Monday, September 9, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Things worth reading: 9th September 2013

Posted: 09 Sep 2013 12:00 AM PDT

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

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Blog Post: Falkenblog: MSCI Quality Index

Posted: 08 Sep 2013 06:17 PM PDT

I was unaware MSCI had beaten AQR to the punch by producing a boatload of quality indices last spring.  These are applied worldwide, so they are necessarily more parsimonious than AQRs...but jeez, these are really barebones:1) Net Income/Book Equity2) Debt/Book Equity3) Earnings volatility over 5 yearsInstructively, they Winsorize the data, which everyone should do to financial ratios (ie,...

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Published / Preprint: Commodity futures and market efficiency. (arXiv:1309.1492v1 [q-fin.ST])

Posted: 08 Sep 2013 05:39 PM PDT

We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat and coffee. On the other end of the ranking, we detect live...

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Published / Preprint: Analytical Pricing of Defaultable Discrete Coupon Bonds in Unified Model of Structural and Reduced Form Models. (arXiv:1309.1647v1 [q-fin.PR])

Posted: 08 Sep 2013 05:39 PM PDT

Pricing formulae for defaultable corporate bonds with discrete coupons (under consideration of the government taxes) in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the structural model for defaultable corporate discrete coupon bonds (considered in [1]) into the unified model of structural and reduced form models. In our model the...

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Blog Post: ThePracticalQuant: Data Analysis: Just one component of the Data Science workflow

Posted: 08 Sep 2013 10:07 AM PDT

[A version of this post appears on the O'Reilly Strata blog.]Judging from articles in the popular press the term data scientist has increasingly come to refer to someone who specializes in data analysis (statistics, machine-learning, etc.). This is unfortunate since the term originally described someone who could cut across disciplines. Far from being confined to data analysis, a typical data...

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