MoneyScience News |
- Blog Post: TheAlephBlog: The Education of an Investment Risk Manager, Part IV
- Blog Post: TheFinancialServicesClub: 400 years of boom and bust
- Blog Post: Falkenblog: Chimps are Status Obsessed
- Published / Preprint: Do wealth distributions follow power laws? Evidence from "rich lists". (arXiv:1304.0212v1 [q-fin.ST])
- Published / Preprint: Why Your IT Project Might Be Riskier Than You Think. (arXiv:1304.0265v1 [q-fin.GN])
- Published / Preprint: An Information-Theoretic Test for Dependence with an Application to the Temporal Structure. (arXiv:1304.0353v1 [q-fin.ST])
- Published / Preprint: An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals. (arXiv:1304.0368v1 [math.PR])
- Published / Preprint: A Mathematical Approach to Order Book Modeling. (arXiv:1010.5136v4 [q-fin.TR] UPDATED)
- Blog Post: iMFdirect: Make the Most of What You've Got: Small States in the Spotlight
- Published / Preprint: Product Market Threats, Payouts, and Financial Flexibility
- Blog Post: PatrickBurns: A pictorial history of US large cap correlation
| Blog Post: TheAlephBlog: The Education of an Investment Risk Manager, Part IV Posted: 02 Apr 2013 01:23 AM PDT One day, when I was least expecting it, the Spanish Inquisition arrived, otherwise known as internal audit.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: 400 years of boom and bust Posted: 02 Apr 2013 01:11 AM PDT I just had a quick tour of the British Museum inspired by an article I read in The Telegraph about their exhibition of British bubbles and bankruptcies. read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Chimps are Status Obsessed Posted: 01 Apr 2013 08:12 PM PDT In this TED talk by Colin Camerer, he notes that chimps are human's closest cousins. They are also status obsessed. In contrast, the concept of wealth is totally foreign to a chimp, as property rights aren't something they can really handle.In my book, the Missing Risk Premium, I argue the fundamental status orientation is why there is no risk premium in general, and why the perverse demand... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2013 05:37 PM PDT We use data on wealth of the richest persons taken from the "rich lists" provided by business magazines like Forbes to verify if upper tails of wealth distributions follow, as often claimed, a power-law behaviour. The data sets used cover the world's richest persons over 1996-2012, the richest Americans over 1988-2012, the richest Chinese over 2006-2012 and the richest Russians over 2004-2011.... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2013 05:37 PM PDT New research shows surprisingly high numbers of out-of-control tech projects - ones that can sink entire companies and careers. Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2013 05:37 PM PDT Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that time series data can usefully be studied as information -- by noting the relationship between statistical redundancy and dependence, we are able to use the... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2013 05:37 PM PDT We propose an iterated Azema-Yor type embedding in the spirit of [Azema and Yor, 1979] and [Brown et al., 2001] for any given finite number n of probability measures which are in convex order and satisfy an additional technical assumption. In particular, our construction reproduces the stopping boundaries obtained in [Madan and Yor, 2002] and [Brown et al., 2001a]. We demonstrate with a... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2013 05:37 PM PDT Motivated by the desire to bridge the gap between the microscopic description of price formation (agent-based modeling) and the stochastic differential equations approach used classically to describe price evolution at macroscopic time scales, we present a mathematical study of the order book as a multidimensional continuous-time Markov chain and derive several mathematical results in the case of... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Make the Most of What You've Got: Small States in the Spotlight Posted: 01 Apr 2013 08:05 AM PDT By Min Zhuread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Product Market Threats, Payouts, and Financial Flexibility Posted: 01 Apr 2013 06:58 AM PDT We examine how product market threats influence firm payout policy and cash holdings. Using firms' product text descriptions, we develop new measures of competitive threats. Our primary measure, product market fluidity, captures changes in rival firms' products relative to the firm's products. We show that fluidity decreases firm propensity to make payouts via dividends or repurchases and... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: A pictorial history of US large cap correlation Posted: 01 Apr 2013 05:07 AM PDT How has the distribution of correlations changed over the last several years?read more... Visit MoneyScience for the Complete Article.    |
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