MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 24th September 2013
- Blog Post: TheAlephBlog: Classic: Two Ways to Analyze Corporate Bonds
- Published / Preprint: New measure of multifractality and its application in finances. (arXiv:1309.5466v1 [q-fin.ST])
- Published / Preprint: Call option on the maximum of the interest rate in the one factor affine model. (arXiv:1309.5565v1 [q-fin.PR])
- Published / Preprint: The Relationship Between Stock Market Parameters and Interbank Lending Market: an Empirical Evidence. (arXiv:1309.5703v1 [q-fin.ST])
- Published / Preprint: The fine structure of volatility feedback II: overnight and intra-day effects. (arXiv:1309.5806v1 [q-fin.ST])
- Published / Preprint: Mergers and Acquisitions Accounting and the Diversification Discount
- Blog Post: iMFdirect: Lagarde: Women Can Help Grow the World Economy
- Blog Post: PatrickBurns: Review of 'Governance Reimaginedâ by David Koenig
- Vendor News: September 23, 2013 - SS&C GlobeOp Forward Redemption Indicator: September notifications 4.21%
- Published / Preprint: Hedging under multiple risk constraints. (arXiv:1309.5094v1 [q-fin.RM])
- Published / Preprint: Dynamics of probabilistic labor markets: statistical physics perspective. (arXiv:1309.5158v1 [q-fin.GN])
- Published / Preprint: Optimal Liquidity Provision in Limit Order Markets. (arXiv:1309.5235v1 [q-fin.TR])
- Published / Preprint: Credit Risk and the Instability of the Financial System: an Ensemble Approach. (arXiv:1309.5245v1 [q-fin.RM])
- Published / Preprint: Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo. (arXiv:1309.5274v1 [q-fin.CP])
- Blog Post: ThePracticalQuant: Stream Processing and Mining just got more interesting
| Blog Post: TheFinancialServicesClub: Things worth reading: 24th September 2013 Posted: 24 Sep 2013 01:50 AM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Classic: Two Ways to Analyze Corporate Bonds Posted: 23 Sep 2013 11:19 PM PDT This was written on July 16, 2004. I republish it now because it cannot be found on RealMoney’s website. If you subscribe to RealMoney, demand that you can see my old posts.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Sep 2013 05:39 PM PDT We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent $h(q)$ for all moment orders $q$, not limited only to the edge values of $h(q)$ describing in MFDFA scaling properties of smallest and largest fluctuations in signal. The meaning of this new... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Sep 2013 05:39 PM PDT We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies Cox-Ingersoll-Ross's model. This generalizes considerably one result of Leblanc-Scaillet. Visit MoneyScience for the Complete Article.    |
| Posted: 23 Sep 2013 05:39 PM PDT The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the stock exchange. Visit MoneyScience for the Complete Article.    |
| Posted: 23 Sep 2013 05:39 PM PDT We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intraday contributions. We find, as perhaps expected, that the overnight and intraday returns behave completely differently. For example, while past intraday returns affect equally the future intraday and overnight volatilities, past overnight returns have a weak effect on future intraday volatilities... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Mergers and Acquisitions Accounting and the Diversification Discount Posted: 23 Sep 2013 10:29 AM PDT q-based measures of the diversification discount are biased upward by mergers and acquisitions and its accounting implications. Under purchase accounting acquired assets are reported at their transaction value, which typically exceeds the target's pre-merger book value. Thus, measured q tends to be lower for the merged firm than for the portfolio of pre-merger entities. Because conglomerates are... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Lagarde: Women Can Help Grow the World Economy Posted: 23 Sep 2013 10:00 AM PDT Hot off the press: a new study out today from our economists pointing to the striking economic benefits that could come from increased female participation in the work force.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: Review of 'Governance Reimaginedâ by David Koenig Posted: 23 Sep 2013 03:46 AM PDT The subtitle is “Organizational Design, Risk, and Value Creation”.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Sep 2013 01:10 AM PDT    |
| Published / Preprint: Hedging under multiple risk constraints. (arXiv:1309.5094v1 [q-fin.RM]) Posted: 22 Sep 2013 05:37 PM PDT Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of stochastic benchmarks. For a specified loss function, the expected shortfall with respect to each of the benchmarks weighted by this loss function must remain bounded by a given threshold. We consider different... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2013 05:37 PM PDT We introduce a toy probabilistic model to analyze job-matching processes in recent Japanese labor markets for university graduates by means of statistical physics. We show that the aggregation probability of each company is rewritten by means of non-linear map under several conditions. Mathematical treatment of the map enables us to discuss the condition on which the rankings of arbitrary two... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2013 05:37 PM PDT A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determine the investor's optimal policy and welfare. In doing so, we allow for general dynamics of the mid price, the spread, and the order flow, as well as for arbitrary preferences of the liquidity provider under... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2013 05:37 PM PDT The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this problem is amenable to be treated with approaches developed in statistical physics. We introduce the idea of ensemble averaging and thereby uncover generic... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2013 05:37 PM PDT The Least Squares Monte Carlo (LSMC) method is widely applied to solve stochastic optimal control problems, such as pricing American-style options. A central part of LSMC is the approximation of conditional expectations across each time-step. Conventional algorithms regress the value function at the end of the time-step on a set of basis functions, which aremeasurable with respect to the... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Stream Processing and Mining just got more interesting Posted: 22 Sep 2013 11:06 AM PDT [A version of this post appears on the O'Reilly Strata blog.]Largely unknown outside data engineering circles, Apache Kafka is one of the more popular open source, distributed computing projects. Many data engineers I speak with either already use it or are planning to do so. It is a distributed message broker used to store1 and send data streams. Kafka was developed by Linkedin were it remains a... Visit MoneyScience for the Complete Article.    |
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