MoneyScience News |
- Published / Preprint: Unified Growth Theory: The theory of nothing. (arXiv:1311.5511v1 [q-fin.GN])
- Published / Preprint: Portfolio optimization in a default model under full/partial information. (arXiv:1003.6002v2 [q-fin.PM] UPDATED)
- Published / Preprint: The Real Effects of Government-Owned Banks: Evidence from an Emerging Market
- Published / Preprint: Managerial Incentives and Stock Price Manipulation
- Blog Post: TheFinancialServicesClub: Visa note the easiest fraud is to buy a Rolex
- Blog Post: TheAlephBlog: On Investment Ideas
- Vendor News: November 21, 2013 - SS&C GlobeOp Forward Redemption Indicator: November notifications 5.09%
- Published / Preprint: Recursive formula for arithmetic Asian option prices. (arXiv:1311.4969v1 [q-fin.PR])
- Published / Preprint: High moment variations and their application. (arXiv:1311.4973v1 [q-fin.PR])
- Published / Preprint: Conditional correlation in asset return and GARCH intensity model. (arXiv:1311.4977v1 [q-fin.ST])
- Published / Preprint: Probabilistic and statistical properties of realized moments and their use in inference, estimation and risk management. (arXiv:1311.5036v1 [q-fin.ST])
- Published / Preprint: Copulas and time series with long-ranged dependences. (arXiv:1311.5101v1 [physics.data-an])
- Published / Preprint: Actuarial fairness and solidarity in pooled annuity funds. (arXiv:1311.5120v1 [q-fin.PM])
- Published / Preprint: Remark on repo and options. (arXiv:1311.5211v1 [q-fin.PR])
| Published / Preprint: Unified Growth Theory: The theory of nothing. (arXiv:1311.5511v1 [q-fin.GN]) Posted: 21 Nov 2013 05:39 PM PST The fundamental concepts of the Unified Growth Theory, the three stages of growth (Malthusian Regime, Post-Malthusian Regime and Modern Growth Regime) are contradicted by data. The three stages of growth did not exist and the Industrial Revolution had no effect on the world economic growth and on the growth of human population. Whatever the Unified Growth Theory is describing it is not describing... Visit MoneyScience for the Complete Article.      |
| Posted: 21 Nov 2013 05:39 PM PST In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this incomplete market context the problem of maximization of expected utility from terminal wealth for logarithmic, power and exponential utility functions. We study this... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Real Effects of Government-Owned Banks: Evidence from an Emerging Market Posted: 21 Nov 2013 09:37 AM PST Using plant-level data for Brazilian manufacturing firms, this paper provides evidence that government control over banks leads to significant political influence over the real decisions of firms. I find that firms eligible for government bank lending expand employment in politically attractive regions near elections. These expansions are associated with additional (favorable) borrowing from... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Managerial Incentives and Stock Price Manipulation Posted: 21 Nov 2013 09:37 AM PST We present a rational expectations model of optimal executive compensation in a setting where managers are in a position to manipulate short-term stock prices and the manipulation propensity is uncertain. We analyze the tradeoffs involved in conditioning pay on long- versus short-term performance and show how manipulation, and investors' uncertainty about it, affects the equilibrium pay contract... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Visa note the easiest fraud is to buy a Rolex Posted: 21 Nov 2013 06:30 AM PST We had a very enjoyable and engaging dialogue with Peter Bayley, Executive Director of Fraud Management for Visa Europe at the Financial Services Club London last night.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Investment Ideas Posted: 21 Nov 2013 06:14 AM PST Where do I get investment ideas?read more... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Nov 2013 05:47 AM PST    |
| Posted: 20 Nov 2013 05:39 PM PST We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-neutral expectation of the quadratic variation of the return process and European option prices. The computation of arithmetic Asian option prices is straightforward whenever European option prices are available.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: High moment variations and their application. (arXiv:1311.4973v1 [q-fin.PR]) Posted: 20 Nov 2013 05:39 PM PST We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed from high frequency return series are good approximations to corresponding actual moments of the return distribution. An investor holding an asset with skewed or... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2013 05:39 PM PST In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the conditional asymmetry, we introduce new models for asset return dynamics in which frequencies of the up and down movements of asset price have conditionally independent Poisson distributions with stochastic intensities.... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2013 05:39 PM PST We study the probabilistic and statistical properties of the variation based realized third and fourth moments of financial returns. The realized moments of the return are unbiased and relative efficient estimators for the actual moments of the return distribution under a martingale condition in the return process. For the estimation of a stochastic volatility model, we employ a simple method of... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2013 05:39 PM PST We review ideas on temporal dependences and recurrences in discrete time series from several areas of natural and social sciences. We revisit existing studies and redefine the relevant observables in the language of copulas (joint laws of the ranks). We propose that copulas provide an appropriate mathematical framework to study non-linear time dependences and related concepts - like aftershocks,... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2013 05:39 PM PST Various types of pooled annuity funds that enable a group of individuals to pool their mortality risk have been proposed in the literature. We determine the relationship between some of these structures and we show that they are not all actuarially fair. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Remark on repo and options. (arXiv:1311.5211v1 [q-fin.PR]) Posted: 20 Nov 2013 05:39 PM PST The general and special repo rates are related with the prices of the European call- and American put-options. The evaluation takes into account specific business models of the parties in the repo agreement and the law restrictions. Using the repo-option relation, an alternative to the Black-Scholes method of option pricing is presented. The empirical data on the general and special repo rates... Visit MoneyScience for the Complete Article.    |
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