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- Blog Post: TheAlephBlog: The Rules, Part XLIII
- Published / Preprint: Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem. (arXiv:1307.3672v1 [q-fin.PM])
- Published / Preprint: Heavy tailed time series with extremal independence. (arXiv:1307.1501v1 [math.ST] CROSS LISTED)
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- Blog Post: TheFinancialServicesClub: Things worth reading: 15th July 2013
- Blog Post: Falkenblog: Beware Discrete Auctions
| Blog Post: TheAlephBlog: The Rules, Part XLIII Posted: 15 Jul 2013 11:28 PM PDT Modify Purchasing Power Parity by adding in stocks and bondsread more... Visit MoneyScience for the Complete Article.      |
| Posted: 15 Jul 2013 05:37 PM PDT In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear Hamilton-Jacobi-Bellman equation can be transformed into a quasi-linear parabolic equation whose diffusion function is obtained as the value function of... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jul 2013 05:37 PM PDT We consider strictly stationary heavy tailed time series whose finite-dimensional exponent measures are concentrated on axes, and hence their extremal properties cannot be tackled using classical multivariate regular variation that is suitable for time series with extremal dependence. We recover relevant information about limiting behavior of time series with extremal independence by introducing... Visit MoneyScience for the Complete Article.    |
| No such pipe, or this pipe has been deleted Posted: 15 Jul 2013 12:16 PM PDT This data comes from pipes.yahoo.com but the Pipe does not exist or has been deleted. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading: 15th July 2013 Posted: 15 Jul 2013 08:40 AM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Beware Discrete Auctions Posted: 15 Jul 2013 06:41 AM PDT There's an interesting paper on High Frequency Trading (HFT) by Budish, Cramton, and Shim from the U of Chicago. They set up an interesting model, but then propose at the end that batching eliminates the HFT arms race, both because it reduces the value of tiny speed advantages and because it transforms competition on speed into competition on price. I think that solution is interesting, but... Visit MoneyScience for the Complete Article.    |
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