MoneyScience News |
- Published / Preprint: Enhancing the effectiveness of the 21st century Board of Directors: Part II
- Published / Preprint: Forty proposals to strengthen: The public company Board of Directorâs role in value creation; management accountability to the Board; and Board accountability to shareholders
- Published / Preprint: The concept of the functionality grid and technological literacy
- Published / Preprint: Is information on boards useful for investorsâ appraisal of a firm's value?
- Published / Preprint: Corporate governance: A panoramic view of Brazilian boards of directors
- Published / Preprint: Board behaviours: Bringing challenge in the bank boardroom
- Blog Post: TheAlephBlog: The Rules, Part LV
- Published / Preprint: Order Estimates for the Exact Lugannani-Rice Expansion. (arXiv:1310.3347v1 [q-fin.CP])
- Published / Preprint: Regulatory-Optimal Funding. (arXiv:1310.3386v1 [q-fin.PR])
- Published / Preprint: Seven Sins in Portfolio Optimization. (arXiv:1310.3396v1 [q-fin.PM])
- Published / Preprint: Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction. (arXiv:1310.3572v1 [q-fin.CP])
- Published / Preprint: A primal-dual algorithm for BSDEs. (arXiv:1310.3694v1 [q-fin.CP])
- Blog Post: rob_daly: We Get It: The Markets are Fine
- Blog Post: TheFinancialServicesClub: SEPA end-dates: the challenges of compliance
- Published / Preprint: Optimistic versus Pessimistic--Optimal Judgemental Bias with Reference Point. (arXiv:1310.2964v1 [q-fin.GN])
- Published / Preprint: Taylor approximation of incomplete Radner equilibrium models. (arXiv:1310.2973v1 [q-fin.PM])
- Published / Preprint: Power identities for L\'evy risk models under taxation and capital injections. (arXiv:1310.3052v1 [q-fin.PR])
- Blog Post: ThePracticalQuant: Stream Mining essentials
- Blog Post: iMFdirect: Europe's Choice: Risk Stagnation or Pursue Integration
- Vendor News: October 11, 2013 - SS&C GlobeOp Hedge Fund Performance Index: September performance 1.84%; Capital Movement Index: October net flows decline 1.28%
- Event: Australia FIX Conference
- Blog Post: WealthandCapitalMarketsBlog: Back Office Outsourcing by Buy Side Firms
- Blog Post: PatrickBurns: The look of verifying data
- Blog Post: filmackay: Sponsored Access: feathering the nest of a Black Swan?
- A new dawn
- Vendor News: Fidessa wins accolade in Asian F&O space
- No such pipe, or this pipe has been deleted
- Blog Post: Falkenblog: Bye
- Henley Business School welcomes Her Majesty the Queen for three-county Diamond Jubilee Garden Party
- Mark Joshi drops first release of Kooderive, an open source library for pricing derivatives using GPUs
- Mark Joshi drops first release of Kooderive, an open source library for pricing derivatives using GPUs
- New books in investment management from Wiley
- Shop the Bloomberg Financial series
- Nicole El Karoui - The Future of Financial Mathematics
- PhD student position on Agent-Based Computational Economics
- Vendor News: Mr. Leo Puri to Step down from the Infosys Board of Directors
- Investor Relations (2nd Edition) - an interview with author Anne Guimard
- Event: 2nd Macrotheme Conference on Business, Economics, and Finance
- Event: 2nd Asset Management Summit
- Event: Enterprise Risk Management 2013
- Strategy, Value and Risk - An Interview with Jamie Rogers
- The Europlace Institute of Finance - Call for research projects, Deadline: July 31, 2013
- Blog Post: emotionalfinance: It's cloudsâ illusions I recall . . . trading and the illusion of control
- Wiley Finance - Measuring and Managing Risk
- Link Library: Video - One Half Second of High Frequency Trading in a Single Stock
- Research Library: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
- Women in Quantitative Finance #2 - Interview with Dr Lisa Borland
- Research Library: Quantifying Collective Attention from Tweet Stream
- MoneyScience Research Digest: March - April 2013
- Video - Professor David Cliff Discusses High Frequency Trading
- Vendor News: Portfolio Probe version 1.06 released
- INET and CIGI Seek Proposals for Research Grants of up to $250,000
- Research Library: Quantifying Trading Behavior in Financial Markets Using Google Trends
- Research Library: Existential Risk Prevention as a Global Priority
- Wiley-Blackwell - FREE access to the latest research on Insider Trading
- The ICMA Centre strongly represented in Greece
- Research Library: Open Access to Data: An Ideal Professed but Not Practised
- Open Source Finance 2. OpenGamma, Risk Analytics and Next Generation Financial Technology
- Research Library: A Guide to Modeling Counterparty Credit Risk
- Research Library: The New Investor
- Research Library: Cyclic Game Dynamics Driven by Iterated Reasoning
- Profiting from Monetary Policy: Investing through the Business Cycle - An interview with Thomas Aubrey
- Powerful people are looking out for their future selves
- Research Library: Head and Shoulders above the Rest? The Performance of Institutional Portfolio Managers who Use Technical Analysis
- Announcing the Ethics in Finance-Robin Cosgrove Prize 2012-2013
- Video: Larry Tabb on The Future Of Data Management in a post-Crisis World
- Research Library: An FDA for Financial Innovation: Applying the Insurable Interest Doctrine to 21st Century Financial Markets
- Research Library: High-Frequency Trading and the Execution Costs of Institutional Investors (pdf)
- SEC-mandated XBRL data at risk of being irrelevant to investors and analysts
- Research Library: The Trading Profits of High Frequency Traders
- RT @davdittrich: Nice interview with Richard Thaler, Prof of Behavioural Science and Economics, University of Chicago http://t.co/yeJYaWJv
- Feat. Book: The International Banking System: Capital Adequacy, Core Businesses & Risk Management http://t.co/Yl2sm3je @PalMacFinance
- MoneyScience Daily is out! http://t.co/aGkJAVQE : Top stories today via @wellertimothy @ThemisSal @BusinessSchools
- Research Library: Unlimited Growth and Innovation: Paradise or Paradox?
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @AstonMBA @gwbusiness @andrewtghill
- Journal of Finance Volume 68, Issue 1 (Feb 2013) is online and free to view http://t.co/WtlSLgV4 @JofFinance @wb_finance
- Forecasting Financial Crises Project: A Short Documentary - http://t.co/1U3oqpeS
- Mark Thoma's Paper on 'Bad Advice from Experts, Herding, and Bubbles' http://t.co/pCFkTlpi and some criticism: http://t.co/pCFkTlpi
- Many JSTOR Journal Archives Now Free to Public http://t.co/5zPS5NKe
- 5 yrs ago regulators didnât see the storm coming. Would they see a new one brewing now? Research from Rick Bookstaber http://t.co/4uNf4TbW
- Research Library: A Brief Introduction to the Basics of Game Theory
- Research Library: Using Agent-Based Models for Analyzing Threats to Financial Stability (pdf)
- The Missing "One-Offs": The Hidden Supply of High-Achieving, Low Income Students http://t.co/hvjMIRWv
- Robert Litzenberger Selected As The Recipient Of The 2012 IAFE/SunGard Financial Engineer Of The Year http://t.co/6ny34jSb
- Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @Vlerick @KelleySchool @AuckUniBusiness
- And somehow I missed this in December: Bob Litzenberger became 2012 IAFE/SunGard Financial Engineer Of The Year http://t.co/6ny34jSb
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @ricemba @Kaplan_Univ @BaruchCollege
- Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @KACNY @cornellnews @UTexasMcCombs
- .@icmacentre: Speculative Bubbles and the Cross-Sectional Variation in Stock Returns http://t.co/GmGlJ6Dm
- Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/rUPuVPLw
- Frontiers in Financial Mathematics 2013 - June 2013 http://t.co/UZze8mB2 #quant
- 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
- Blog Post: OlsenBlog: Review of 2012 & Outlook for 2013
- Greed, not generosity, more likely to be 'paid forward'
| Published / Preprint: Enhancing the effectiveness of the 21st century Board of Directors: Part II Posted: 14 Oct 2013 11:15 PM PDT Visit MoneyScience for the Complete Article.      |
| Posted: 14 Oct 2013 11:15 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The concept of the functionality grid and technological literacy Posted: 14 Oct 2013 11:15 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 14 Oct 2013 11:15 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Corporate governance: A panoramic view of Brazilian boards of directors Posted: 14 Oct 2013 11:15 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Board behaviours: Bringing challenge in the bank boardroom Posted: 14 Oct 2013 11:15 PM PDT Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Rules, Part LV Posted: 14 Oct 2013 09:38 PM PDT Financial intermediation reduces volatility. In bull markets, demand for financial intermediaries drops.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Oct 2013 05:39 PM PDT The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent identically distributed random variables. Because of its tractability, the formula is now widely used in practical financial engineering as an approximation formula for the distribution of a (single) random variable. In... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Regulatory-Optimal Funding. (arXiv:1310.3386v1 [q-fin.PR]) Posted: 14 Oct 2013 05:39 PM PDT Funding is a cost to trading desks that they see as an input. Current FVA-related literature reflects this by also taking funding costs as an input, usually constant, and always risk-neutral. However, this funding curve is the output from a Treasury point of view. Treasury must consider Regulatory-required liquidity buffers, and both risk-neutral (Q) and physical measures (P). We describe the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Seven Sins in Portfolio Optimization. (arXiv:1310.3396v1 [q-fin.PM]) Posted: 14 Oct 2013 05:39 PM PDT Although modern portfolio theory has been in existence for over 60 years, fund managers often struggle to get its models to produce reliable portfolio allocations without strongly constraining the decision vector by tight bands of strategic allocation targets. The two main root causes to this problem are inadequate parameter estimation and numerical artifacts. When both obstacles are overcome,... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Oct 2013 05:39 PM PDT In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A primal-dual algorithm for BSDEs. (arXiv:1310.3694v1 [q-fin.CP]) Posted: 14 Oct 2013 05:39 PM PDT We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization schemes of (reflected) backward stochastic differential equations (BSDEs). Taking as an input some approximate solution of the backward dynamic program, which was pre-computed, e.g., by least-squares Monte Carlo, our... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: We Get It: The Markets are Fine Posted: 14 Oct 2013 10:17 AM PDT We Get It: The Markets are Fineread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: SEPA end-dates: the challenges of compliance Posted: 14 Oct 2013 04:10 AM PDT Open an industry publication these days and you will find articles, reports and comments lamenting the "SEPA end-date" of February 2014. In just a few months' time massive changes will take place in the payments industry in Europe, impacting banks, corporates, clearing houses and consumers. The Single Euro Payments Area project (SEPA for short) will have reached its end-date. What... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Oct 2013 05:38 PM PDT This paper develops a model of reference-dependent assessment of subjective beliefs in which loss-averse people optimally choose the expectation as the reference point to balance the current felicity from the optimistic anticipation and the future disappointment from the realisation. The choice of over-optimism or over-pessimism depends on the real chance of success and optimistic decision makers... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Oct 2013 05:38 PM PDT In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic models and prove that the corresponding incomplete equilibrium is characterized by a coupled set of Riccati equations. Finally, we prove that... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Oct 2013 05:38 PM PDT In this paper we study a spectrally negative L\'evy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus process subject to tax payments according to a loss-carry-forward scheme together with the flow of minimal capital injections required to keep the surplus... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Stream Mining essentials Posted: 13 Oct 2013 10:38 AM PDT [A version of this post appears on the O'Reilly Strata blog.]A series of open source, distributed stream processing frameworks have become essential components in many big data technology stacks. Apache Storm remains the most popular, but promising new tools like Spark Streaming and Apache Samza are going to have their share of users. These tools excel at data processing and are also used for... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Europe's Choice: Risk Stagnation or Pursue Integration Posted: 11 Oct 2013 08:29 AM PDT By Nemat Shafikread more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Oct 2013 01:08 AM PDT    |
| Event: Australia FIX Conference Posted: 10 Oct 2013 02:41 AM PDT Location: Sydney, Australia; Date: October 16th, 2013; The FIX Trading Community Australia FIX Conference has already been established as the leading electronic trading event in Australia where industry peers and colleagues who all work, compete and face the same challenges come together to discuss the most pressing issues of the industry.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Back Office Outsourcing by Buy Side Firms Posted: 07 Oct 2013 11:48 PM PDT In the last few years buy side firms have had to make lot of changes in their mid and back offices. There are primarily two drivers that have forced firms to make these changes.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: The look of verifying data Posted: 07 Oct 2013 04:20 AM PDT Get data that fit before you fit data.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: filmackay: Sponsored Access: feathering the nest of a Black Swan? Posted: 07 Oct 2013 12:00 AM PDT Market Access Mechanisms Over time the equities marketplace has evolved from phone-based trade execution, to using computerised channels such as Direct Market Access.read more... 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.    |
| Vendor News: Fidessa wins accolade in Asian F&O space Posted: 27 Sep 2013 03:47 AM PDT    |
| No such pipe, or this pipe has been deleted Posted: 25 Sep 2013 05:18 PM PDT This data comes from pipes.yahoo.com but the Pipe does not exist or has been deleted. Visit MoneyScience for the Complete Article.    |
| 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. Visit MoneyScience for the Complete Article.    |
| 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..... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Sep 2013 10:25 PM PDT Mark Joshi writes:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Sep 2013 10:19 PM PDT Mark Joshi writes:read more... Visit MoneyScience for the Complete Article.    |
| New books in investment management from Wiley Posted: 15 Sep 2013 12:15 PM PDT Gain the insight of Rosenbaum and Pearl’s combined 30+ years of experience on a multitude of transactions, as well as input received from numerous investment bankers, investment professionals at private equity firms and hedge funds, attorneys, corporate executives, peer authors, and university professors.read more... Visit MoneyScience for the Complete Article.    |
| Shop the Bloomberg Financial series Posted: 09 Sep 2013 12:26 PM PDT Gain the insight of Rosenbaum and Pearl’s combined 30+ years of experience on a multitude of transactions, as well as input received from numerous investment bankers, investment professionals at private equity firms and hedge funds, attorneys, corporate executives, peer authors, and university professors.read more... Visit MoneyScience for the Complete Article.    |
| Nicole El Karoui - The Future of Financial Mathematics Posted: 09 Sep 2013 03:16 AM PDT Nicole El Karoui writes in Paris Tech Review. read more... Visit MoneyScience for the Complete Article.    |
| PhD student position on Agent-Based Computational Economics Posted: 30 Aug 2013 06:21 AM PDT A three-year PhD student position on Agent-based Computational Economics, starting January 1st 2014, is available at the Department of Mechanical, Energetics, Management and Transport Englineering of the University of Genova, Italy. read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Mr. Leo Puri to Step down from the Infosys Board of Directors Posted: 16 Aug 2013 10:20 PM PDT Infosys today announced that Mr. Leo Puri, an independent director of the company, has conveyed his intention to step down from the Board of Directors of Infosys effective August 14, 2013. This is pursuant to his appointment as Managing Director of UTI Asset Management Co Ltd, India’s sixth largest asset manager by size. Visit MoneyScience for the Complete Article.    |
| Investor Relations (2nd Edition) - an interview with author Anne Guimard Posted: 14 Aug 2013 12:25 PM PDT read more... 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.    |
| Strategy, Value and Risk - An Interview with Jamie Rogers Posted: 14 Jun 2013 01:13 AM PDT In this third part of our series of interviews with authors about their recently published books, I talk to Jamie Rogers about the 3rd edition of his book, 'Strategy, Value and Risk: A Guide to Advanced Financial Management".read more... Visit MoneyScience for the Complete Article.    |
| The Europlace Institute of Finance - Call for research projects, Deadline: July 31, 2013 Posted: 04 Jun 2013 02:50 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Posted: 26 May 2013 09:03 AM PDT Visit MoneyScience for the Complete Article.    |
| Wiley Finance - Measuring and Managing Risk Posted: 21 May 2013 02:23 AM PDT Read More » Read an Excerpt (PDF) » Buy Now »read more... Visit MoneyScience for the Complete Article.    |
| Link Library: Video - One Half Second of High Frequency Trading in a Single Stock Posted: 14 May 2013 06:07 AM PDT 1/2 second of trading activity in Johnson & Johnson (symbol JNJ) on May 2, 2013 This video was featured at Wired Business Conference (watch it now: http://fora.tv/2013/05/07/Nanex_CEO_E...) Follow us on twitter @nanexllc for Wall Street Breaking coverage. Set to lowest resolution for an "artistic rendering", or highest resolution for science. The animation tool that... Visit MoneyScience for the Complete Article.    |
| Research Library: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System Posted: 14 May 2013 02:12 AM PDT Lisa Borland Abstract We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in normal times. The co-movement of stock returns also increases in panic times. We define a simple statistic $s$, the normalized sum of... Visit MoneyScience for the Complete Article.    |
| Women in Quantitative Finance #2 - Interview with Dr Lisa Borland Posted: 10 May 2013 08:35 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Quantifying Collective Attention from Tweet Stream Posted: 07 May 2013 07:46 AM PDT Kazutoshi Sasahara, Yoshito Hirata, Masashi Toyoda, Masaru Kitsuregawa, Kazuyuki Aihara Abstract Online social media are increasingly facilitating our social interactions, thereby making available a massive “digital fossil” of human behavior. Discovering and quantifying distinct patterns using these data is important for studying social behavior, although the rapid time-variant... Visit MoneyScience for the Complete Article.    |
| MoneyScience Research Digest: March - April 2013 Posted: 02 May 2013 08:08 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Video - Professor David Cliff Discusses High Frequency Trading Posted: 01 May 2013 03:55 AM PDT In this video, recorded at the TradeTech Europe 2013 HFT Focus Day in London, Professor David Cliff of the University of Bristol talks to Mike O'Hara of HFT Review about high frequency trading.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Portfolio Probe version 1.06 released Posted: 29 Apr 2013 12:23 PM PDT Portfolio Probe version 1.06 released body,.backgroundTable{ background- } #contentTable{ border:0px none #000000; margin-top:10px; } .headerTop{ background- border-top:0px none #000000; border-bottom:0px none #FFFFFF; text-align:center; padding:0px; } .adminText{ font-size:10px; line-height:200%; font-family:Verdana; text-decoration:none;... Visit MoneyScience for the Complete Article.    |
| INET and CIGI Seek Proposals for Research Grants of up to $250,000 Posted: 29 Apr 2013 06:27 AM PDT The Institute for New Economic Thinking (INET) and The Centre for International Governance Innovation (CIGI) of Ontario, Canada, are accepting research proposals for their joint 2013 Grant Program, with grants ranging in value from $25,000 to $250,000.read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Quantifying Trading Behavior in Financial Markets Using Google Trends Posted: 25 Apr 2013 01:18 PM PDT This article has been covered at the BBC here. By Tobias Preis, Helen Susannah Moat & H. Eugene Stanley Abstract Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new... Visit MoneyScience for the Complete Article.    |
| Research Library: Existential Risk Prevention as a Global Priority Posted: 24 Apr 2013 01:55 AM PDT This paper was recently covered by the BBC: How are humans going to become extinct? (2012) Nick Bostrom Faculty of Philosophy & Oxford Martin School University of Oxford www.nickbostrom.com www.existential-risk.org [Global Policy (2013), forthcoming] Abstract: Existential risks are those that threaten the entire future of humanity. Many theories of value imply that even relatively... Visit MoneyScience for the Complete Article.    |
| Wiley-Blackwell - FREE access to the latest research on Insider Trading Posted: 23 Apr 2013 07:29 AM PDT Welcome to the Wiley-Blackwell Accounting & Finance Newsletter. In this edition, we’re offering you FREE access to the latest research on Insider Trading.read more... Visit MoneyScience for the Complete Article.    |
| The ICMA Centre strongly represented in Greece Posted: 23 Apr 2013 07:17 AM PDT ICMA Centre students on the MSc International Shipping and Finance (ISF) have recently concluded part 2 of their postgraduate programme. As part of the programme, the ICMA Centre students attended two modules at ALBA Graduate Business School, in Athens, Greece; Chartering and Charterparty Analysis taught by Dr Photis Panayides and Derivatives and Risk Management in Shipping taught by Dr... Visit MoneyScience for the Complete Article.    |
| Research Library: Open Access to Data: An Ideal Professed but Not Practised Posted: 23 Apr 2013 05:58 AM PDT Patrick Andreoli Versbach Max Planck Institute for Intellectual Property and Competition Law; Ludwig-Maximilians-Universität Munich - Munich Graduate School of Economics (MGSE) Frank Mueller-Langer Max Planck Institute for Intellectual Property and Competition Law; International Max Planck Research School for Competition and Innovation (IMPRS-CI) RatSWD Working Paper Series No. 215 Max... Visit MoneyScience for the Complete Article.    |
| Open Source Finance 2. OpenGamma, Risk Analytics and Next Generation Financial Technology Posted: 18 Apr 2013 08:05 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Research Library: A Guide to Modeling Counterparty Credit Risk Posted: 25 Mar 2013 03:12 AM PDT Steven H. Zhu Morgan Stanley; Banc of America Merrill Lynch Michael Pykhtin Bank of America GARP Risk Review, July/August 2007 Abstract Michael Pykhtin and Steven Zhu offer a blueprint for modelling credit exposure and pricing counter-party risk. They focus on two main issues: modelling credit exposure and pricing counter-party risk. In the part devoted to credit exposure, we will define... Visit MoneyScience for the Complete Article.    |
| Research Library: The New Investor Posted: 18 Mar 2013 09:48 AM PDT Tom C. W. Lin University of Florida - Fredric G. Levin College of Law Abstract A sea change is happening in finance. Machines appear to be on the rise and humans on the decline. Human endeavors have become unmanned endeavors. Human thought and human deliberation have been replaced by computerized analysis and mathematical models. Technological advances have made finance faster, larger, more... Visit MoneyScience for the Complete Article.    |
| Research Library: Cyclic Game Dynamics Driven by Iterated Reasoning Posted: 18 Mar 2013 09:07 AM PDT Published in PLOS One: Seth Frey, Robert L. Goldstone Abstract Recent theories from complexity science argue that complex dynamics are ubiquitous in social and economic systems. These claims emerge from the analysis of individually simple agents whose collective behavior is surprisingly complicated. However, economists have argued that iterated reasoning–what you think I think... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2013 03:25 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Powerful people are looking out for their future selves Posted: 21 Feb 2013 05:38 AM PST Would you prefer $120 today or $154 in one year? Your answer may depend on how powerful you feel, according to new research in Psychological Science, a journal of the Association for Psychological Science.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Feb 2013 07:15 AM PST H/T Phil Pearlman David Smith, Christophe Faugère and Ying Wang Abstract This study takes a novel approach to testing the efficacy of technical analysis. Ratherthan testing specific trading rules as is typically done in the literature, we rely oninstitutional portfolio managers’ statements about whether and how intensely they usetechnical analysis, irrespective of the... Visit MoneyScience for the Complete Article.    |
| Announcing the Ethics in Finance-Robin Cosgrove Prize 2012-2013 Posted: 04 Feb 2013 05:46 AM PST There are two Competitions for the Prize:read more... Visit MoneyScience for the Complete Article.    |
| Video: Larry Tabb on The Future Of Data Management in a post-Crisis World Posted: 30 Jan 2013 03:39 AM PST Larry Tabb of TABB Group recently discussed with Wall Street & Technology senior editor Melanie Rodier how firms are adapting their data management processes to the post-financial-crisis environment.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Jan 2013 06:03 AM PST H/T Mark Buchanan over at the Physics of Finance Blog who comments on this paper. Eric A. Posner University of Chicago - Law School E. Glen Weyl University of Chicago; University of Toulouse 1 - Toulouse School of Economics Abstract The financial crisis of 2008 was caused in part by speculative investment in complex derivatives. In enacting the Dodd-Frank Act, Congress sought to address the... Visit MoneyScience for the Complete Article.    |
| Research Library: High-Frequency Trading and the Execution Costs of Institutional Investors (pdf) Posted: 24 Jan 2013 04:21 AM PST H/T @CarlCarrie on Twitter Jonathan Brogaard, Terrence Hendershott, Stefan Hunt, Torben Latza, Lucas Pedace, Carla Ysusi FSA OCCASIONAL PAPERS IN FINANCIAL REGULATION While some institutional investors are concerned that high frequency trading increases the cost of investing, others suggest that high frequency trading has been beneficial, for example by creating more accurate and faster... Visit MoneyScience for the Complete Article.    |
| SEC-mandated XBRL data at risk of being irrelevant to investors and analysts Posted: 23 Jan 2013 06:42 AM PST In 2009, the Securities and Exchange Commission mandated that public companies submit portions of annual (10-K) and quarterly (10-Q) reports—in a digitized format known as eXtensible Business Reporting Language (XBRL). The goal of this type of data was to provide more relevant, timely, and reliable "interactive" data to investors and analysts. The XBRL-formatted data is meant to allow users... Visit MoneyScience for the Complete Article.    |
| Research Library: The Trading Profits of High Frequency Traders Posted: 17 Jan 2013 08:41 AM PST Via The Big Picture Matthew Baron, Jonathan Brogaard and Andrei Kirilenko Abstract We examine the profitability of high frequency traders (HFTs). Using transaction level data with user identifications, we find that high frequency trading (HFT) is highly profitable: HFTs collectively earn over $23 million in trading profits in the E-mini S&P 500 futures contract during the month of August... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2013 08:26 AM PST moneyscience: RT @davdittrich: Nice interview with Richard Thaler, Prof of Behavioural Science and Economics, University of Chicago http://t.co/yeJYaWJv Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2013 07:00 AM PST BusinessSchools: Feat. Book: The International Banking System: Capital Adequacy, Core Businesses & Risk Management http://t.co/Yl2sm3je @PalMacFinance Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2013 06:48 AM PST moneyscience: MoneyScience Daily is out! http://t.co/aGkJAVQE â–¸ Top stories today via @wellertimothy @ThemisSal @BusinessSchools Visit MoneyScience for the Complete Article.    |
| Research Library: Unlimited Growth and Innovation: Paradise or Paradox? Posted: 15 Jan 2013 02:05 AM PST H/T Mark Buchanan over at The Physics of Finance Blog who mentions this paper in his article: Unlimited growth... why the idea is just silly Andrew J. Sutter Rikkyo University, College of Law and Politics; Sutter International Law Office November 15, 2010 Abstract Ever since the dire predictions of The Limits to Growth (Meadows & al. 1972) failed to come true on time, it's... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2013 11:33 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @AstonMBA @gwbusiness @andrewtghill Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2013 09:54 AM PST BusinessSchools: Journal of Finance Volume 68, Issue 1 (Feb 2013) is online and free to view http://t.co/WtlSLgV4 @JofFinance @wb_finance Visit MoneyScience for the Complete Article.    |
| Forecasting Financial Crises Project: A Short Documentary - http://t.co/1U3oqpeS Posted: 14 Jan 2013 08:15 AM PST BusinessSchools: Forecasting Financial Crises Project: A Short Documentary - http://t.co/1U3oqpeS Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2013 06:55 AM PST BusinessSchools: Mark Thoma's Paper on 'Bad Advice from Experts, Herding, and Bubbles' http://t.co/pCFkTlpi and some criticism: http://t.co/pCFkTlpi Visit MoneyScience for the Complete Article.    |
| Many JSTOR Journal Archives Now Free to Public http://t.co/5zPS5NKe Posted: 14 Jan 2013 05:34 AM PST BusinessSchools: Many JSTOR Journal Archives Now Free to Public http://t.co/5zPS5NKe Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2013 04:45 AM PST BusinessSchools: 5 yrs ago regulators didn’t see the storm coming. Would they see a new one brewing now? Research from Rick Bookstaber http://t.co/4uNf4TbW Visit MoneyScience for the Complete Article.    |
| Research Library: A Brief Introduction to the Basics of Game Theory Posted: 14 Jan 2013 04:39 AM PST Matthew O. Jackson Stanford University - Department of Economics; Santa Fe Institute; Canadian Institute for Advanced Research (CIFAR) December 5, 2011 Abstract I provide a (very) brief introduction to game theory. I have developed these notes to provide quick access to some of the basics of game theory; mainly as an aid for students in courses in which I assumed familiarity with game theory... Visit MoneyScience for the Complete Article.    |
| Research Library: Using Agent-Based Models for Analyzing Threats to Financial Stability (pdf) Posted: 14 Jan 2013 04:16 AM PST This paper was referenced in an article in the New York Times. Richard Bookstaber Abstract Existing models of financial instability tend to be based on top-down, partial-equilibrium views of markets and their interactions; they are unable to incorporate the complexity of behavior among heterogeneous firms or the tendency for all types of firms to change their behavior during a crisis. This... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2013 02:42 AM PST BusinessSchools: The Missing "One-Offs": The Hidden Supply of High-Achieving, Low Income Students http://t.co/hvjMIRWv Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2013 02:42 AM PST BusinessSchools: Robert Litzenberger Selected As The Recipient Of The 2012 IAFE/SunGard Financial Engineer Of The Year http://t.co/6ny34jSb Visit MoneyScience for the Complete Article.    |
| Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM Posted: 14 Jan 2013 02:05 AM PST BusinessSchools: Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2013 12:25 AM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @Vlerick @KelleySchool @AuckUniBusiness Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jan 2013 11:46 PM PST BusinessSchools: And somehow I missed this in December: Bob Litzenberger became 2012 IAFE/SunGard Financial Engineer Of The Year http://t.co/6ny34jSb Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jan 2013 11:46 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @ricemba @Kaplan_Univ @BaruchCollege Visit MoneyScience for the Complete Article.    |
| Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM Posted: 12 Jan 2013 11:46 PM PST BusinessSchools: Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jan 2013 11:35 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @KACNY @cornellnews @UTexasMcCombs Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jan 2013 12:53 PM PST BusinessSchools: .@icmacentre: Speculative Bubbles and the Cross-Sectional Variation in Stock Returns http://t.co/GmGlJ6Dm Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jan 2013 04:58 AM PST moneyscience: Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/rUPuVPLw Visit MoneyScience for the Complete Article.    |
| Frontiers in Financial Mathematics 2013 - June 2013 http://t.co/UZze8mB2 #quant Posted: 11 Jan 2013 04:58 AM PST BusinessSchools: Frontiers in Financial Mathematics 2013 - June 2013 http://t.co/UZze8mB2 #quant 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.    |
| 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.    |
| Greed, not generosity, more likely to be 'paid forward' Posted: 17 Dec 2012 07:04 AM PST Paying it forward - a popular expression for extending generosity to others after someone has been generous to you - is a heartwarming concept, but it is less common than repaying greed with greed, according to new research published by the American Psychological Association. read more... Visit MoneyScience for the Complete Article.    |
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