MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 13th December 2013
- Blog Post: TheAlephBlog: When to Worry ' An Asset-Liability Management Perspective on Financial Macroeconomics
- Published / Preprint: Market Impact Paradoxes. (arXiv:1312.3349v1 [q-fin.TR])
- Published / Preprint: The Market Value of Corporate Votes: Theory and Evidence from Option Prices
- Vendor News: December 12, 2013 - SS&C GlobeOp Hedge Fund Performance Index: November performance 1.47%; Capital Movement Index: December net flows advance 0.60%
- Vendor News: Fidessa wins FOW award for Best Sell-Side Trading System
- Published / Preprint: Emergent quantum mechanics of finances. (arXiv:1312.3247v1 [q-fin.ST])
- Published / Preprint: Analytical expansions for parabolic equations. (arXiv:1312.3314v1 [math.AP])
- Blog Post: iMFdirect: Fiscal Policy in Latin America: Prudence Today Means Prosperity Tomorrow
- Blog Post: emotionalfinance: The Emotional Business of Finance
- Published / Preprint: Simultaneous auctions for complementary goods. (arXiv:1312.2641v1 [q-fin.TR])
- Published / Preprint: Fiscal shocks and asymmetric effects: a comparative analysis. (arXiv:1312.2693v1 [q-fin.GN])
- Published / Preprint: Modelling of the European Union income distribution by extended Yakovenko formula. (arXiv:1312.2722v1 [q-fin.GN])
- Published / Preprint: 10Dec/Report on Brazil's implementation of Basel III published by the Basel Committee
- Published / Preprint: Momentum
- Published / Preprint: Determining an optimal multiplier in dynamic core-satellite strategies
- Published / Preprint: Bounded Monte Carlo simulation of critical information related to retirement planning
- Published / Preprint: Attempt to resolve the momentum effect enigma: Proposition of investorsâ progressive rationality
- Published / Preprint: Optimal Trading Strategies as Measures of Market Disequilibrium. (arXiv:1312.2004v1 [q-fin.GN])
- Published / Preprint: The False Premises and Promises of Bitcoin. (arXiv:1312.2048v1 [cs.CE])
- Published / Preprint: On the implicit interest rate in the Yunus equation. (arXiv:1312.2179v1 [q-fin.GN])
- Published / Preprint: Research on fresh agriculture product based on overconfidence of the retailer under options and spot markets dominated. (arXiv:1312.2203v1 [cs.CE])
- Published / Preprint: Small-time asymptotics for a general local-stochastic volatility model: curvature and the heat kernel expansion. (arXiv:1312.2281v1 [q-fin.PR])
- ICMA Centre Christmas Party
- Blog Post: ThePracticalQuant: Reproducing Data Projects
- 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
| Blog Post: TheFinancialServicesClub: Things worth reading: 13th December 2013 Posted: 12 Dec 2013 11:58 PM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Posted: 12 Dec 2013 09:48 PM PST At the end of the day, the world is net flat. Every asset is owned 100%; every liability is someone else’s asset.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Market Impact Paradoxes. (arXiv:1312.3349v1 [q-fin.TR]) Posted: 12 Dec 2013 05:37 PM PST The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric (constant trading volume) MI is concave. We suggest a model that fits all trading regimes and guarantees... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Market Value of Corporate Votes: Theory and Evidence from Option Prices Posted: 12 Dec 2013 12:46 PM PST This paper proposes a new method using option prices to estimate the market value of the shareholder voting rights associated with a stock. The method consists of synthesizing a nonvoting share using put-call parity, and comparing its price to that of the underlying stock. Empirically, we find this measure of the value of voting rights to be positive and increasing in the time to expiration of... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Dec 2013 01:07 AM PST    |
| Vendor News: Fidessa wins FOW award for Best Sell-Side Trading System Posted: 12 Dec 2013 12:47 AM PST    |
| Published / Preprint: Emergent quantum mechanics of finances. (arXiv:1312.3247v1 [q-fin.ST]) Posted: 11 Dec 2013 05:38 PM PST This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the non-differentiability hypothesis, and the equations of motion entailed by this hypothesis. From perspective of the proposed theory the dynamics of S&P500 index... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Analytical expansions for parabolic equations. (arXiv:1312.3314v1 [math.AP]) Posted: 11 Dec 2013 05:38 PM PST We consider the Cauchy problem associated with a general parabolic partial differential equation in $d$ dimensions. We find a family of closed-form asymptotic approximations for the unique classical solution of this equation as well as rigorous short-time error estimates. Using a boot-strapping technique, we also provide convergence results for arbitrarily large time intervals. Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Fiscal Policy in Latin America: Prudence Today Means Prosperity Tomorrow Posted: 11 Dec 2013 12:07 PM PST By Alejandro Wernerread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: emotionalfinance: The Emotional Business of Finance Posted: 11 Dec 2013 07:25 AM PST Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Simultaneous auctions for complementary goods. (arXiv:1312.2641v1 [q-fin.TR]) Posted: 10 Dec 2013 05:38 PM PST This paper studies an environment of simultaneous, separate, first-price auctions for complementary goods. Agents observe private values of each good before making bids, and the complementarity between goods is explicitly incorporated in their utility. For simplicity, a model is presented with two first-price auctions and two bidders. We show that a monotone pure-strategy Bayesian Nash... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Dec 2013 05:38 PM PST We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observati ons over the period 1967:1 to 2011:4. In doing so, we use both a vector autoregressive and the novel support vector machines systems in order... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Dec 2013 05:38 PM PST We found a unified formula for description of the household incomes of all society classes, for instance, for the European Union in years 2005-2010. The formula is more general than well known that of Yakovenko et al. because, it satisfactorily describes not only the household incomes of low- and medium-income society classes but also the household incomes of the high-income society class. As a... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Dec 2013 03:07 AM PST Press release about "Report on Brazil's implementation of Basel III published by the Basel Committee" (10 December 2013) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Momentum Posted: 09 Dec 2013 10:45 PM PST Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Determining an optimal multiplier in dynamic core-satellite strategies Posted: 09 Dec 2013 10:45 PM PST Visit MoneyScience for the Complete Article.    |
| Posted: 09 Dec 2013 10:45 PM PST Visit MoneyScience for the Complete Article.    |
| Posted: 09 Dec 2013 10:45 PM PST Visit MoneyScience for the Complete Article.    |
| Posted: 09 Dec 2013 05:37 PM PST For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales records posted by the Chicago Mercantile Exchange Group for the futures traded on Globex. The Weibull, Kumaraswamy, Riemann and Hurwitz Zeta, parabolic,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The False Premises and Promises of Bitcoin. (arXiv:1312.2048v1 [cs.CE]) Posted: 09 Dec 2013 05:37 PM PST Designed to compete with fiat currencies, bitcoin proposes it is a crypto-currency alternative. Bitcoin makes a number of false claims, including: bitcoin can be a reserve currency for banking; hoarding equals saving, and that we should believe bitcoin can expand by deflation to become a global transactional currency supply. Bitcoin's developers combine technical implementation proficiency with... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Dec 2013 05:37 PM PST In his book with Alan Jolis, Vers un monde sans pauvret\'e (1997) Yunus gives the example of a microcredit loan of 1000BDT reimbursed via 50 weekly settlements of 22BDT and correctly claims that this corresponds to the annual interest rate of 20%. But this is without taking into account that if the borrower has good reasons not to pay at one installment, she can postpone of one week all... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Dec 2013 05:37 PM PST In this article, we analyze the application of options contract in special commodity supply chain such as fresh agricultural products. This problem is discussed in the point of the retailer. When spot market and future market are both available, we discuss how the retailer chooses the optimal production. Furthermore, overconfidence is introduced to the supply chain of the fresh agricultural... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Dec 2013 05:37 PM PST We compute a small-time expansion for implied volatility under a general uncorrelated local-stochastic volatility model, with mild linear growth conditions on the drift and vol-of-vol. For this we use the Bellaiche\cite{Bel81} heat kernel expansion combined with Laplace's method to integrate over the volatility variable on a compact set, and (after a gauge transformation) we use the... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Dec 2013 01:50 AM PST read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Reproducing Data Projects Posted: 08 Dec 2013 10:57 AM PST [A version of this post appears on the O'Reilly Strata blog.]As I talk to people and companies building the next generation of tools for data scientists, collaboration and reproducability keep popping up. Collaboration is baked into many of the newer tools I've seen (including ones that have yet to be released). Reproducability is a different story. Many data science projects involve a series of... 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.    |
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