MoneyScience News |
- Blog Post: TheAlephBlog: The Rules, Part LII
- Blog Post: TheFinancialServicesClub: Using big data to trace money laundering and fraud
- Published / Preprint: Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty. (arXiv:1309.1420v1 [math.PR])
- Published / Preprint: 05Sep/Triennial Central Bank Survey of foreign exchange turnover in April 2013 - preliminary results released by the BIS
- Published / Preprint: 05Sep/Triennial Central Bank Survey of interest rate derivatives turnover in April 2013 - preliminary results released by the BIS
- Vendor News: September 4, 2013 - Kenanga Investors Berhad Selects SS&C PORTIA for its Investment Operations Platform
- Published / Preprint: Short-term Market Reaction after Trading Halts in Chinese Stock Market. (arXiv:1309.1138v1 [q-fin.TR])
- Blog Post: Falkenblog: de Botton on Status Anxiety
- Published / Preprint: Exact Simulation of Wishart Multidimensional Stochastic Volatility Model. (arXiv:1309.0557v1 [q-fin.PR])
- Published / Preprint: Long-term memory in electricity prices: Czech market evidence. (arXiv:1309.0582v1 [q-fin.ST])
- Published / Preprint: Segmentation procedure based on Fisher's exact test and its application to foreign exchange rates. (arXiv:1309.0602v1 [stat.ME])
- Blog Post: PatrickBurns: US market portrait 2013 week 35
- Published / Preprint: On the Stochastic Solution to a Cauchy Problem Associated with Nonnegative Price Processes. (arXiv:1309.0046v1 [math.PR])
- Published / Preprint: ADI schemes for pricing American options under the Heston model. (arXiv:1309.0110v1 [q-fin.CP])
- Published / Preprint: Learning from the past, predicting the statistics for the future, learning an evolving system. (arXiv:1309.0260v1 [q-fin.ST])
- Published / Preprint: Development Towards Sustainability: How to judge past and proposed policies?. (arXiv:1309.0348v1 [physics.soc-ph])
- Published / Preprint: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions. (arXiv:1309.0461v1 [math.OC])
- Published / Preprint: Smooth solutions to portfolio liquidation problems under price-sensitive market impact. (arXiv:1309.0474v1 [q-fin.PM])
- Published / Preprint: Endogenous bubbles in an equilibrium model of rational and noise traders without strategy switching. (arXiv:1109.4726v2 [q-fin.ST] UPDATED)
- Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/wjKm46Bh
- Blog Post: OlsenBlog: Review of 2012 & Outlook for 2013
| Blog Post: TheAlephBlog: The Rules, Part LII Posted: 07 Sep 2013 09:51 PM PDT ge + E/P > ilongest bondread more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Using big data to trace money laundering and fraud Posted: 06 Sep 2013 12:41 AM PDT Talking of interesting surveys, I received another one recently about money laundering.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Sep 2013 05:38 PM PDT We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market consisting of a money market account and a single stock whose trading is subject to proportional transaction cost and whose price dynamic is modeled by a family of probability measures, possibly non-dominated. Under a continuity assumption, we prove using a backward-forward scheme that the absence of arbitrage... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Sep 2013 06:07 AM PDT BIS Press Release on the "Triennial Central Bank Survey of foreign exchange turnover in April 2013 - preliminary results" Visit MoneyScience for the Complete Article.    |
| Posted: 05 Sep 2013 06:07 AM PDT BIS Press Release on the "Triennial Central Bank Survey of interest rate derivatives turnover in April 2013 - preliminary results" Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2013 06:06 PM PDT    |
| Posted: 04 Sep 2013 05:39 PM PDT In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday halts, one-day halts and inter-day halts, of 203 stocks in Shanghai Stock Exchange from August 2009 to August 2011. We find that absolute return, trading volume,... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: de Botton on Status Anxiety Posted: 04 Sep 2013 05:37 PM PDT I find Alain de Botton's approach to philosophy rather refreshing, because one senses his genuine lack of certainty, and appreciation of discovering, in his works. Indeed, he was rather insightfully quoted in a NYT review of Sophie Fontanel's book on her self-induced celibacy, which highlighted his breadth and profundity. Anyway, here's de Botton on status anxiety. He argues that... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Sep 2013 05:38 PM PDT In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model, which was recently introduced by Da Fonseca et al. \cite{DGT08}. Our method is based onanalysis of the conditional characteristic function of the log-price given volatility level. In particular, we found an explicit expression for the conditional characteristic function... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Sep 2013 05:38 PM PDT We analyze long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. As the dynamics of the electricity prices is dominated by cycles -- mainly intraday and daily -- we opt for the detrended fluctuation analysis, which is well suited for such specific series. We find that the electricity prices are non-stationary but strongly mean-reverting which... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Sep 2013 05:38 PM PDT This study proposes the segmentation procedure of univariate time series based on Fisher's exact test. We show that an adequate change point can be detected as the minimum value of p-value. It is shown that the proposed procedure can detect change points for an artificial time series. We apply the proposed method to find segments of the foreign exchange rates recursively. It is also applied to... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2013 week 35 Posted: 03 Sep 2013 12:26 PM PDT US large cap market returns. (Missing a day because of technical problems.)read more... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Sep 2013 05:38 PM PDT We consider the stochastic solution to a Cauchy problem corresponding to a nonnegative diffusion with zero drift, which represents a price process under some risk-neutral measure. When the diffusion coefficient is locally H\"{o}lder continuous with some exponent in (0,1], the stochastic solution is shown to be a classical solution. A comparison theorem for the Cauchy problem is also proved,... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Sep 2013 05:38 PM PDT In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential complementarity problem. The stability and convergence of the new methods are extensively investigated in actual, challenging applications. In addition a relevant... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Sep 2013 05:38 PM PDT Regression analysis aims to use observational data from multiple observations to develop a functional relationship relating explanatory variables to response variables, which is important for much of modern statistics, and econometrics, and also the field of machine learning. In this paper, we consider the special case where the explanatory variable is a stream of information, and the response is... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Sep 2013 05:38 PM PDT The scientific data about the state of our planet, presented at the 2012 (Rio+20) summit, documented that today's human family lives even less sustainably than it did in 1992. The data indicate furthermore that the environmental impacts from our current economic activities are so large, that we are approaching situations where potentially controllable regional problems can easily lead to... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Sep 2013 05:38 PM PDT We establish existence and regularity results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of a non-Markovian stochastic control optimal problem in which the terminal state of the controlled process is prespecified. The analysis of such control problems is motivated by models of optimal portfolio... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Sep 2013 05:38 PM PDT We establish existence and uniqueness of a classical solution to a semilinear parabolic partial differential equation with singular initial condition. This equation describes the value function of the control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit active orders to a primary market and passive... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Sep 2013 05:38 PM PDT We introduce a model of financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and maximize their expected utility with respect to their allocation on the risky asset versus the risk-free asset. Noise traders are subjected to social imitation and follow momentum... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jan 2013 03:28 AM PST BusinessSchools: Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/wjKm46Bh Visit MoneyScience for the Complete Article.    |
| Blog Post: OlsenBlog: Review of 2012 & Outlook for 2013 Posted: 11 Jan 2013 02:34 AM PST Political and economic uncertainty paralyzed the markets and was a drag on market liquidity, which contributed to erratic market moves in 2012. At OLSEN, we introduced new trading models with refined money management rules and upgraded our risk management framework. We were invited to participate in a research project funded by the EU to analyze the microstructure of markets. Our fully automated... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |