MoneyScience News |
- Blog Post: rob_daly: SEFs & OTFs: Siblings or Distant Relations?
- Blog Post: TheFinancialServicesClub: 61% of US internet users bank online
- Blog Post: TheAlephBlog: Best of the Aleph Blog, Part 22
- Published / Preprint: Fractality of profit landscapes and validation of time series models for stock prices. (arXiv:1308.1749v1 [q-fin.ST])
- Blog Post: iMFdirect: Achieving China's Great Promise
- Published / Preprint: Admissible Trading Strategies under Transaction Costs. (arXiv:1308.1492v1 [q-fin.PR])
- Published / Preprint: Complexity, Chaos, and the Duffing-Oscillator Model: An Analysis of Inventory Fluctuations in Markets. (arXiv:1308.1616v1 [q-fin.GN])
- Vendor News: Industry speaks about impact of regulations in Asia
- Published / Preprint: Random matrix approach to dynamic evolution of cross-correlations in the Chinese stock market. (arXiv:1308.1154v1 [q-fin.ST])
- Published / Preprint: Asset Allocation under the Basel Accord Risk Measures. (arXiv:1308.1321v1 [q-fin.PM])
- Call for Papers: "Marie Curie ITN Conference on Financial Risk Management & Risk Reportingâ http://t.co/0JsVQIFY
| Blog Post: rob_daly: SEFs & OTFs: Siblings or Distant Relations? Posted: 09 Aug 2013 10:08 AM PDT SEFs & OTFs: Siblings or Distant Relations?read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: 61% of US internet users bank online Posted: 09 Aug 2013 01:41 AM PDT Pew Research is always producing interesting reports, but this one specifically caught my attention this week: 51% of US adults bank online.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Best of the Aleph Blog, Part 22 Posted: 08 Aug 2013 11:59 PM PDT These articles appeared between May 2012 and July 2012:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Aug 2013 05:30 PM PDT We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and the sell (buy) decision is made when the log return is larger (smaller) than $p$ ($-q$). We discretize the unit square $(p, q) \in [0, 1] \times [0, 1]$... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Achieving China's Great Promise Posted: 08 Aug 2013 08:55 AM PDT By Murtaza Syedread more... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Aug 2013 05:31 PM PDT A well known result in stochastic analysis reads as follows: for an $\mathbb{R}$-valued super-martingale $X = (X_t)_{0\leq t \leq T}$ such that the terminal value $X_T$ is non-negative, we have that the entire process $X$ is non-negative. An analogous result holds true in the no arbitrage theory of mathematical finance: under the assumption of no arbitrage, a portfolio... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Aug 2013 05:31 PM PDT Apparently random financial fluctuations often exhibit varying levels of complexity, chaos. Given limited data, predictability of such time series becomes hard to infer. While efficient methods of Lyapunov exponent computation are devised, knowledge about the process driving the dynamics greatly facilitates the complexity analysis. This paper shows that quarterly inventory changes of wheat in the... Visit MoneyScience for the Complete Article.    |
| Vendor News: Industry speaks about impact of regulations in Asia Posted: 07 Aug 2013 12:48 AM PDT    |
| Posted: 06 Aug 2013 05:38 PM PDT We study the dynamic evolution of cross-correlations in the Chinese stock market mainly based on the random matrix theory (RMT). The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are calculated over a rolling window with a size of 400 days. As a consequence, a thorough study of the... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Aug 2013 05:38 PM PDT Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank's trading book under the Basel 2.5 Accord more than doubles that under the Basel II Accord. The significant increase in capital requirements renders it necessary for banks to take into account the... Visit MoneyScience for the Complete Article.    |
| 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 Visit MoneyScience for the Complete Article.    |
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