MoneyScience News |
- Blog Post: TheAlephBlog: On News
- Published / Preprint: Are financial markets just another aspect of Nature?
- Blog Post: TheFinancialServicesClub: Things worth reading: 16th May 2013
- Published / Preprint: Monte Carlo approximation to optimal investment. (arXiv:1305.3433v1 [q-fin.CP])
- Published / Preprint: Linear stochastic volatility models. (arXiv:0909.4765v2 [q-fin.PR] UPDATED)
- Published / Preprint: Self-Fulfilling Liquidity Dry-Ups
| Blog Post: TheAlephBlog: On News Posted: 16 May 2013 01:22 AM PDT I have a saying that when there is no news, the market reveals its true direction. That applies to individual securities as well as the market as a whole. Why?read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Are financial markets just another aspect of Nature? Posted: 15 May 2013 10:57 PM PDT The question on the title came through my mind one day as I keep in one hand a paper in nuclear physics and in the other hand a paper in finance and surprisingly conclude that the same formula appear in both articles*. Phenomena from apparently completely different field of research were solved with the help of same equation. Things are getting even weirder saying that the formula I was talking... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading: 16th May 2013 Posted: 15 May 2013 10:21 PM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 May 2013 05:40 PM PDT This paper sets up a methodology for approximately solving optimal investment problems using duality methods combined with Monte Carlo simulations. In particular, we show how to tackle high dimensional problems in incomplete markets, where traditional methods fail due to the curse of dimensionality. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Linear stochastic volatility models. (arXiv:0909.4765v2 [q-fin.PR] UPDATED) Posted: 15 May 2013 05:40 PM PDT In this paper we investigate general linear stochastic volatility models with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of linearity being the volatility process. This class contains among others Black-Scholes model, a log-normal stochastic volatility model and Heston stochastic volatility model. For a linear stochastic volatility model we... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Self-Fulfilling Liquidity Dry-Ups Posted: 15 May 2013 12:35 PM PDT I analyze a model in which holding cash imposes a negative externality: it worsens future adverse selection in markets for long-term assets, which impairs their role for liquidity provision. Adverse selection worsens when potential sellers of long-term assets hold more cash because then fewer sales reflect cash needs, and proportionally more sales reflect private information. Moreover, future... Visit MoneyScience for the Complete Article.    |
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