MoneyScience News |
- Blog Post: TheAlephBlog: Two Good Questions
- Blog Post: TheFinancialServicesClub: Things worth reading: 27th November 2013
- Vendor News: November 26, 2013 - Mizuho International Outsources its OTC Derivatives Processing using SS&Câs GoTrade+
- Blog Post: ThePracticalQuant: The Seven Things You're Not Supposed to Talk About
- Published / Preprint: Left-wing asymptotics of the implied volatility in the presence of atoms. (arXiv:1311.6027v1 [q-fin.PR])
- Published / Preprint: A Characterization of Comonotonicity and its Application in Quantile Formulation. (arXiv:1311.6080v1 [q-fin.PM])
- Published / Preprint: Optimal Strategies for a Long-Term Static Investor. (arXiv:1311.6179v1 [q-fin.PM])
- Published / Preprint: Pathwise stochastic integrals for model free finance. (arXiv:1311.6187v1 [math.PR])
- Published / Preprint: Filters and smoothers for self-exciting Markov modulated counting processes. (arXiv:1311.6257v1 [q-fin.CP])
- Published / Preprint: Agent-based models for latent liquidity and concave price impact. (arXiv:1311.6262v1 [q-fin.TR])
| Blog Post: TheAlephBlog: Two Good Questions Posted: 27 Nov 2013 12:38 AM PST My last post, On Investment Ideas, Redux, received two good questions. Here they are, with my answers:read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Things worth reading: 27th November 2013 Posted: 26 Nov 2013 11:09 PM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2013 06:07 AM PST    |
| Blog Post: ThePracticalQuant: The Seven Things You're Not Supposed to Talk About Posted: 25 Nov 2013 10:17 PM PST This list is from a hilarious episode of This American Life. The list is meant to highlight boring and uninteresting topics that you should avoid bringing up at social gatherings and casual conversations. I'm sharing them here because I sympathize with a few of these - particularly the first item :-)Never talk about your diet: this includes your weight-loss plan, and your food restrictions. (In... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2013 05:40 PM PST We consider the asymptotic behavior of the implied volatility in stochastic asset price models with atoms. In such models, the asset price distribution has a singular component at zero. Examples of models with atoms include the constant elasticity of variance model, jump-to-default models, and stochastic models described by processes stopped at the first hitting time of zero. For models with... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2013 05:40 PM PST It is well-known that an $\R^n$-valued random vector $(X_1, X_2, \cdots, X_n)$ is comonotonic if and only if $(X_1, X_2, \cdots, X_n)$ and $(Q_1(U), Q_2(U),\cdots, Q_n(U))$ coincide \emph{in distribution}, for \emph{any} uniformly distributed random variable $U$ on the unit interval, where $Q_k$ is the quantile function of $X_k$, $k=1,2,\cdots, n$. It is natural to ask... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2013 05:40 PM PST The optimal strategies for a long-term static investor are studied. Given a portfolio of a stock and a bond, we derive the optimal allocation of the capitols to maximize the expected long-term growth rate of a utility function of the wealth. When the bond has constant interest rate, three models for the underlying stock price processes are studied: Heston model, 3/2 model and jump diffusion... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2013 05:40 PM PST We show that Lyons' rough path integral is a natural tool to use in model free financial mathematics by proving that it is possible to make an arbitrarily large profit by investing in those paths which do not have a rough path associated to them. We also show that in certain situations, the rough path integral can be constructed as a limit of Riemann sums, and not just as a limit of compensated... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2013 05:40 PM PST We consider a self-exciting counting process, the parameters of which depend on a hidden finite-state Markov chain. We derive the optimal filter and smoother for the hidden chain based on observation of the jump process. This filter is in closed form and is finite dimensional. We demonstrate the performance of this filter both with simulated data, and by analysing the `flash crash' of 6th May... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Nov 2013 05:40 PM PST We revisit the "epsilon-intelligence" model of Toth et al.(2011), that was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the... Visit MoneyScience for the Complete Article.    |
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