MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 19th November 2013
- Published / Preprint: A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios. (arXiv:1311.4057v1 [q-fin.PM])
- Published / Preprint: Uncertain growth and the value of the future. (arXiv:1311.4068v1 [q-fin.ST])
- Published / Preprint: Option Pricing with Lie Symmetry Analysis and Similarity Reduction Method. (arXiv:1311.4074v1 [q-fin.PR])
- Published / Preprint: Skew and implied leverage effect: smile dynamics revisited. (arXiv:1311.4078v1 [q-fin.ST])
- Published / Preprint: Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets. (arXiv:1311.4160v1 [q-fin.TR])
- Published / Preprint: Structural Changes on Warsaw's Stock Exchange: the end of Financial Crisis. (arXiv:1311.4230v1 [q-fin.ST])
- Published / Preprint: Multiscale Stochastic Volatility Model for Derivatives on Futures. (arXiv:1311.4249v1 [q-fin.CP])
- Published / Preprint: Pr\'evision du risque de cr\'edit : Une \'etude comparative entre l'Analyse Discriminante et l'Approche Neuronale. (arXiv:1311.4266v1 [q-fin.RM])
- Published / Preprint: Impact of information cost and switching of trading strategies in an artificial stock market. (arXiv:1311.4274v1 [q-fin.TR])
- Published / Preprint: Option pricing and hedging with execution costs and market impact. (arXiv:1311.4342v1 [q-fin.TR])
- Published / Preprint: A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. (arXiv:1311.4503v1 [math.PR])
- How good a picture can Euro GC Pooling provide of the interbank euro GC repo market?
- Vendor News: November 18, 2013 - SS&C Technologies To Attend Deutsche Bank Small & Mid Cap One On One Conference
- Published / Preprint: Securitization and Capital Structure in Nonfinancial Firms: An Empirical Investigation
- Published / Preprint: Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions
- Published / Preprint: Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility
- Published / Preprint: Why Do Firms Evade Taxes? The Role of Information Sharing and Financial Sector Outreach
- Published / Preprint: Modeling systemic risks in financial markets. (arXiv:1311.3764v1 [q-fin.RM])
- Published / Preprint: Financial interaction networks inferred from traded volumes. (arXiv:1311.3871v1 [q-fin.ST])
- Published / Preprint: Functional It\^o Calculus, Path-dependence and the Computation of Greeks. (arXiv:1311.3881v1 [q-fin.CP])
| Blog Post: TheFinancialServicesClub: Things worth reading: 19th November 2013 Posted: 18 Nov 2013 09:51 PM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Posted: 18 Nov 2013 05:41 PM PST In this paper we propose a cyclical coordinate descent (CCD) algorithm for solving high dimensional risk parity problems. We show that this algorithm converges and is very fast even with large covariance matrices (n > 500). Comparison with existing algorithms also shows that it is one of the most efficient algorithms. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Uncertain growth and the value of the future. (arXiv:1311.4068v1 [q-fin.ST]) Posted: 18 Nov 2013 05:41 PM PST For environmental problems such as global warming future costs must be balanced against present costs. This is traditionally done using an exponential function with a constant discount rate, which reduces the present value of future costs. The result is highly sensitive to the choice of discount rate and has generated a major controversy as to the urgency for immediate action. We study... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:41 PM PST With some transformations, we convert the problem of option pricing under state-dependent volatility into an initial value problem of the Fokker-Planck equation with a certain potential. By using the Lie symmetry analysis and similarity reduction method, we are able to reduce the dimensions of the partial differential equation and find some of its particular solutions of the equation. A few case... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:40 PM PST We revisit the ``Smile Dynamics'' problem, which consists in relating the implied leverage (i.e. the correlation of the at-the-money volatility with the returns of the underlying) and the skew of the option smile. The ratio between these two quantities, called ``Skew-Stickiness Ratio'' (SSR) by Bergomi (Smile Dynamics IV, RISK, 94-100, December 2009), saturates to the value 2 for linear models in... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:40 PM PST Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of markets, it is unclear how or why it produces this outcome. Here we create a simple model to study the impact of HFT on investors who trade similar securities in... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:40 PM PST In this paper we analyse the structure of Warsaw's stock market using complex systems methodology together with network science and information theory. We find minimal spanning trees for log returns on Warsaw's stock exchange for yearly times series between 2000 and 2013. For each stock in those trees we calculate its Markov centrality measure to estimate its importance in the network. We also... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:40 PM PST In this paper we present a new method to compute the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility of Fouque \textit{et al.} (2011, CUP). It provides an alternative method to the singular perturbation technique presented in Hikspoors and Jaimungal (2008). The main features of our method are twofold: firstly, it does not... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:40 PM PST Banks are interested in evaluating the risk of the financial distress before giving out a loan. Many researchers proposed the use of models based on the Neural Networks in order to help the banker better make a decision. The objective of this paper is to explore a new practical way based on the Neural Networks that would help improve the capacity of the banker to predict the risk class of the... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:40 PM PST This paper studies the switching of trading strategies and the effect it can have on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay for information before they trade. By paying for the information they behave as informed traders. First we verify that our model is able to... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:40 PM PST In this article we consider the pricing and (partial) hedging of a call option when liquidity matters, that is either for a large nominal or for an illiquid underlying. In practice, as opposed to the classical assumptions of a price-taker agent in a frictionless market, traders cannot be perfectly hedged because of execution costs and market impact. They face indeed a trade-off between mishedge... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 05:40 PM PST We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows us to numerically solve stochastic control problems with controlled volatility, possibly degenerate. Our backward scheme, based on least-squares regressions,... Visit MoneyScience for the Complete Article.    |
| How good a picture can Euro GC Pooling provide of the interbank euro GC repo market? Posted: 18 Nov 2013 11:52 AM PST An interesting academic paper has recently suggested that Eurex Repo’s Euro GC Pooling (EGCP) system ‘allows us to comprehensively investigate the bilateral CCP-based part of the interbank segment of the euro GC repo market’ and makes it possible to ‘accurately document and analyse developments in the bilateral CCP-based interbank repo market’.[1] This is of topical interest, as the... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 10:28 AM PST    |
| Posted: 18 Nov 2013 06:15 AM PST Contrary to recent accounts of off-balance sheet securitization by financial firms, we show that asset securitization by nonfinancial firms provides a valuable form of financing for shareholders without harming debtholders. Using data from firms’ SEC filings, we find that securitization is attractive to firms in the middle of the credit quality distribution, which are the firms with the most to... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 06:15 AM PST Do fast, competitive markets yield liquidity measurement problems when using the popular Monthly Trade and Quote (MTAQ) database? Yes. MTAQ yields distorted measures of spreads, trade location, and price impact compared with the expensive Daily Trade and Quote (DTAQ) database. These problems are driven by (1) withdrawn quotes, (2) second (versus millisecond) timestamps, and (3) other causes,... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 06:15 AM PST We conduct a study in which subjects trade stocks in an experimental market while we measure their brain activity using functional magnetic resonance imaging. All of the subjects trade in a suboptimal way. We use the neural data to test a “realization utility†explanation for their behavior. We find that activity in two areas of the brain that are important for economic decision-making... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Nov 2013 06:15 AM PST Tax evasion is a widespread phenomenon across the globe and even an important factor in the ongoing sovereign debt crisis. We show that firms in countries with better credit information- sharing systems and higher branch penetration evade taxes to a lesser degree. This effect is stronger for smaller firms, firms in smaller cities and towns, firms in industries relying more on external financing,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Modeling systemic risks in financial markets. (arXiv:1311.3764v1 [q-fin.RM]) Posted: 17 Nov 2013 05:37 PM PST We survey systemic risks to financial markets and present a high-level description of an algorithm that measures systemic risk in terms of coupled networks. Visit MoneyScience for the Complete Article.    |
| Posted: 17 Nov 2013 05:37 PM PST In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied to characterize the behaviour of the system. The approach is illustrated on financial data, using three inference methods -- equilibrium, synchronous and... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Nov 2013 05:37 PM PST Dupire's functional It\^o calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce a measure of path-dependence of functionals within the functional It\^o calculus framework. Namely, we consider the Lie bracket of the space and time... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |