MoneyScience News |
- Published / Preprint: The Origin of Fat Tails. (arXiv:1310.4538v1 [q-fin.GN])
- Published / Preprint: Modeling the coupled return-spread high frequency dynamics of large tick assets. (arXiv:1310.4539v1 [q-fin.TR])
- Blog Post: TheFinancialServicesClub: This bank branch is dead ... no it's not! It's, uh, resting ...
- Blog Post: TheAlephBlog: On Liabilities in Asset Allocation
- Published / Preprint: Economic benefits of decarbonising the global electricity sector. (arXiv:1310.4403v1 [physics.soc-ph])
- Published / Preprint: Multivariate transient price impact and matrix-valued positive definite functions. (arXiv:1310.4471v1 [q-fin.TR])
- Blog Post: rob_daly: We Get It: The Markets are Fine
- Blog Post: iMFdirect: Cloudy With a Chance of Rain'Outlook for Latin America and the Caribbean
| Published / Preprint: The Origin of Fat Tails. (arXiv:1310.4538v1 [q-fin.GN]) Posted: 17 Oct 2013 05:37 PM PDT We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and correlations can be estimated robustly and that all distributions are approximately normal. Fat tails in observed distributions occur because time series sample different... Visit MoneyScience for the Complete Article.      |
| Posted: 17 Oct 2013 05:37 PM PDT Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: This bank branch is dead ... no it's not! It's, uh, resting ... Posted: 17 Oct 2013 03:43 AM PDT I’ve recently seen so many articles about branches and branch closures that it’s worth a blog post, just to keep up with the issue.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Liabilities in Asset Allocation Posted: 16 Oct 2013 11:28 PM PDT From an e-mail from one of my readers:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Oct 2013 05:37 PM PDT Conventional economic analyses of stringent climate change mitigation have generally concluded that economic austerity would result from carbon austerity. These analyses however rely critically on the assumption of an economic equilibrium, which dismisses established notions on behavioural heterogeneity, path dependence and technology transitions. Here we show that on the contrary, the... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Oct 2013 05:37 PM PDT We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be imposed on the decay kernel so that the model admits well-behaved optimal trade execution strategies. We first show that the existence of such strategies is guaranteed by assuming that the decay kernel corresponds to a... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: We Get It: The Markets are Fine Posted: 16 Oct 2013 02:07 PM PDT We Get It: The Markets are Fineread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Cloudy With a Chance of Rain'Outlook for Latin America and the Caribbean Posted: 16 Oct 2013 10:17 AM PDT By Alejandro Wernerread more... Visit MoneyScience for the Complete Article.    |
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