MoneyScience News |
- Published / Preprint: Agent-Based Stock Market Model with Endogenous Agents' Impact. (arXiv:1310.0762v1 [q-fin.TR])
- Blog Post: WealthandCapitalMarketsBlog: The Falling Rupee
- A new dawn
- Blog Post: iMFdirect: Giving Credit Where Credit is Due: How to Design Policies that Work
- Vendor News: October 2, 2013 - SS&C Acquires Prime Management Limited
- Blog Post: TheFinancialServicesClub: Maybe mobile needs to wait for the iGen(eration)
- Blog Post: TheAlephBlog: The Education of an Investment Risk Manager, Part VIII
- Published / Preprint: When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms. (arXiv:1310.0032v1 [q-fin.PR])
- Published / Preprint: Corporations and Regulators: The Game of Influence in Regulatory Capture. (arXiv:1310.0057v1 [q-fin.GN])
- Published / Preprint: On the martingale property in stochastic volatility models based on time-homogeneous diffusions. (arXiv:1310.0092v1 [math.PR])
- Published / Preprint: Modeling capital gains taxes for trading strategies of infinite variation. (arXiv:1309.7368v1 [q-fin.PM])
- Published / Preprint: The impact of lead time forecasting on the bullwhip effect. (arXiv:1309.7374v1 [math.PR])
- Published / Preprint: When to sell a Markov chain asset?. (arXiv:1309.7507v1 [q-fin.PR])
- Published / Preprint: Probabilistic aspects of finance. (arXiv:1309.7759v1 [q-fin.PR])
- Published / Preprint: Volatility, the Macroeconomy, and Asset Prices
- Published / Preprint: Who Writes the News? Corporate Press Releases During Merger Negotiations
- Published / Preprint: Are Analystsâ Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays
- Published / Preprint: Strategic Asset Allocation in Money Management
- Blog Post: PatrickBurns: On smart beta
- Published / Preprint: Market Index and Stock Price Direction Prediction using Machine Learning Techniques: An empirical study on the KOSPI and HSI. (arXiv:1309.7119v1 [cs.CE])
- Blog Post: ThePracticalQuant: Gaining access to the best machine-learning methods
- Event: 2nd Macrotheme Conference on Business, Economics, and Finance
- Event: 2nd Asset Management Summit
- Event: Enterprise Risk Management 2013
- Recent Advances in Algo and HF Trading - April, 2013 http://t.co/r2D4xkCe #hft #quant
- Workshop on Large deviations and asymptotic methods in finance - April 2013 http://t.co/n4HTy8bb
- Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/AaIDXWD0
- Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/aFBHC0Xm
- Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/wjKm46Bh
| Posted: 02 Oct 2013 05:39 PM PDT The three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing increasing trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal validation mechanism. This paper shows that such a model correctly reproduces the three fundamental stylised facts: fat-tail log returns, power-law volatility... Visit MoneyScience for the Complete Article.      |
| Blog Post: WealthandCapitalMarketsBlog: The Falling Rupee Posted: 02 Oct 2013 02:22 PM PDT The Indian Rupee has depreciated sharply against the US dollar in the last few months. It is currently down by 15% against the US dollar compared to its highest value reached during this year. Moreover, at its lowest point it has experienced 22% depreciation this year over the highest value it registered (against the dollar) during the calendar year. This blog aims to look at some of the possible... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Oct 2013 08:36 AM PDT It’s great to welcome our new students to the ICMAC – BSc, MSc, & PhD.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Giving Credit Where Credit is Due: How to Design Policies that Work Posted: 02 Oct 2013 06:28 AM PDT By Erik Oppersread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: October 2, 2013 - SS&C Acquires Prime Management Limited Posted: 02 Oct 2013 06:09 AM PDT    |
| Blog Post: TheFinancialServicesClub: Maybe mobile needs to wait for the iGen(eration) Posted: 02 Oct 2013 04:20 AM PDT It’s interesting talking with banks about mobile, and after hosting a meeting about the impact of mobile payments and banking on European banks this week, there is a homogeneity to the dialogue.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Education of an Investment Risk Manager, Part VIII Posted: 01 Oct 2013 10:19 PM PDT “So you’re the new investment risk manager?”read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Oct 2013 05:38 PM PDT We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid num\'eraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as num\'eraires. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Oct 2013 05:38 PM PDT In a market system, regulations are designed to prevent or rectify market failures that inhibit fair exchange, such as monopoly or transactions with hidden costs. Because regulations reduce profits to those possessing unfair advantage, these advantaged corporations (whether individuals, companies, or other collective organizations) are motivated to influence regulators. Regulatory bodies created... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Oct 2013 05:38 PM PDT Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c) give necessary and sufficient conditions in the case of perfect correlation (\rho=1). For financial applications, such as checking the martingale... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Sep 2013 05:38 PM PDT In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all c\`agl\`ad and adapted trading strategies. It is characterized as the unique continuous extension of the tax payments for elementary strategies w.r.t. the convergence "uniformly in probability". In this framework we prove that under... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Sep 2013 05:38 PM PDT In this article we quantify the bullwhip effect (the variance amplification in replenishment orders) when demands and lead times are predicted in a simple two-stage supply chain with one supplier and one retailer. In recent research the impact of stochastic order lead time on the bullwhip effect is investigated, but the effect of needing to predict / estimate the lead time is not considered in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: When to sell a Markov chain asset?. (arXiv:1309.7507v1 [q-fin.PR]) Posted: 30 Sep 2013 05:37 PM PDT This paper is concerned with an optimal stock selling rule under a Markov chain model. The objective is to find an optimal stopping time to sell the stock so as to maximize an expected return. Solutions to the associated variational inequalities are obtained. Closed-form solutions are given in terms of a set of threshold levels. Verification theorems are provided to justify their optimality.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Probabilistic aspects of finance. (arXiv:1309.7759v1 [q-fin.PR]) Posted: 30 Sep 2013 05:37 PM PDT In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability. In this survey paper, we review some of these developments and point to some areas that might deserve further investigation. We start by reviewing the basics... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Volatility, the Macroeconomy, and Asset Prices Posted: 30 Sep 2013 07:57 AM PDT How important are volatility fluctuations for asset prices and the macroeconomy? We find that an increase in macroeconomic volatility is associated with an increase in discount rates and a decline in consumption. We develop a framework in which cash flow, discount rate, and volatility risks determine risk premia and show that volatility plays a significant role in explaining the joint dynamics of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Who Writes the News? Corporate Press Releases During Merger Negotiations Posted: 30 Sep 2013 07:57 AM PDT Firms have an incentive to manage media coverage to influence their stock price during important corporate events. Using comprehensive data on media coverage and merger negotiations, we find that bidders in stock mergers originate substantially more news stories after the start of merger negotiations, but before the public announcement. This strategy generates a short-lived run-up in bidders'... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Sep 2013 07:57 AM PDT We demonstrate that time stamps reported in I/B/E/S for analysts’ recommendations released during trading hours are systematically delayed. Using newswire-reported time stamps, we find 30-minute returns of 1.83% (-2.10%) for upgrades (downgrades), but for this subset of recommendations we find corresponding returns of -0.07% (-0.09%) using I/B/E/S-reported time stamps. We also examine the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Strategic Asset Allocation in Money Management Posted: 30 Sep 2013 07:57 AM PDT This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers who compete for fund flows. We study such interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium investments. Driven by chasing and contrarian mechanisms when one is well ahead, they gamble in the opposite direction when their... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: On smart beta Posted: 30 Sep 2013 03:26 AM PDT A bit of perspective on a buzzword.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Sep 2013 05:37 PM PDT The prediction of a stock market direction may serve as an early recommendation system for short-term investors and as an early financial distress warning system for long-term shareholders. In this paper, we propose an empirical study on the Korean and Hong Kong stock market with an integrated machine learning framework that employs Principal Component Analysis (PCA) and Support Vector Machine... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Gaining access to the best machine-learning methods Posted: 29 Sep 2013 10:48 AM PDT [A version of this post appears on the O'Reilly Strata blog.]For companies in the early stages of grappling with big data, the analytic lifecycle (model building, deployment, maintenance) can be daunting. In earlier posts I highlighted some new tools that simplify aspects of the analytic lifecycle, including the early phases of model building. But while tools are allowing companies to offload... Visit MoneyScience for the Complete Article.    |
| Event: 2nd Macrotheme Conference on Business, Economics, and Finance Posted: 16 Jul 2013 12:54 PM PDT Location: Paris; Date: October 17th, 2013; Topics related to general business (management, marketing, accounting, corporate finance, information technology) economics (macroeconomics, microeconomics, international economics, etc), and finance (investments, corporate finance, international finance, banking, small business finance, etc.) Visit MoneyScience for the Complete Article.    |
| Event: 2nd Asset Management Summit Posted: 16 Jul 2013 12:48 PM PDT Location: Luxembourg; Date: October 16th, 2013; The Luxembourg School of Finance announces its 2nd Luxembourg Asset Management Summit, which will take place on October 16-18, 2013. This academic conference, which is held in connection with a high-level executive event, is devoted to issues central to the asset management industry.read more... Visit MoneyScience for the Complete Article.    |
| Event: Enterprise Risk Management 2013 Posted: 26 Jun 2013 11:40 AM PDT Location: New York City; Date: October 28th, 2013; Key topics include:• Determining the evolving role of the risk manager and the skillsets needed for the CROs of today and tomorrow• Overcoming regulatory uncertainty and preparing for the road ahead• Practically implementing ERM in a SME environment• Effectively linking Enterprise Risk Management to strategic decision making... Visit MoneyScience for the Complete Article.    |
| Recent Advances in Algo and HF Trading - April, 2013 http://t.co/r2D4xkCe #hft #quant Posted: 11 Jan 2013 04:58 AM PST BusinessSchools: Recent Advances in Algo and HF Trading - April, 2013 http://t.co/r2D4xkCe #hft #quant Visit MoneyScience for the Complete Article.    |
| Workshop on Large deviations and asymptotic methods in finance - April 2013 http://t.co/n4HTy8bb Posted: 11 Jan 2013 04:58 AM PST BusinessSchools: Workshop on Large deviations and asymptotic methods in finance - April 2013 http://t.co/n4HTy8bb 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.    |
| Posted: 11 Jan 2013 03:40 AM PST moneyscience: Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/aFBHC0Xm 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.    |
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