Friday, May 17, 2013

MoneyScience News

MoneyScience News


Blog Post: TheFinancialServicesClub: Banks designed for humans by geeks

Posted: 17 May 2013 01:33 AM PDT

I was going to move away from further debate about branch and omnichannel today, as thereĆ¢€™s far more interesting stuff about Google giving payments away for free with Gmail and PayPal doing the same with mobile, but that will have to wait until next week as yesterdayĆ¢€™s post created quite a stir.read more...

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Published / Preprint: Direct Evidence for Synchronization in Japanese Business Cycle

Posted: 16 May 2013 06:23 AM PDT

We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial sectors. Moreover, the partial phase locking was observed for the 16 sectors. These...

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Published / Preprint: Scaling symmetry, renormalization, and time series modeling

Posted: 16 May 2013 06:23 AM 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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Published / Preprint: Monte Carlo approximation to optimal investment

Posted: 16 May 2013 06:23 AM 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.

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Published / Preprint: Emergence of hierarchy in cost driven growth of spatial networks

Posted: 16 May 2013 06:23 AM PDT

One of the most important features of spatial networks such as transportation networks, power grids, Internet, neural networks, is the existence of a cost associated with the length of links. Such a cost has a profound influence on the global structure of these networks which usually display a hierarchical spatial organization. The link between local constraints and large-scale structure is...

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Published / Preprint: Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market

Posted: 16 May 2013 06:23 AM PDT

We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon sessions. After calculating the realized volatilities at various sampling...

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Published / Preprint: Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm

Posted: 16 May 2013 06:05 AM 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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Vendor News: Prescient Ridge Management signs Connamara Systems for New Trading Infrastructure and Support Services

Posted: 31 Oct 2012 06:47 AM PDT

New trading infrastructure provides entry into new markets and upgrades automated execution capabilitiesChicago, October 31, 2012 – Connamara Systems, LLC (Connamara), provider of services to exchanges, swap execution facilities, CTAs and Hedge Funds, today announced signing Prescient Ridge Management, LLC (PRM) a managed futures fund which specializes in short-term, automated trading...

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