Friday, September 27, 2013

MoneyScience News

MoneyScience News


Published / Preprint: 27Sep/Report on China's implementation of Basel III published by the Basel Committee

Posted: 27 Sep 2013 12:47 AM PDT

Press release about "Report on China's implementation of Basel III published by the Basel Committee" (27 September 2013)

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Blog Post: TheFinancialServicesClub: Things worth reading: 27th September 2013

Posted: 26 Sep 2013 11:19 PM PDT

Things we're reading today include ... read more...

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Blog Post: TheAlephBlog: On Leveraged Municipal Bond Closed-End Funds

Posted: 26 Sep 2013 09:47 PM PDT

I’ve received two notes recently on Closed-end Leveraged Muni Bond Funds.  Here’s one:read more...

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Published / Preprint: Optimal Execution Trajectories. Linear Market Impact with Exponential Decay. (arXiv:1309.6725v1 [q-fin.TR])

Posted: 26 Sep 2013 05:38 PM PDT

Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon.

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Published / Preprint: A new financial metric for the art market. (arXiv:1309.6929v1 [q-fin.GN])

Posted: 26 Sep 2013 05:38 PM PDT

This paper introduces a new financial metric for the art market. The metric is based on the price per unit of area and is applicable to two-dimensional art objects such as paintings.

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Blog Post: ThePracticalQuant: Databricks aims to build next-generation analytic tools for Big Data

Posted: 26 Sep 2013 07:07 AM PDT

[A version of this post appears on the O'Reilly Strata blog.]Key technologists behind the Berkeley Data Analytics Stack (BDAS) have launched a company that will build software - centered around Apache Spark and Shark - for analyzing big data. Details of their product and strategy are sparse, as the company is operating in stealth mode. But through conversations with the founders of Databricks,...

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Blog Post: iMFdirect: Taming government debt'it can be done, but it ainât easy

Posted: 26 Sep 2013 06:18 AM PDT

By Helge Berger and  Justin Tysonread more...

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Published / Preprint: General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application. (arXiv:1309.6505v1 [q-fin.PR])

Posted: 25 Sep 2013 05:39 PM PDT

We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security pricing. In particular, we focus on finding representation of the gradient (with...

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Posted: 25 Sep 2013 05:18 PM PDT

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Published / Preprint: 25Sep/Basel III monitoring results published by the Basel Committee

Posted: 25 Sep 2013 01:06 AM PDT

Press release about "Basel III monitoring results published by the Basel Committee" (25 September 2013)

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Published / Preprint: Control of the socio-economic systems using herding interactions. (arXiv:1309.6105v1 [physics.soc-ph])

Posted: 24 Sep 2013 05:38 PM PDT

Collective behavior of the complex socio-economic systems is heavily influenced by the herding, group, behavior of individuals. The importance of the herding behavior may enable the control of the collective behavior of the individuals. In this contribution we consider a simple agent-based herding model modified to include agents with controlled state. We show that in certain case even the...

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Published / Preprint: Change of measure up to a random time: Details. (arXiv:1309.6141v1 [math.PR])

Posted: 24 Sep 2013 05:38 PM PDT

This paper extends results from Mortimer and Williams (1991) about changes of probability measure up to random times. Many new classes of examples involving honest times and pseudo-stopping times are provided. Furthermore, we discuss the question of market viability up to a random time.

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Published / Preprint: Pricing and Hedging Derivative Securities with Unknown Local Volatilities. (arXiv:1309.6164v1 [q-fin.PR])

Posted: 24 Sep 2013 05:38 PM PDT

A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the price dynamics of the underlying security over short time scales. Here we assume that traders have an objective knowledge about the underlying security's price...

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Blog Post: Falkenblog: Bye

Posted: 24 Sep 2013 11:36 AM PDT

I've got a new job with Pine River, and I really want my new colleagues to know I'm not going to blab about anything that comes up, so blogging is now really over.  Of course, if you bump into me you can always buy me drinks and try to get me spill the beans, but I should warn you, I can drink a lot of beer. Best.

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Henley Business School welcomes Her Majesty the Queen for three-county Diamond Jubilee Garden Party

Posted: 24 Sep 2013 10:59 AM PDT

Henley Business School at the University of Reading was delighted to welcome Her Majesty The Queen and His Royal Highness The Duke of Edinburgh for a summer garden party on Monday 25 June.....

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Blog Post: WealthandCapitalMarketsBlog: OTC Derivatives in Asia

Posted: 24 Sep 2013 09:06 AM PDT

Over-the-counter (OTC) derivatives have come under scrutiny since the Global Financial Crisis (GFC) of 2008. The global OTC derivative market is primarily dominated by the US and Europe, with Asia accounting for less than 10% of notional outstanding. The Asian financial market, unlike its western counterparts, is not a homogeneous entity. Rather, the countries in the region are divided along...

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