MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 20th November 2013
- Blog Post: TheAlephBlog: An Alternative To Federal Reserve Forward Guidance
- Published / Preprint: A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing. (arXiv:1311.4698v1 [q-fin.CP])
- Published / Preprint: Stock Market Trend Analysis Using Hidden Markov Models. (arXiv:1311.4771v1 [q-fin.ST])
- Published / Preprint: The multiplex structure of interbank networks. (arXiv:1311.4798v1 [q-fin.GN])
- Blog Post: iMFdirect: Monetary Policy Will Never Be the Same
- Published / Preprint: Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios
- Published / Preprint: Sovereign Default, Domestic Banks, and Financial Institutions
- Published / Preprint: The Importance of Industry Links in Merger Waves
- Published / Preprint: Sequential Learning, Predictability, and Optimal Portfolio Returns
| Blog Post: TheFinancialServicesClub: Things worth reading: 20th November 2013 Posted: 20 Nov 2013 12:19 AM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: An Alternative To Federal Reserve Forward Guidance Posted: 19 Nov 2013 09:07 PM PST I hesitate to write this piece, because I think doing this would be a bad thing. Then again, I don’t believe that most of the jawboning done by the Fed is useful.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2013 05:38 PM PST We consider the problem of estimating $\mathbb{E} [f(U^1, \ldots, U^d)]$, where $(U^1, \ldots, U^d)$ denotes a random vector with uniformly distributed marginals. In general, Latin hypercube sampling (LHS) is a powerful tool for solving this kind of high-dimensional numerical integration problem. In the case of dependent components of the random vector $(U^1, \ldots, U^d)$ one... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2013 05:38 PM PST Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer scientists [17]. This paper gives an idea about the trend analysis of stock market behaviour using Hidden Markov Model (HMM). The trend once followed over a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The multiplex structure of interbank networks. (arXiv:1311.4798v1 [q-fin.GN]) Posted: 19 Nov 2013 05:38 PM PST The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Monetary Policy Will Never Be the Same Posted: 19 Nov 2013 09:27 AM PST By Olivier Blanchardread more... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2013 07:13 AM PST This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also affects risk-taking positively, while... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Sovereign Default, Domestic Banks, and Financial Institutions Posted: 19 Nov 2013 07:13 AM PST We present a model of sovereign debt in which, contrary to conventional wisdom, government defaults are costly because they destroy the balance sheets of domestic banks. In our model, better financial institutions allow banks to be more leveraged, thereby making them more vulnerable to sovereign defaults. Our predictions: government defaults should lead to declines in private credit, and these... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Importance of Industry Links in Merger Waves Posted: 19 Nov 2013 07:13 AM PST We represent the economy as a network of industries connected through customer and supplier trade flows. Using this network topology, we find that stronger product market connections lead to a greater incidence of cross-industry mergers. Further, mergers propagate in waves across the network through customer-supplier links. Merger activity transmits to close industries quickly and to distant... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Sequential Learning, Predictability, and Optimal Portfolio Returns Posted: 19 Nov 2013 07:13 AM PST This paper finds statistically and economically significant out-of-sample portfolio benefits for an investor who uses models of return predictability when forming optimal portfolios. Investors must account for estimation risk, and incorporate an ensemble of important features, including time-varying volatility, and time-varying expected returns driven by payout yield measures that include share... Visit MoneyScience for the Complete Article.    |
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