MoneyScience News |
- Blog Post: TheAlephBlog: With Jeremy Siegel at CFA Institute Baltimore
- Blog Post: WealthandCapitalMarketsBlog: The State of the Indian Capital Market
- Published / Preprint: Shapes of implied volatility with positive mass at zero. (arXiv:1310.1020v1 [q-fin.PR])
- Published / Preprint: Agent-Based Stock Market Model with Endogenous Agents' Impact. (arXiv:1310.0762v1 [q-fin.TR])
- 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
- 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
- Vendor News: Fidessa wins accolade in Asian F&O space
- Published / Preprint: 27Sep/Report on China's implementation of Basel III published by the Basel Committee
- Published / Preprint: Optimal Execution Trajectories. Linear Market Impact with Exponential Decay. (arXiv:1309.6725v1 [q-fin.TR])
- Published / Preprint: A new financial metric for the art market. (arXiv:1309.6929v1 [q-fin.GN])
- 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
- Blog Post: rob_daly: CFTC Heats Up SEF Approvals
- 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
- Blog Post: filmackay: Sponsored Access: feathering the nest of a Black Swan?
- 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: TheAlephBlog: With Jeremy Siegel at CFA Institute Baltimore Posted: 05 Oct 2013 10:01 PM PDT At the CFA Institute at Baltimore, we had the pleasure of having Jeremy Siegel come speak to us this past Thursday. He was lively, engaging, and utterly convinced of his theses. Thanks to Wisdom Tree for helping fund the endeavor.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: WealthandCapitalMarketsBlog: The State of the Indian Capital Market Posted: 04 Oct 2013 04:01 AM PDT There are fundamental problems in the Indian capital market structure, such as lack of liquidity and limited depth and breadth. Many listed securities on stock exchanges are not traded; among the traded securities, not many are traded actively. The market is highly concentrated; a few companies dominate trading at the exchanges. This clearly narrows the breadth of the market, giving rise to... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Oct 2013 05:38 PM PDT We study the shapes of the implied volatility when the underlying distribution has an atom at zero. We show that the behaviour at small strikes is uniquely determined by the mass of the atom at least up to the third asymptotic order, regardless of the properties of the remaining (absolutely continuous, or singular) distribution on the positive real line. We investigate the structural difference... Visit MoneyScience for the Complete Article.    |
| 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.    |
| 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    |
| 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.    |
| Vendor News: Fidessa wins accolade in Asian F&O space Posted: 27 Sep 2013 03:47 AM PDT    |
| Posted: 27 Sep 2013 12:47 AM PDT Press release about "Report on China's implementation of Basel III published by the Basel Committee" (27 September 2013) Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2013 05:38 PM PDT Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A new financial metric for the art market. (arXiv:1309.6929v1 [q-fin.GN]) Posted: 26 Sep 2013 05:38 PM PDT This paper introduces a new financial metric for the art market. The metric is based on the price per unit of area and is applicable to two-dimensional art objects such as paintings. Visit MoneyScience for the Complete Article.    |
| 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.    |
| Blog Post: rob_daly: CFTC Heats Up SEF Approvals Posted: 17 Sep 2013 01:48 PM PDT CFTC Heats Up SEF Approvalsread more... 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.    |
| Blog Post: filmackay: Sponsored Access: feathering the nest of a Black Swan? Posted: 10 Jun 2013 10:25 PM 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. This is where a trader sends an order electronically to their broker who, assuming everything is OK, simply passes it straight through to the market. Unlike in the past, where the trader may have placed an order with the broker,... 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.    |
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