MoneyScience News |
- Blog Post: TheFinancialServicesClub: Do traders lack diplomacy and tact?
- Published / Preprint: Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis. (arXiv:1305.6323v1 [q-fin.TR])
- Published / Preprint: BSDEs with singular terminal condition and control problems with contraints. (arXiv:1305.6541v1 [math.OC])
- Blog Post: Falkenblog: A Survey of Low Volatility Theories
| Blog Post: TheFinancialServicesClub: Do traders lack diplomacy and tact? Posted: 29 May 2013 01:12 AM PDT Reinforcing the idea that traders in the City have no diplomacy or tact, here's two adverts from online trading firm AvaTrade.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 28 May 2013 05:35 PM PDT This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and traders anticipate future evolutions of the order book. The natural framework we use is mean field game theory, a class of stochastic differential games with a continuum of anonymous players. Several sources of... Visit MoneyScience for the Complete Article.    |
| Posted: 28 May 2013 05:35 PM PDT We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novelty of our solution approach is that the BSDE possesses a singular terminal condition. We prove that a solution of the BSDE exists, thus partly generalizing existence results obtained by Popier in [7] and [8]. We perform... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: A Survey of Low Volatility Theories Posted: 28 May 2013 05:54 AM PDT David Blitz and Pim van Vliet, both of Robeco, and yours truly wrote a paper outlining the various explanations for the low volatility effect, Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions. The aim wasn't to trash or champion any particular approach, though I'm sure our biases show (we aren't in lock-step on this, note Blitz here vs. my approach here, which has... Visit MoneyScience for the Complete Article.    |
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