MoneyScience News |
- Published / Preprint: 02Sep/Margin requirements for non-centrally cleared derivatives - final report issued by the Basel Committee and IOSCO
- Blog Post: TheFinancialServicesClub: What is a secure data vault and should a bank be one?
- Blog Post: Falkenblog: How to Maximize Lottery Revenue
- Published / Preprint: Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data. (arXiv:1308.6756v1 [q-fin.ST])
- Published / Preprint: Prospect Agents and the Feedback Effect on Price Fluctuations. (arXiv:1308.6759v1 [q-fin.PR])
- Blog Post: ThePracticalQuant: Running batch and long-running, highly available service jobs on the same cluster
- Blog Post: TheAlephBlog: The Rules, Part L
- Blog Post: rob_daly: Bats Global Markets & Direct Edge: A Brazilian Love Story?
- PhD student position on Agent-Based Computational Economics
- Published / Preprint: Optimal Payoffs under State-dependent Constraints. (arXiv:1308.6465v1 [q-fin.PM])
- Blog Post: WealthandCapitalMarketsBlog: Singledealer vs. Multidealer platforms in Credit, is that the question?
- Published / Preprint: Can we still benefit from portfolio diversification in the post-crisis years? The case of the Czech and German stock markets. (arXiv:1308.6120v1 [q-fin.PM])
- Published / Preprint: Refined Multifractal Cross-Correlation Analysis. (arXiv:1308.6148v1 [physics.data-an])
- Published / Preprint: G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty. (arXiv:1308.6256v1 [q-fin.PR])
- Event: The 8th Conference on Risk, Banking and Financial Stability
- Event: 4th CEQURA Conference on Advances in Financial and Insurance Risk Management
- Event: Understanding Banks in Emerging Markets
- Event: The Fourth Annual Great Lakes-Union Bankâs Conference on Emerging Issues in Banking and Finance
- Event: 2nd International Conference on Econophysics
- Event: MoneyScience Financial Training - Introduction to QuantLib Development with Luigi Ballabio
- Event: Longitudinal Network Analysis with RSiena
| Posted: 02 Sep 2013 02:06 AM PDT Press release about the Basel Committee and IOSCO issuing the final report on margin requirements for non-centrally-cleared derivatives (2 September 2013) Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: What is a secure data vault and should a bank be one? Posted: 02 Sep 2013 01:31 AM PDT I gave a presentation the other day and, as usual, concluded that banks should position themselves as data vaults. One person then asked: what data should a bank make secure? which is a good question to ask, as it led to a healthy debate and improvement of clarity of view.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: How to Maximize Lottery Revenue Posted: 01 Sep 2013 11:30 PM PDT As a proponent of the idea that people are oriented towards their relative success, not absolute wealth, I think this lottery idea is fiendishly clever. Here's a description from TheWeek of a clever way to capitalize on this instinct:A salient example is the "Postcode Lottery" in the Netherlands. Weekly it awards a "Street Prize" to one postal code, the Dutch equivalent of a zip code,... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Sep 2013 05:37 PM PDT We present a careful analysis of a set of effects that lead to significant biases in the estimation of the branching ratio n that quantifies the degree of endogeneity of how much past events trigger future events. We report (i) evidence of strong upward biases on the estimation of n when using power law memory kernels in the presence of a few outliers, (ii) strong effects on n resulting from the... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Sep 2013 05:37 PM PDT A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply, the agents' trading behaviors can affect the price process, which is called the feedback effect. The prospect agents make actions based on their reactions to... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Sep 2013 10:06 AM PDT [A version of this post appears on the O'Reilly Strata blog.]As organizations increasingly rely on large computing clusters, tools for leveraging and efficiently managing compute resources become critical. Specifically, tools that allow multiple services and frameworks run on the same cluster can significantly increase utilization and efficiency. Schedulers1 take into account policies and... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Rules, Part L Posted: 31 Aug 2013 03:10 AM PDT Countries are firms that produce claims on assets and goodsread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: Bats Global Markets & Direct Edge: A Brazilian Love Story? Posted: 30 Aug 2013 12:51 PM PDT Bats Global Markets & Direct Edge: A Brazilian Love Story?read more... Visit MoneyScience for the Complete Article.    |
| PhD student position on Agent-Based Computational Economics Posted: 30 Aug 2013 06:21 AM PDT A three-year PhD student position on Agent-based Computational Economics, starting January 1st 2014, is available at the Department of Mechanical, Energetics, Management and Transport Englineering of the University of Genova, Italy. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Aug 2013 05:32 PM PDT Most decision theories including expected utility theory, rank dependent utility theory and the cumulative prospect theory assume that investors are only interested in the distribution of returns and not about the states of the economy in which income is received. Optimal payoffs have their lowest outcomes when the economy is in a downturn, and this is often at odds with the needs of many... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Aug 2013 09:49 AM PDT Summer holidays offer for some of us time to break away from our daily routine, newswires, and analyst reports! For some others it is actually a great time to catch up on what was not read in the past few months. As I am in the first category, I had the pleasure of reading a very interesting piece of research on Credit e-trading as I got back to my computer. This was especially insightful for... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Aug 2013 05:40 PM PDT One of the findings of the recent literature is that the 2008 financial crisis caused reduction in international diversification benefits. To fully understand the possible potential from diversification, we build an empirical model which combines generalised autoregressive score copula functions with high frequency data, and allows us to capture and forecast the conditional time-varying joint... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Aug 2013 05:40 PM PDT We propose a modified algorithm - Multifractal Cross-Correlation Analysis (MFCCA) - that is able to consistently identify and quantify multifractal cross-correlations between two time series. Our motivation for introducing this algorithm is that the already existing methods like MF-DXA have serious limitations for most of the signals describing complex natural processes. The principal component... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Aug 2013 05:40 PM PDT The target of this paper is consider to model the risky asset price in the Knightian uncertain financial market, and pricing the upper (bid) and lower (ask) prices of the uncertain risk. The basic risky asset price model we construct here is drift uncertain and volatility uncertain, we describe such model by using general G-Brownian motion and call it as G-asset price system. We present the... Visit MoneyScience for the Complete Article.    |
| Event: The 8th Conference on Risk, Banking and Financial Stability Posted: 16 Jul 2013 12:38 PM PDT Location: Bali Nusa Dua Convention Centre; Date: September 24th, 2013; The theme of the conference would cover following broad topics of risk, financial stability and banking. Topics include but are not limited to:read more... Visit MoneyScience for the Complete Article.    |
| Event: 4th CEQURA Conference on Advances in Financial and Insurance Risk Management Posted: 16 Jul 2013 12:18 PM PDT Location: Munich, Germany; Date: September 23rd, 2013; Topics of interest include:read more... Visit MoneyScience for the Complete Article.    |
| Event: Understanding Banks in Emerging Markets Posted: 16 Jul 2013 12:07 PM PDT Location: European Bank for Reconstruction and Development (EBRD), London; Date: September 5th, 2013; The EBRD, the European Banking Center at Tilburg University, the Centre for Economic Policy Research and Review of Finance are hosting a two day conference in London to discuss the state of banking in emerging markets. The conference aims to bring together leading researchers... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Jul 2013 12:00 PM PDT Location: Great Lakes Institute of Management, Chennai, Tamil Nadu, India; Date: September 3rd, 2013; The Fourth Annual Great Lakes-Union Bank’s Conference on Emerging Issues in Banking and Finance will be organized by the Great Lakes Institute of Management, Chennai, Tamil Nadu, India. It is a research forum for academic scholars, financial analysts, bankers and financial consultants to... Visit MoneyScience for the Complete Article.    |
| Event: 2nd International Conference on Econophysics Posted: 01 May 2013 01:42 AM PDT Location: Greece Kavala Institute of Technology; Date: September 13th, 2013; The main goal of the ICE 2013 is to provide an opportunity for academics and professionals from a variety of fields to meet and exchange ideas and expertise.read more... Visit MoneyScience for the Complete Article.    |
| Event: MoneyScience Financial Training - Introduction to QuantLib Development with Luigi Ballabio Posted: 15 Apr 2013 04:00 AM PDT Location: MSE meeting rooms, 103a Oxford Street, London, W1D 2HG; Date: September 2nd, 2013; Read our interview with Luigi Ballabio about the origins of QuantLib, the plans for the future and a run-down on what to expect from this course.read more... Visit MoneyScience for the Complete Article.    |
| Event: Longitudinal Network Analysis with RSiena Posted: 18 Mar 2013 03:11 AM PDT Location: Bertinoro, Italy; Date: September 16th, 2013; The course is designed primarily for researchers who are currently doing longitudinal social network research or who are embarking upon it. More specifically, the course is about how to analyze panel data (observed at two or more discrete moments in time) on complete social networks (all the network ties within a set of actors are observed... Visit MoneyScience for the Complete Article.    |
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