Wednesday, May 15, 2013

MoneyScience News

MoneyScience News


Blog Post: PatrickBurns: Variance matrix differences

Posted: 15 May 2013 03:27 AM PDT

Torturing portfolios to give different volatilities between a factor model and Ledoit-Wolf shrinkage.read more...

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Blog Post: TheFinancialServicesClub: Faster Payments is five years old

Posted: 14 May 2013 11:52 PM PDT

The UK's Faster Payments Service (FPS) celebrated its fifth birthday on 8th May.  read more...

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Published / Preprint: Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm. (arXiv:1305.3184v1 [q-fin.CP])

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...

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Published / Preprint: Scaling symmetry, renormalization, and time series modeling. (arXiv:1305.3243v1 [q-fin.ST])

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...

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Blog Post: WealthandCapitalMarketsBlog: 6.20.13: Celent Securities & Investments Event'Digital Strategies: Effective Client Service across Mobile and Social Channels

Posted: 14 May 2013 03:33 PM PDT

Celent Senior Vice President Axel Pierron and Analyst Alexander Camargoread more...

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Blog Post: iMFdirect: Banking on Reform: Can Volcker, Vickers and Liikanen Resolve the Too-Important-to-Fail Conundrum?

Posted: 14 May 2013 08:28 AM PDT

by José Viñals and Ceyla Pazarbasiogluread more...

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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...

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