MoneyScience News |
- Blog Post: TheFinancialServicesClub: How Google makes money
- Vendor News: July 22, 2013 - SS&C GlobeOp Forward Redemption Indicator: July notifications 2.71%
- Blog Post: Falkenblog: Missing Risk Premium: a Synopsis
- Published / Preprint: Relativistic Black-Scholes model. (arXiv:1307.5122v1 [q-fin.PR])
- Published / Preprint: Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures. (arXiv:1307.5163v1 [math.OC])
- Published / Preprint: South African Riots: Repercussion of the Global Food Crisis and US Drought. (arXiv:1307.5268v1 [physics.soc-ph])
- Published / Preprint: Tipping points in macroeconomic Agent-Based models. (arXiv:1307.5319v1 [q-fin.GN])
- Blog Post: PatrickBurns: Portfolio Probe website is back
- Blog Post: ThePracticalQuant: Tightly integrated engines streamline Big Data analysis
- Blog Post: TheAlephBlog: The Rules, Part XLVI
| Blog Post: TheFinancialServicesClub: How Google makes money Posted: 22 Jul 2013 01:30 AM PDT Just recovering from a two week stint abroad - more on this later this week - and back to blogging as usual.read more... Visit MoneyScience for the Complete Article.      |
| Vendor News: July 22, 2013 - SS&C GlobeOp Forward Redemption Indicator: July notifications 2.71% Posted: 22 Jul 2013 01:10 AM PDT    |
| Blog Post: Falkenblog: Missing Risk Premium: a Synopsis Posted: 21 Jul 2013 11:40 PM PDT I recently made a presentation of my book, The Missing Risk Premium, and thought it was concise, so I'm sharing it here.Historical return data contradicting 'expected return positively linearly related to risk' theory:Within equities:Firm leverageFirm profitabilityCAPM betaTotal VolatilityResidual VolatilityFinancial Distress/Default metrics and equitiesPenny stocks vs. regular stocksIPOs vs... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Relativistic Black-Scholes model. (arXiv:1307.5122v1 [q-fin.PR]) Posted: 21 Jul 2013 05:38 PM PDT Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the Dirac equation. Therefore the relativistic extension of the Black-Scholes model follows from relativistic quantum mechanics quite naturally. We investigate this... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2013 05:38 PM PDT We describe an abstract control-theoretic setting in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat several cases of interest, most notably the lower-hedging and utility-maximization problems of financial mathematics both of which are naturally posed over "sets... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2013 05:38 PM PDT High and volatile global food prices have led to food riots and played a critical role in triggering the Arab Spring revolutions in recent years. The severe drought in the US in the summer of 2012 led to a new increase in food prices. Through the fall, they remained at a threshold above which the riots and revolutions had predominantly occurred. Global prices at this level create conditions where... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2013 05:38 PM PDT The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABM) can reproduce. Our motivation is to understand the large macro-economic fluctuations observed in the "Mark I" ABM devised by D. Delli Gatti and collaborators. Our major finding is the existence of a first order (discontinuous) phase transition between a "good economy" where... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: Portfolio Probe website is back Posted: 21 Jul 2013 10:21 AM PDT The impromptu summer holiday of the Portfolio Probe website has now ended. Â Some details remain before it is back to full strength.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Tightly integrated engines streamline Big Data analysis Posted: 21 Jul 2013 10:06 AM PDT [A version of this post appears on the O'Reilly Strata blog.]The choice of tools for data science includes1 factors like scalability, performance, and convenience. A while back I noted that data scientists tended to fall into two camps: those who used an integrated stack, and others who tended to stitch together frameworks. Being able to stick with the same programming language and environment is... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Rules, Part XLVI Posted: 21 Jul 2013 09:50 AM PDT Speculative companies should be evaluated on cash, burn rate, probability of success, size of potential market and margins at maturity.read more... Visit MoneyScience for the Complete Article.    |
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