MoneyScience News |
- Published / Preprint: Grand canonical minority game as a sign predictor. (arXiv:1309.3399v1 [stat.AP])
- Published / Preprint: Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach. (arXiv:1309.3479v1 [q-fin.PM])
- Blog Post: TheFinancialServicesClub: How will the waiter bring the bill tomorrow?
- New books in investment management from Wiley
- Blog Post: ThePracticalQuant: How Twitter monitors millions of time-series
- Blog Post: PatrickBurns: US market portrait 2013 week 37
- Published / Preprint: 15Sep/September 2013 Quarterly Review: Markets precipitate tightening
| Posted: 15 Sep 2013 05:39 PM PDT In this paper the extended model of Minority game (MG), incorporating variable number of agents and therefore called Grand Canonical, is used for prediction. We proved that the best MG-based predictor is constituted by a tremendously degenerated system, when only one agent is involved. The prediction is the most efficient if the agent is equipped with all strategies from the Full Strategy Space.... Visit MoneyScience for the Complete Article.      |
| Posted: 15 Sep 2013 05:39 PM PDT We consider an investor with constant absolute risk aversion who trades a risky asset with general Ito dynamics, in the presence of small proportional transaction costs. Kallsen and Muhle-Karbe (2012) formally derived the leading-order optimal trading policy and the associated welfare impact of transaction costs. In the present paper, we carry out a convex duality approach facilitated by the... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: How will the waiter bring the bill tomorrow? Posted: 15 Sep 2013 12:50 PM PDT So I gave the waiter the international sign for the check please in the bar last night, by writing the wavy signature in the air.read more... Visit MoneyScience for the Complete Article.    |
| New books in investment management from Wiley Posted: 15 Sep 2013 12:15 PM PDT Gain the insight of Rosenbaum and Pearl’s combined 30+ years of experience on a multitude of transactions, as well as input received from numerous investment bankers, investment professionals at private equity firms and hedge funds, attorneys, corporate executives, peer authors, and university professors.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: How Twitter monitors millions of time-series Posted: 15 Sep 2013 10:36 AM PDT [A version of this post appears on the O'Reilly Strata blog.]One of the keys to Twitter's ability to process 500 millions tweets daily is a software development process that values monitoring and measurement. A recent post from the company's Observability team detailed the software stack for monitoring the performance characteristics of software services, and alert teams when problems occur. The... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2013 week 37 Posted: 15 Sep 2013 04:16 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 15Sep/September 2013 Quarterly Review: Markets precipitate tightening Posted: 15 Sep 2013 02:48 AM PDT BIS Quarterly Review - 15 September 2013 (BIS Press Release) Visit MoneyScience for the Complete Article.    |
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