MoneyScience News |
- Blog Post: TheAlephBlog: Sorted Weekly Tweets
- No such pipe, or this pipe has been deleted
- Blog Post: WealthandCapitalMarketsBlog: Lehman Anniversary Musings and Wish Lists
- Blog Post: TheFinancialServicesClub: SWIFT must stick to its "True North" (#Sibos 18)
- Published / Preprint: An exceedingly simple method of pricing American options
- Published / Preprint: Frictional costs of diversification: How many CTAs make a diversified portfolio?
- Published / Preprint: Informational dependency between spot and futures markets: Evidence from Turkish foreign exchange markets
- Published / Preprint: The procyclicality of hedge fund alpha and beta
- Published / Preprint: Empirical competitiveness of deterministic option pricing models: Evidences from the recent waves of financial upheavals in India
- Published / Preprint: Hedging under an expected loss constraint with small transaction costs. (arXiv:1309.4916v1 [q-fin.PM])
- Published / Preprint: A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD). (arXiv:1309.5046v1 [q-fin.TR])
- Published / Preprint: Non-linear dependences in finance. (arXiv:1309.5073v1 [q-fin.ST])
- Vendor News: September 19, 2013 - SS&C Announces Commencement of Public Offering of Common Stock
- Blog Post: Falkenblog: Historical CBO Budget Projection Highlights Bias
- Published / Preprint: Trade integration and trade imbalances in the European Union: a network perspective. (arXiv:1309.4156v1 [physics.soc-ph])
- Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/AaIDXWD0
| Blog Post: TheAlephBlog: Sorted Weekly Tweets Posted: 20 Sep 2013 11:07 PM PDT Monetary Policyread more... Visit MoneyScience for the Complete Article.      |
| No such pipe, or this pipe has been deleted Posted: 20 Sep 2013 01:36 PM PDT This data comes from pipes.yahoo.com but the Pipe does not exist or has been deleted. Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Lehman Anniversary Musings and Wish Lists Posted: 20 Sep 2013 12:38 AM PDT There are a multitude of Lehman Brothers anniversary stories going around, and perspectives can get lost. Hence, I decided to let a week pass before I commented on the fifth anniversary of the infamous collapse of Lehman. I promise to make these points short (and hopefully sweet).read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: SWIFT must stick to its "True North" (#Sibos 18) Posted: 20 Sep 2013 12:10 AM PDT As we leave SIBOS 2013, there are many good memories from the great conversations around innotribe, to the buzz of the exhibit hall â€" and yes, there was a buzz this year â€" to the immersion in the mainstream sessions to the fun evenings engaging in fine wine, food and dialogue. read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: An exceedingly simple method of pricing American options Posted: 20 Sep 2013 12:05 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 20 Sep 2013 12:05 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 20 Sep 2013 12:05 AM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The procyclicality of hedge fund alpha and beta Posted: 20 Sep 2013 12:05 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 20 Sep 2013 12:05 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 19 Sep 2013 05:38 PM PDT We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming approach. Explicit formulae are also... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Sep 2013 05:38 PM PDT We make several improvements to the mean-variance framework for optimal pre-trade algorithmic execution, by working with volume measures and generic price dynamics. Volume measures are the continuum analogies for discrete volume profiles commonly implemented in the execution industry. Execution then becomes an absolutely continuous measure over such a measure space, and its Radon-Nikodym... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Non-linear dependences in finance. (arXiv:1309.5073v1 [q-fin.ST]) Posted: 19 Sep 2013 05:37 PM PDT The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit for empirical probability distributions. I propose two extensions of usual tests when dependence is present in the sample data and when observations have a fat-tailed distribution. The financial content of... Visit MoneyScience for the Complete Article.    |
| Vendor News: September 19, 2013 - SS&C Announces Commencement of Public Offering of Common Stock Posted: 19 Sep 2013 05:49 AM PDT    |
| Blog Post: Falkenblog: Historical CBO Budget Projection Highlights Bias Posted: 17 Sep 2013 05:46 PM PDT Recently the CBO issued its annual budget projection, and it's pretty benign for the next decade, then climbs at a pretty measured pace.Yet, note that in the last recession our debt relative to GDP doubled. Given that economists still don't have a good model for predicting business cycles let alone avoiding recessions, we can expect more of them. I think the odds that we elect a modern-day... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2013 05:38 PM PDT We study the ever more integrated and ever more unbalanced trade relationships between European countries. To better capture the complexity of economic networks, we propose two global measures that assess the trade integration and the trade imbalances of the European countries. These measures are the network (or indirect) counterparts to traditional (or direct) measures such as the trade-to-GDP... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jan 2013 04:10 AM PST BusinessSchools: Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/AaIDXWD0 Visit MoneyScience for the Complete Article.    |
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