MoneyScience News |
- Blog Post: TheFinancialServicesClub: There's an elephant in the room
- Published / Preprint: Investors' Horizons and the Amplification of Market Shocks
- Published / Preprint: Do Implicit Barriers Matter for Globalization?
- Published / Preprint: Ambiguous Volatility and Asset Pricing in Continuous Time
- Published / Preprint: Identifying the Valuation Effects and Agency Costs of Corporate Diversification: Evidence from the Geographic Diversification of U.S. Banks
- Published / Preprint: 'O Sole Mio: An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions
- Published / Preprint: Model-free CPPI. (arXiv:1305.5915v1 [q-fin.PM])
- Published / Preprint: Fluctuation analysis of the three agent groups herding model. (arXiv:1305.5958v1 [q-fin.ST])
- Published / Preprint: A Robust Version of Convex Integral Functionals. (arXiv:1305.6023v1 [math.FA])
- Published / Preprint: Semi-bounded Rationality: A model for decision making. (arXiv:1305.6037v1 [cs.AI])
- Published / Preprint: Goodhart, Charles A.E. and Tsomocos, Dimitros P.: The challenge of financial stability: a new model and its applications. (arXiv:1305.6148v1 [q-fin.GN])
- Published / Preprint: Structural Shifts in Credit Rating Standards
- Published / Preprint: Optimal CEO Compensation with Search: Theory and Empirical Evidence
- Blog Post: ThePracticalQuant: How signals, geometry, and topology are influencing data science
- Vendor News: NAG announces support for IBM BlueGene/Q supercomputers
- Vendor News: Prescient Ridge Management signs Connamara Systems for New Trading Infrastructure and Support Services
| Blog Post: TheFinancialServicesClub: There's an elephant in the room Posted: 28 May 2013 12:42 AM PDT There’s an elephant in the room.read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Investors' Horizons and the Amplification of Market Shocks Posted: 27 May 2013 10:36 PM PDT This paper shows that during episodes of market turmoil, 13F institutional investors with short trading horizons sell their stockholdings to a larger extent than 13F institutional investors with longer trading horizons. This creates price pressure for stocks held mostly by short-horizon investors, which, as a consequence, experience larger price drops, and subsequent reversals, than stocks held... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Do Implicit Barriers Matter for Globalization? Posted: 27 May 2013 10:36 PM PDT Market liberalization may not result in full market integration if implicit barriers are important. We test this proposition for investable and non-investable segments of twenty-two emerging markets (EMs). We also measure the degree of integration for six major developed markets (DMs) as a meaningful benchmark. We find that while the DMs are close to fully integrated, both EM segments are not... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Ambiguous Volatility and Asset Pricing in Continuous Time Posted: 27 May 2013 10:36 PM PDT We formulate a model of utility for a continuous-time framework that captures aversion to ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Because ambiguous volatility implies market incompleteness, hedging arguments determine prices only up to... Visit MoneyScience for the Complete Article.    |
| Posted: 27 May 2013 10:36 PM PDT This paper assesses the impact of the geographic diversification of bank holding company (BHC) assets across the United States on their market valuations. Using two new identification strategies based on the dynamic process of interstate bank deregulation, we find that exogenous increases in geographic diversity reduced BHC valuations. We also find that the geographic diversification of BHC... Visit MoneyScience for the Complete Article.    |
| Posted: 27 May 2013 10:36 PM PDT Although weather has been shown to affect financial markets and financial decision making, a still open question is the channel through which such influence is exerted. By employing a multiple price list method, this paper provides direct experimental evidence that sunshine and good weather promote risk-taking behavior. This effect is present whether relying on objective measures of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Model-free CPPI. (arXiv:1305.5915v1 [q-fin.PM]) Posted: 27 May 2013 05:42 PM PDT We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic Proportion Portfolio Insurance (DPPI). It is shown that these investment strategies work within the setting of F\"ollmer's pathwise It\^o calculus, which makes no probabilistic assumptions whatsoever. This shows, on the one hand, that CPPI and DPPI are completely independent... Visit MoneyScience for the Complete Article.    |
| Posted: 27 May 2013 05:42 PM PDT We derive a system of stochastic differential equations simulating the dynamics of the three agent groups with herding interaction. Proposed approach can be valuable in the modeling of the complex socio-economic systems with similar composition of the agents. We demonstrate how the sophisticated statistical features of the absolute return in the financial markets can be reproduced by extending... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Robust Version of Convex Integral Functionals. (arXiv:1305.6023v1 [math.FA]) Posted: 27 May 2013 05:42 PM PDT We consider the pointwise supremum of a family of convex integral functionals on $L^\infty$, each associated to a common convex integrand and a respective probability measure belonging to a dominated weakly compact convex set. Its conjugate functional is analyzed, providing a pair of upper and lower bounds as direct sums of common regular part and respective singular parts, which coincide... Visit MoneyScience for the Complete Article.    |
| Posted: 27 May 2013 05:42 PM PDT In this paper the theory of semi-bounded rationality is proposed as an extension of the theory of bounded rationality. In particular, it is proposed that a decision making process involves two components and these are the correlation machine, which estimates missing values, and the causal machine, which relates the cause to the effect. Rational decision making involves using information which is... Visit MoneyScience for the Complete Article.    |
| Posted: 27 May 2013 05:42 PM PDT This review of the book "The Challenge of Financial Stability: A New Model and its Applications" by Goodhart C.A.E. and Tsomocos D.P. highlights the potential of the framework of strategic partial default of banks with credit chain on the interbank market for further theoretical and applied research on financial stability. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Structural Shifts in Credit Rating Standards Posted: 27 May 2013 08:37 AM PDT I examine the time-series variation in corporate credit rating standards from 1985 to 2007. A divergent pattern exists between investment-grade and speculative-grade rating standards from 1985 to 2002 as investment-grade standards tighten and speculative-grade loosen. In 2002, a structural shift occurs towards more stringent ratings. Holding characteristics constant, firms experience a drop of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal CEO Compensation with Search: Theory and Empirical Evidence Posted: 27 May 2013 08:37 AM PDT We integrate an agency problem into search theory to study executive compensation in a market equilibrium. A CEO can choose to stay or quit and search after privately observing an idiosyncratic shock to the firm. The market equilibrium endogenizes CEOs' and firms' outside options and captures contracting externalities. We show that the optimal pay-to-performance ratio is less than one even when... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: How signals, geometry, and topology are influencing data science Posted: 27 May 2013 07:56 AM PDT [A version of this post appears on the O'Reilly Strata blog.]I've been noticing unlikely areas of mathematics pop-up in data analysis. While signal processing is a natural fit, topology, differential and algebraic geometry aren't exactly areas you associate with data science. But upon further reflection perhaps it shouldn't be so surprising that areas that deal in shapes, invariants, and... Visit MoneyScience for the Complete Article.    |
| Vendor News: NAG announces support for IBM BlueGene/Q supercomputers Posted: 13 Nov 2012 03:01 AM PST read more... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
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