Monday, June 17, 2013

MoneyScience News

MoneyScience News

Blog Post: Falkenblog: UK Austerity in the 19th Century

Posted: 17 Jun 2013 03:50 AM PDT

I was watching Bloggingheads.tv, where Mark Blyth noted that contra Rogoff and Reinhart, Great Britain had a very high debt/gdp ratio at the beginning of the 19th century and then proceeded to have one of the best centuries of absolute growth in the history of civilization.  Thus, debt is, if anything, salutary at really high levels, so the government should run higher...

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Blog Post: TheFinancialServicesClub: Building human relationships through digital channels

Posted: 17 Jun 2013 12:50 AM PDT

Chairing a conference all day, I was asked to give a summary at the end of the day, and was intrigued to find that all of my notes talked about human relationships through digital channels.read more...

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Published / Preprint: Making Mean-Variance Hedging Implementable in a Partially Observable Market. (arXiv:1306.3359v1 [q-fin.CP])

Posted: 16 Jun 2013 05:39 PM PDT

The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only be inferred through the observation of asset or index processes. Although most of the literatures treat the MVH problem by the duality method, here we study a system consisting of three BSDEs derived by Mania and Tevzadze (2003) and Mania et.al.(2008) and try to provide more...

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Published / Preprint: Evolutionary Model of a Anonymous Consumer Durable Market. (arXiv:1306.3395v1 [q-fin.GN])

Posted: 16 Jun 2013 05:39 PM PDT

An analytic model is presented that considers the evolution of a market of durable goods. The model suggests that after introduction goods spread always according to a Bass diffusion. However, this phase will be followed by a diffusion process for durable consumer goods governed by a variation-selection-reproduction mechanism and the growth dynamics can be described by a replicator equation....

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Published / Preprint: Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions. (arXiv:1306.3479v1 [q-fin.RM])

Posted: 16 Jun 2013 05:39 PM PDT

In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a light-tailed distribution -- exponential distribution and a heavy-tailed distribution -- Pareto distribution. The ruin probability for finite-horizon 5 and 10...

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Blog Post: ThePracticalQuant: HBase looks more appealing to data scientists

Posted: 16 Jun 2013 10:06 AM PDT

[A version of this post appears on the O'Reilly Strata blog.]When Hadoop users need to develop apps that are "latency sensitive", many of them turn to HBase1. Its tight integration with Hadoop makes it a popular data store for real-time applications. When I attended the first HBase conference last year, I was pleasantly surprised by the diversity of companies and applications that rely on HBase....

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Blog Post: TheAlephBlog: Book Review: Investing in Municipal Bonds

Posted: 16 Jun 2013 08:19 AM PDT

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Call for Papers: "Marie Curie ITN Conference on Financial Risk Management & Risk Reportingâ http://t.co/0JsVQIFY

Posted: 24 Oct 2012 07:03 AM PDT

moneyscience: Call for Papers: “Marie Curie ITN Conference on Financial Risk Management & Risk Reporting” http://t.co/0JsVQIFY

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