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- Blog Post: PatrickBurns: Variance matrix differences
- Blog Post: TheFinancialServicesClub: Faster Payments is five years old
- Published / Preprint: Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm. (arXiv:1305.3184v1 [q-fin.CP])
- Published / Preprint: Scaling symmetry, renormalization, and time series modeling. (arXiv:1305.3243v1 [q-fin.ST])
- Blog Post: WealthandCapitalMarketsBlog: 6.20.13: Celent Securities & Investments Event'Digital Strategies: Effective Client Service across Mobile and Social Channels
- Blog Post: iMFdirect: Banking on Reform: Can Volcker, Vickers and Liikanen Resolve the Too-Important-to-Fail Conundrum?
- Link Library: Video - One Half Second of High Frequency Trading in a Single Stock
Blog Post: PatrickBurns: Variance matrix differences Posted: 15 May 2013 03:27 AM PDT |
Blog Post: TheFinancialServicesClub: Faster Payments is five years old Posted: 14 May 2013 11:52 PM PDT |
Posted: 14 May 2013 05:38 PM PDT The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables. We perform the HMC simulations of the SV model for two liquid stock returns... Visit MoneyScience for the Complete Article. |
Posted: 14 May 2013 05:38 PM PDT We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous auto-regressive component and a... Visit MoneyScience for the Complete Article. |
Posted: 14 May 2013 03:33 PM PDT |
Posted: 14 May 2013 08:28 AM PDT |
Link Library: Video - One Half Second of High Frequency Trading in a Single Stock Posted: 14 May 2013 06:07 AM PDT 1/2 second of trading activity in Johnson & Johnson (symbol JNJ) on May 2, 2013 This video was featured at Wired Business Conference (watch it now: http://fora.tv/2013/05/07/Nanex_CEO_E...) Follow us on twitter @nanexllc for Wall Street Breaking coverage. Set to lowest resolution for an "artistic rendering", or highest resolution for science. The animation tool that... Visit MoneyScience for the Complete Article. |
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