... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Non-Stationarity in Financial Time Series and Generic Features Posted: 19 Apr 2013 02:12 AM PDT Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe limitations for approaches in the spirit of standard equilibrium statistical mechanics and thermodynamics. Nevertheless, we show that there are similar generic... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Apr 2013 02:12 AM PDT The probability distribution of number of ties of an individual in a social network follows a scale-free power-law. However, how this distribution arises has not been conclusively demonstrated in direct analyses of people's actions in social networks. Here, we perform a causal inference analysis and find an underlying cause for this phenomenon. Our analysis indicates that heavy-tailed degree... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: DELTACON: A Principled Massive-Graph Similarity Function Posted: 19 Apr 2013 02:12 AM PDT How much did a network change since yesterday? How different is the wiring between Bob's brain (a left-handed male) and Alice's brain (a right-handed female)? Graph similarity with known node correspondence, i.e. the detection of changes in the connectivity of graphs, arises in numerous settings. In this work, we formally state the axioms and desired properties of the graph similarity functions,... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Apr 2013 01:47 AM PDT Punishment may deter antisocial behavior. Yet to punish is costly, and the costs often do not offset the gains that are due to elevated levels of cooperation. However, the effectiveness of punishment depends not only on how costly it is, but also on the circumstances defining the social dilemma. Using the snowdrift game as the basis, we have conducted a series of economic experiments to determine... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Apr 2013 01:10 AM PDT    |
| Blog Post: TheFinancialServicesClub: Things worth reading: 19th April 2013 Posted: 18 Apr 2013 10:51 PM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2013 09:30 PM PDT More questions not asked:read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Schr\"odinger group and quantum finance. (arXiv:1304.4995v1 [q-fin.GN]) Posted: 18 Apr 2013 05:50 PM PDT Using the one dimensional free particle symmetries, the quantum finance symmetries are obtained. Namely, it is shown that Black-Scholes equation is invariant under Schr\"odinger group. In order to do this, the one dimensional free non-relativistic particle and its symmetries are revisited. To get the Black-Scholes equation symmetries, the particle mass is identified as the inverse of square... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2013 05:50 PM PDT A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities: read more... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2013 05:50 PM PDT We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is determined by the tradeoff between multilateral netting across dealers on one hand and bilateral netting... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Apr 2013 05:50 PM PDT Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe limitations for approaches in the spirit of standard equilibrium statistical mechanics and thermodynamics. Nevertheless, we show that there are similar generic... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Option pricing, Bayes risks and Applications. (arXiv:1304.5156v1 [q-fin.PR]) Posted: 18 Apr 2013 05:50 PM PDT A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C Bayes (B-)price. The result provides new insight in option pricing, among others obtaining C for some stock-price models using the underlying probability instead... Visit MoneyScience for the Complete Article.    |
| Prof. Adrian Bell meets future ICMA Centre students in Beijing Posted: 18 Apr 2013 08:09 AM PDT The 32nd floor of the International Trade Centre in Beijing proved to be an excellent venue for the first welcome event for ICMA Centre students joining programmes in Reading in October 2013. The view from CafeXplus was amazing overlooking the ‘giant underpants’ building and stimulated informative conversations between our new students and alumni from the previous two years of our... Visit MoneyScience for the Complete Article.    |
| Open Source Finance 2. OpenGamma, Risk Analytics and Next Generation Financial Technology Posted: 18 Apr 2013 08:05 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Event: IMA Conference on Mathematics in Finance Posted: 24 Oct 2012 07:40 AM PDT Location: Edinburgh Conference Centre, Heriot-Watt University; Date: April 8th, 2013; One persistent theme in the history of mathematics is the close relationship between the subject and finance. From the Babylonians, through Fibonacci and then Stevin, Pascal, Fermat, Huygens, Bernoulli and Bachelier the development of mathematics has often been based on solving problems in finance.read... Visit MoneyScience for the Complete Article.    |
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