MoneyScience News |
- Video - Professor David Cliff Discusses High Frequency Trading
- Blog Post: PatrickBurns: Popular posts 2013 April
- Published / Preprint: A Fokker-Planck description for the queue dynamics of large tick stocks
- Published / Preprint: Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions
- Published / Preprint: Selection and Influence in Cultural Dynamics
- Blog Post: TheFinancialServicesClub: The latest on SEPA
- Published / Preprint: On the Dividend Strategies with Non-Exponential Discounting. (arXiv:1304.7878v1 [q-fin.PM])
- Published / Preprint: Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion. (arXiv:1304.7882v1 [q-fin.RM])
- Published / Preprint: Maximum Lebesgue Extension of Monotone Convex Functions. (arXiv:1304.7934v1 [math.FA])
- Event: BroadGroup DataCentres Europe 2013
- Event: Financial Globalisation and Sustainable Finance Conference
- Event: R/Finance 2013: Applied Finance with R
- Call for Papers, "IMA Conference on Mathematics in Finance", 2013, Edinburgh, UK #quant @TCJUK http://t.co/5PoLUumQ
| Video - Professor David Cliff Discusses High Frequency Trading Posted: 01 May 2013 03:55 AM PDT In this video, recorded at the TradeTech Europe 2013 HFT Focus Day in London, Professor David Cliff of the University of Bristol talks to Mike O'Hara of HFT Review about high frequency trading.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: PatrickBurns: Popular posts 2013 April Posted: 01 May 2013 03:14 AM PDT Most popular posts in 2013 April A practical introduction to garch modeling (posted in 2012) A tale of two returns (posted in 2010) Stock-picking opportunity and the ratio of variabilities A pictorial history of US large cap correlation The top 7 portfolio optimization problems (posted in 2012) garch and the distribution of returns Alternative equity indices and random portfolios Predicted... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Fokker-Planck description for the queue dynamics of large tick stocks Posted: 01 May 2013 01:14 AM PDT Motivated by empirical data, we develop a statistical description of the queue dynamics for large tick assets based on a two-dimensional Fokker-Planck (diffusion) equation, that explicitly includes state dependence, i.e. the fact that the drift and diffusion depends on the volume present on both sides of the spread. "Jump" events, corresponding to sudden changes of the best limit price, must also... Visit MoneyScience for the Complete Article.    |
| Posted: 01 May 2013 01:14 AM PDT This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rate has to be lower than the real interest rate, a necessary assumption for Ricardian equivalence) and of the transversality condition for the GDP growth rate (i.e. the GDP growth rate has to be lower than the real interest rate). First, on the unbalanced panel of 21 countries from... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Selection and Influence in Cultural Dynamics Posted: 01 May 2013 01:14 AM PDT One of the fundamental principles driving diversity or homogeneity in domains such as cultural differentiation, political affiliation, and product adoption is the tension between two forces: influence (the tendency of people to become similar to others they interact with) and selection (the tendency to be affected most by the behavior of others who are already similar). Influence tends to promote... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The latest on SEPA Posted: 01 May 2013 01:11 AM PDT At this year's International Payments Summit (IPS), there were discussions of many areas including social media, mobile, cloud, regulations and innovations. These have all been summarised in a wonderfully short overview document available to paying attendees.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Apr 2013 05:32 PM PDT In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies. This is a time inconsistent control problem. The extended HJB equation is given and the verification theorem is proved for a general discount function.... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Apr 2013 05:32 PM PDT In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion. The liability of the investor is uncontrollable and is modeled by another geometric Brownian motion. We consider a specific state-dependent risk aversion which depends on a power... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Apr 2013 05:32 PM PDT Given a monotone convex function on the space of essentially bounded random variables with the Lebesgue property (order continuity), we consider its extension preserving the Lebesgue property to as big solid vector space of random variables as possible. We show that there exists a maximum such extension, with explicit construction, where the maximum domain of extension is obtained as a (possibly... Visit MoneyScience for the Complete Article.    |
| Event: BroadGroup DataCentres Europe 2013 Posted: 20 Mar 2013 08:06 AM PDT Location: Palais des Congrès Acropolis, Nice, France; Date: May 29th, 2013; Europe's global meeting place and premier forum for more than 1000+ users, operators and practitioners of IT infrastructure from more than 35 countries.read more... Visit MoneyScience for the Complete Article.    |
| Event: Financial Globalisation and Sustainable Finance Conference Posted: 12 Feb 2013 07:56 AM PST Location: University of Stellenbosch Business School, Cape Town, South Africa; Date: May 29th, 2013; read more... Visit MoneyScience for the Complete Article.    |
| Event: R/Finance 2013: Applied Finance with R Posted: 12 Feb 2013 04:22 AM PST Location: Chicago, IL, USA; Date: May 17th, 2013; The fifth annual R/Finance conference for applied finance using R, the premier free software system for statistical computation and graphics, will be held this spring in Chicago, IL, USA on Friday May 17 and Saturday May 18, 2013. The two-day conference will cover portfolio management, time series analysis, advanced risk... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 08:00 AM PDT moneyscience: Call for Papers, "IMA Conference on Mathematics in Finance", 2013, Edinburgh, UK #quant @TCJUK http://t.co/5PoLUumQ Visit MoneyScience for the Complete Article.    |
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