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- Spies like us
- Blog Post: TheFinancialServicesClub: Bank customers: vulnerable victims or gullible gimps?
- Blog Post: TheAlephBlog: On the Laffer Curve Regarding Marginal Corporate Tax Rates
- Published / Preprint: Permanent market impact can be nonlinear. (arXiv:1305.0413v1 [q-fin.TR])
- Published / Preprint: Multivariate high-frequency financial data via semi-Markov processes. (arXiv:1305.0436v1 [q-fin.ST])
- Published / Preprint: A robust tree method for pricing American options with CIR stochastic interest rate. (arXiv:1305.0479v1 [q-fin.CP])
- Published / Preprint: Global Networks Must be Re-Designed
- Published / Preprint: Rethinking Economics Using Complexity Theory
- MoneyScience Research Digest: March - April 2013
| Posted: 03 May 2013 03:06 AM PDT I was reminded this week just how diverse the range of careers in finance can be when I conducted a mock interview for a Communications Monitoring Analyst within the Communications Surveillance Department of a very well know bank.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Bank customers: vulnerable victims or gullible gimps? Posted: 03 May 2013 01:33 AM PDT I must admit, having listened to Jeremy Roe regarding banks mis-selling swaps contracts along with Which? and the leader of bank employee union Unite talking about how general staff and customers feel about mis-selling, I’m a little bit cynical.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On the Laffer Curve Regarding Marginal Corporate Tax Rates Posted: 03 May 2013 01:29 AM PDT Twitter is serendipitous to me. I don’t track it all day long, or I would never get anything done. Usually, I keep it off, unless I am sending off tweets. But I accidentally saw a tweet from Cardiff Garcia of FT Alphaville. regarding a presentation done by Brad DeLong. Here it is:read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Permanent market impact can be nonlinear. (arXiv:1305.0413v1 [q-fin.TR]) Posted: 02 May 2013 05:38 PM PDT There are two schools of thought regarding market impact modeling. On the one hand, seminal papers by Almgren and Chriss introduced a decomposition between a permanent market impact and a temporary (or instantaneous) market impact. This decomposition is used by most practitioners in execution models. On the other hand, recent research advocates for the use of a new modeling framework that goes... Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2013 05:38 PM PDT In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to reproduce important stylized facts of financial time series like the persistence of... Visit MoneyScience for the Complete Article.    |
| Posted: 02 May 2013 05:38 PM PDT We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Global Networks Must be Re-Designed Posted: 02 May 2013 09:12 AM PDT The increasing interdependencies between the world’s technological, socio-economic, and environmental systems have the potential to create global catastrophic risks. We may have to re-design many global networks, otherwise they could turn into "global time bombs". Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Rethinking Economics Using Complexity Theory Posted: 02 May 2013 08:19 AM PDT In this paper we argue that if we want to find a more satisfactory approach to tackling the major socio-economic problems we are facing, we need to thoroughly rethink the basic assumptions of macroeconomics and financial theory. Making minor modifications to the standard models to remove "imperfections" is not enough, the whole framework needs to be revisited. Visit MoneyScience for the Complete Article.    |
| MoneyScience Research Digest: March - April 2013 Posted: 02 May 2013 08:08 AM PDT read more... Visit MoneyScience for the Complete Article.    |
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