MoneyScience News |
- Blog Post: TheAlephBlog: At the Bloomberg Washington Summit, Part 5
- Blog Post: TheFinancialServicesClub: The UK's new bank regulator: Andrew Bailey
- Published / Preprint: A note on replicating a CDS through a repo and an asset swap. (arXiv:1305.0040v1 [q-fin.PR])
- Published / Preprint: Bubbles are rational. (arXiv:1305.0101v1 [cs.GT])
- Published / Preprint: Semi Markov model for market microstructure. (arXiv:1305.0105v1 [q-fin.TR])
- Published / Preprint: Relative Robust Portfolio Optimization. (arXiv:1305.0144v1 [q-fin.PM])
- Published / Preprint: Uncovering the network structure of the world currency market: Cross-correlations in the fluctuations of daily exchange rates. (arXiv:1305.0239v1 [q-fin.ST])
- Published / Preprint: Toolism! A Critique of Econophysics
- Blog Post: iMFdirect: The Cat in the Tree and Further Observations: Rethinking Macroeconomic Policy
| Blog Post: TheAlephBlog: At the Bloomberg Washington Summit, Part 5 Posted: 02 May 2013 01:12 AM PDT Alan Krueger (Chairman of President Barack Obama’s Council of Economic Advisers)read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: The UK's new bank regulator: Andrew Bailey Posted: 02 May 2013 12:51 AM PDT For the second time recently, I got to hear the thoughts of Andrew Bailey, CEO of the new Prudential Regulation Authority (PRA) and Deputy Governor for Prudential Regulation at the Bank of England.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 May 2013 05:49 PM PDT In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause can be priced using the well known unilateral credit/debit valuation adjustment formulas. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bubbles are rational. (arXiv:1305.0101v1 [cs.GT]) Posted: 01 May 2013 05:49 PM PDT As we show using the notion of equilibrium in the theory of infinite sequential games, bubbles and escalations are rational for economic and environmental agents, who believe in an infinite world. This goes against a vision of a self regulating, wise and pacific economy in equilibrium. In other words, in this context, equilibrium is not a synonymous of stability. We attempt to draw from this... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Semi Markov model for market microstructure. (arXiv:1305.0105v1 [q-fin.TR]) Posted: 01 May 2013 05:49 PM PDT We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated to price increments. By modeling the marks with a suitable Markov chain, we can reproduce the strong mean-reversion of price returns known as microstructure... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Relative Robust Portfolio Optimization. (arXiv:1305.0144v1 [q-fin.PM]) Posted: 01 May 2013 05:49 PM PDT Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach based on a maximum regret function. Although the latter problems are NP-hard in general, we show that tractable inner and outer approximations exist in several cases that are of central interest in asset management. Visit MoneyScience for the Complete Article.    |
| Posted: 01 May 2013 05:49 PM PDT The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the bounds predicted from random matrices constructed using mutually uncorrelated time-series. However, a few large eigenvalues deviating from the bulk contain... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Toolism! A Critique of Econophysics Posted: 01 May 2013 09:49 AM PDT Economists are fond of the physicists̢۪ powerful tools. As a popular mindset Toolism is as old as economics but the transplants failed to produce the same successes as in their aboriginal environment. Economists therefore looked more and more to the math department for inspiration. Now the tide turns again. The ongoing crisis discredits standard economics and offers the chance for a comeback.... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: The Cat in the Tree and Further Observations: Rethinking Macroeconomic Policy Posted: 01 May 2013 07:15 AM PDT Guest post by George A. Akerlofread more... Visit MoneyScience for the Complete Article.    |
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