MoneyScience News |
- Blog Post: WealthandCapitalMarketsBlog: 6.27.13: Celent Securities & Investments Webinar: Maximizing Collateral Advantage: A Survey of Buy Side Business and Operational Strategies
- Blog Post: TheFinancialServicesClub: Things worth reading: 20th May 2013
- Blog Post: Falkenblog: RAFI's Low Vol, My Winning Lotto Ticket
- Published / Preprint: A First-Order BSPDE for Swing Option Pricing. (arXiv:1305.3988v1 [q-fin.PR])
- Published / Preprint: A hot-potato game under transient price impact and some effects of a transaction tax. (arXiv:1305.4013v1 [q-fin.TR])
- Published / Preprint: Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society. (arXiv:1305.4078v1 [q-fin.GN])
- Published / Preprint: Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE. (arXiv:1305.4132v1 [q-fin.PR])
- Published / Preprint: A Model for Stock Returns and Volatility. (arXiv:1305.4173v1 [q-fin.ST])
- Blog Post: ThePracticalQuant: Improving options for unlocking your graph data
| Posted: 19 May 2013 11:57 PM PDT Celent Research Director Cubillas Dingread more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Things worth reading: 20th May 2013 Posted: 19 May 2013 10:42 PM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: RAFI's Low Vol, My Winning Lotto Ticket Posted: 19 May 2013 07:10 PM PDT Research Affiliates (RAFI) suggests that you can dominate simple low volatility portfolios by blending them with some fundamental metrics. Specifically, value, cash-flow, dividends, and sales, combined into a 'fundamental value' metric, generates a 200 basis point return premium that can carry over into the low beta portfolio, all while generating 25% lower volatility. These are... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A First-Order BSPDE for Swing Option Pricing. (arXiv:1305.3988v1 [q-fin.PR]) Posted: 19 May 2013 05:35 PM PDT We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial differential equation. Based on this result we can characterize the set of optimal controls and derive a dual minimization problem. Visit MoneyScience for the Complete Article.    |
| Posted: 19 May 2013 05:35 PM PDT Building on observations by Sch\"oneborn (2008), we consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. We show that for small transaction costs the high-frequency traders engage in a "hot-potato game", in which the same asset position is sold back and forth. We then identify a... Visit MoneyScience for the Complete Article.    |
| Posted: 19 May 2013 05:35 PM PDT Despite all our great advances in science, technology and financial innovations, many societies today are struggling with a financial, economic and public spending crisis, over-regulation, and mass unemployment, as well as lack of sustainability and innovation. Can we still rely on conventional economic thinking or do we need a new approach? read more... Visit MoneyScience for the Complete Article.    |
| Posted: 19 May 2013 05:35 PM PDT At first, we solve a problem of finding a risk-minimizing hedging strategy on a general market with ratings. Next, we find a solution to this problem on Markovian market with ratings on which prices are influenced by additional factors and rating, and behavior of this system is described by SDE driven by Wiener process and compensated Poisson random measure and claims depend on rating. To find a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Model for Stock Returns and Volatility. (arXiv:1305.4173v1 [q-fin.ST]) Posted: 19 May 2013 05:35 PM PDT We prove that Student's t-distribution provides one of the better fits to returns of S&P component stocks and the generalized inverse gamma distribution best fits VIX and VXO volatility data. We further argue that a more accurate measure of the volatility may be possible based on the fact that stock returns can be understood as the product distribution of the volatility and... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Improving options for unlocking your graph data Posted: 19 May 2013 10:37 AM PDT [A version of this post appears on the O'Reilly Strata blog.]The popular open source project GraphLab received a major boost early this week when a new company comprised of its founding developers, raised funding to develop analytic tools for graph data sets. GraphLab Inc. will continue to use the open source GraphLab to "push the limits of graph computation and develop new ideas", but having a... Visit MoneyScience for the Complete Article.    |
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