MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 20th August 2013
- Blog Post: TheAlephBlog: The Fed Needs Valuation Actuaries (and More Steel in the Spine)
- Published / Preprint: Do the rich get richer? An empirical analysis of the BitCoin transaction network. (arXiv:1308.3892v1 [physics.soc-ph])
- Published / Preprint: Portfolio return distributions: Sample statistics with non-stationary correlations. (arXiv:1308.3961v1 [q-fin.ST])
- Published / Preprint: Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison. (arXiv:1308.3966v1 [q-fin.ST])
- Vendor News: August 19, 2013 - SS&C PORTIA Joins with SS&C Zoologic Learning Solutions to Offer Web-Based Training to Clients
- Published / Preprint: Kinetic properties in inhomogeneous self-aware media. (arXiv:1308.3668v1 [q-fin.GN])
- Blog Post: ThePracticalQuant: Interactive Big Data analysis using approximate answers
- Blog Post: PatrickBurns: US market portrait 2013 week 33
- Vendor News: Mr. Leo Puri to Step down from the Infosys Board of Directors
- Published / Preprint: Multi-asset risk measures. (arXiv:1308.3331v1 [q-fin.RM])
- Published / Preprint: A pricing measure to explain the risk premium in power markets. (arXiv:1308.3378v1 [q-fin.PR])
- Old Dog, New Tricks
- Published / Preprint: 15Aug/Consultative documents on longevity risk transfer markets and point of sale disclosure issued by the Joint Forum
- Published / Preprint: International journal of disclosure and governance
- Published / Preprint: Is audit failing the global capital markets?
- Published / Preprint: The EU law on auditing and the role of auditors in the global financial crisis of 2008
- Published / Preprint: The potential implications of the financial reporting expectations gap for the development of corporate governance
- Published / Preprint: Collibration as an alternative regulatory approach for remuneration governance: A contextual analysis of Australia
- Published / Preprint: The personality of company directors and behavioural risks in corporate governance: Bridging the unidentified gap
- Published / Preprint: Regressions with Berkson errors in covariates - A nonparametric approach. (arXiv:1308.2836v1 [math.ST] CROSS LISTED)
- Investor Relations (2nd Edition) - an interview with author Anne Guimard
- Blog Post: Falkenblog: Is The Low Vol Anomaly Really a Skew Effect?
- Published / Preprint: American options with gradual exercise under proportional transaction costs. (arXiv:1308.2688v1 [q-fin.PR])
- Published / Preprint: Over-the-counter market models with several assets. (arXiv:1308.2957v1 [q-fin.CP])
- Published / Preprint: An Economic analogy to Electrodynamics. (arXiv:1001.1847v5 [physics.gen-ph] UPDATED)
| Blog Post: TheFinancialServicesClub: Things worth reading: 20th August 2013 Posted: 19 Aug 2013 11:00 PM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: The Fed Needs Valuation Actuaries (and More Steel in the Spine) Posted: 19 Aug 2013 10:38 PM PDT I reviewed the following report from the Federal Reserve to Congress today, and found it disappointing. From my prior experience as an actuary, and the time that I spent on the asset-liability committee of a small bank, I know that the banking industry is far behind the life insurance industry on risk control. The Fed would have done far better to have studied the works of the Society of... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Aug 2013 05:39 PM PDT The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random networks of interacting agents, and only macroscopic properties (e.g. the resulting wealth distribution) are compared to real-world data. In this paper, we... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Aug 2013 05:39 PM PDT We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we construct an ensemble of random correlation matrices and average the normal distribution over this ensemble. The resulting distribution contains a modified Bessel function of the second kind whose behavior... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Aug 2013 05:39 PM PDT Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most existing herd behavior indices do not provide a comparative method, we propose a new herd behavior index and demonstrate its desirable properties through simple... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Aug 2013 06:00 AM PDT    |
| Posted: 18 Aug 2013 05:39 PM PDT The new framework for finance is proposed. This framework based on three known approaches in econophysics. Assumptions of the framework are the following: 1. For the majority of situations market follows non-arbitrage condition. 2. For the small number of situations market influenced by the actions of big firms. 3. If actions of big players lead to the arbitrage opportunity, small players could... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Interactive Big Data analysis using approximate answers Posted: 18 Aug 2013 10:07 AM PDT [A version of this post appears on the O'Reilly Strata blog.]Interactive query analysis for (Hadoop scale data) has recently attracted the attention of many companies and open source developers - some examples include Cloudera's Impala, Shark, Pivotal's HAWQ, Hadapt, CitusDB, Phoenix, Sqrrl, Redshift, and BigQuery. These solutions use distributed computing, and a combination of other techniques... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2013 week 33 Posted: 17 Aug 2013 03:24 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Mr. Leo Puri to Step down from the Infosys Board of Directors Posted: 16 Aug 2013 10:20 PM PDT Infosys today announced that Mr. Leo Puri, an independent director of the company, has conveyed his intention to step down from the Board of Directors of Infosys effective August 14, 2013. This is pursuant to his appointment as Managing Director of UTI Asset Management Co Ltd, India’s sixth largest asset manager by size. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Multi-asset risk measures. (arXiv:1308.3331v1 [q-fin.RM]) Posted: 15 Aug 2013 05:42 PM PDT We study risk measures for financial positions in a multi-asset setting, representing the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate finiteness and continuity properties of these multi-asset risk measures, highlighting the interplay between the acceptance set and the class of eligible... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Aug 2013 05:42 PM PDT In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. The other factor is an OU process driven by a pure jump L\'evy process and models the characteristic spikes observed in such markets. When it comes to pricing, a popular... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Aug 2013 03:05 AM PDT For the first time in my life I am conducting an academic research project. Â Many students do a dissertation as part of their bachelors degree, but I chose not to. Â I took all my CIPD exams, but again chose not to do any research. Â So why did I choose to the research project as the final module for my Diploma in Careers Education, Information and Guidance in Higher Education?read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Aug 2013 02:07 AM PDT "Longevity risk transfer markets: market structure, growth drivers and impediments, and potential risks" and "Point of Sale disclosure in the insurance, banking and securities sectors" consultative documents issued by the Joint Forum (15 August 2013) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: International journal of disclosure and governance Posted: 14 Aug 2013 11:36 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Is audit failing the global capital markets? Posted: 14 Aug 2013 11:36 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 14 Aug 2013 11:36 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 14 Aug 2013 11:36 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 14 Aug 2013 11:36 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 14 Aug 2013 11:35 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 14 Aug 2013 05:30 PM PDT This paper establishes that so-called instrumental variables enable the identification and the estimation of a fully nonparametric regression model with Berkson-type measurement error in the regressors. An estimator is proposed and proven to be consistent. Its practical performance and feasibility are investigated via Monte Carlo simulations as well as through an epidemiological application... Visit MoneyScience for the Complete Article.    |
| Investor Relations (2nd Edition) - an interview with author Anne Guimard Posted: 14 Aug 2013 12:25 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Is The Low Vol Anomaly Really a Skew Effect? Posted: 13 Aug 2013 05:58 PM PDT The idea that low volatility stocks have higher returns than high volatility stocks is difficult for economists to digest, because it's so hard to square with standard theory. It brings to mind Dostoyevsky's line "If God is dead, then everything is permitted." Similarly, when one sees their favored theory as being abandoned, it seems like all explanation is lost and chaos reigns. Yet, when... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Aug 2013 05:30 PM PDT American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of gradual exercise leads to tighter bounds on the option price when compared to the case studied in the existing literature, where the standard assumption is that... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Aug 2013 05:30 PM PDT We study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which investors trade with each other at these steady states. Finally, we study the stability of the solutions of these ODE's. Visit MoneyScience for the Complete Article.    |
| Posted: 13 Aug 2013 05:30 PM PDT In this note, we would like to find the laws of electrodynamics in simple economic systems. In this direction, we identify the chief economic variables and parameters, scalar and vector, which are amenable to be put directly into the crouch of the laws of electrodynamics, namely Maxwell's equations. Moreover, we obtain Phillp's curve, recession and Black-Scholes formula, as sample applications. Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |