MoneyScience News |
- Blog Post: TheAlephBlog: Redacted Version of the December 2013 FOMC Statement
- Blog Post: WealthandCapitalMarketsBlog: 1.15.2014: Celent Webinar: Current State of Innovation in Financial Services
- Blog Post: TheFinancialServicesClub: 2013 was the year for renewal
- Blog Post: iMFdirect: The Time is Nigh: How Reforms Can Bring Back Productivity Growth in Emerging Markets
- ICMA Centre Christmas Party
- Published / Preprint: 18Dec/Assessment methodology for the oversight expectations applicable to critical service providers, consultative report issued by CPSS-IOSCO
- Published / Preprint: 18Dec/Progress in adopting the principles for effective risk data aggregation and risk reporting issued by the Basel Committee
- MoneyScience - A year in Interviews 2013
- Published / Preprint: Coupled mode theory of stock price formation. (arXiv:1312.4622v1 [q-fin.TR])
- Published / Preprint: Entrepreneurial Finance and Innovation: An Introduction and Agenda for Future Research
- Published / Preprint: Venture Capitalists on Boards of Mature Public Firms
- Published / Preprint: The Capital Structure Decisions of New Firms
- Published / Preprint: Real Option Financing Under Asymmetric Information
- Published / Preprint: Wrongful Discharge Laws and Innovation
- Published / Preprint: Interbank Liquidity Crunch and the Firm Credit Crunch: Evidence from the 2007-2009 Crisis
- Published / Preprint: 17Dec/Second report on the regulatory consistency of risk-weighted assets in the trading book issued by the Basel Committee
- Published / Preprint: On static hedging, real options and valuation of cash flows with skewed distributions. (arXiv:1312.4227v1 [q-fin.PR])
- Published / Preprint: No-arbitrage conditions and absolutely continuous changes of measure. (arXiv:1312.4296v1 [q-fin.PR])
- Published / Preprint: Pricing and Hedging Basket Options with Exact Moment Matching. (arXiv:1312.4443v1 [q-fin.PR])
- Blog Post: PatrickBurns: Another tale of two returns
- Season's Greetings from the Team at MoneyScience!
- Published / Preprint: Gas storage valuation and hedging. A quantification of the model risk. (arXiv:1312.3789v1 [q-fin.PR])
- Blog Post: ThePracticalQuant: Expanding options for mining streaming data
- .@icmacentre: Speculative Bubbles and the Cross-Sectional Variation in Stock Returns http://t.co/GmGlJ6Dm
- Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/rUPuVPLw
- Frontiers in Financial Mathematics 2013 - June 2013 http://t.co/UZze8mB2 #quant
| Blog Post: TheAlephBlog: Redacted Version of the December 2013 FOMC Statement Posted: 18 Dec 2013 12:08 PM PST October 2013December 2013CommentsInformation received since the Federal Open Market Committee met in September generally suggests that economic activity has continued to expand at a moderate pace.Information received since the Federal Open Market Committee met in October indicates that economic activity is expanding at a moderate pace.Shades their view up, but I don’t see much to support... Visit MoneyScience for the Complete Article.      |
| Posted: 18 Dec 2013 10:25 AM PST Celent Senior Analyst Mike Fitzgerald and Mick Simonelli, Innovation Consultant and former Chief Innovation Officer at USAA.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: 2013 was the year for renewal Posted: 18 Dec 2013 09:49 AM PST This is my penultimate review of 2013, as we head towards the shutdown season, so here goesread more... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Dec 2013 08:57 AM PST By Kalpana Kochar and Era Dabla-Norrisread more... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Dec 2013 08:08 AM PST By Nishant Gupta, Student Ambassadorread more... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Dec 2013 06:08 AM PST Press release about CPSS and IOSCO issuing the consultative report "Assessment methodology for the oversight expectations applicable to critical service providers" (BIS Press Release 18 December 2013) Visit MoneyScience for the Complete Article.    |
| Posted: 18 Dec 2013 02:08 AM PST Press release about "Progress in adopting the principles for effective risk data aggregation and risk reporting" (18 December 2013) Visit MoneyScience for the Complete Article.    |
| MoneyScience - A year in Interviews 2013 Posted: 18 Dec 2013 01:00 AM PST In a trend we aim to continue in 2014, this year we've been publishing interviews with various movers and shakers in the finance and quantitative finance community. read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Coupled mode theory of stock price formation. (arXiv:1312.4622v1 [q-fin.TR]) Posted: 17 Dec 2013 05:39 PM PST We develop a theory of bid and ask price dynamics where the two prices form due to interaction of buy and sell orders. In this model the two prices are represented by eigenvalues of a 2x2 price operator corresponding to "bid" and "ask" eigenstates. Matrix elements of price operator fluctuate in time which results in phase jitter for eigenstates. We show that the theory reflects very important... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Dec 2013 04:56 AM PST The increasingly large role played by financial intermediaries, such as venture capitalists and angels, in nurturing entrepreneurial firms and in promoting product market innovation has led to great research interest in the area of entrepreneurial finance and innovation. This paper introduces the special issue of the Review of Financial Studies dedicated to entrepreneurial finance and innovation... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Venture Capitalists on Boards of Mature Public Firms Posted: 17 Dec 2013 04:56 AM PST Venture capitalists (VCs) often serve on the board of mature public firms long after their initial public offering (IPO), even for companies that were not VC-backed at the IPO. Board appointments of VC directors are followed by increases in research and development intensity, innovation output, and greater deal activity with other VC-backed firms. VC director appointments are associated with... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Capital Structure Decisions of New Firms Posted: 17 Dec 2013 04:56 AM PST We study capital structure choices that entrepreneurs make in their firms' initial year of operation, using restricted-access data from the Kauffman Firm Survey. Firms in our data rely heavily on external debt sources, such as bank financing, and less extensively on friends-and-family-based funding sources. Many startups receive debt financed through the personal balance sheets of the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Real Option Financing Under Asymmetric Information Posted: 17 Dec 2013 04:56 AM PST This study examines the financing of innovation in the presence of adverse selection in the capital market. An entrepreneur with private information needs outside funding for a project requiring costly experimentation. Equilibrium contracts use the duration of the experimentation period, together with pay-for-performance, to signal information to outside investors. As a result, investment is... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Wrongful Discharge Laws and Innovation Posted: 17 Dec 2013 04:56 AM PST We show that wrongful discharge laws—laws that protect employees against unjust dismissal—spur innovation and new firm creation. Wrongful discharge laws, particularly those that prohibit employers from acting in bad faith ex post, limit employers' ability to hold up innovating employees after the innovation is successful. By reducing the possibility of holdup, these laws enhance... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Dec 2013 04:56 AM PST We study the credit supply effects of the unexpected freeze of the European interbank market, using exhaustive Portuguese loan-level data. We find that banks that rely more on interbank borrowing before the crisis decrease their credit supply more during the crisis. The credit supply reduction is stronger for firms that are smaller, with weaker banking relationships. Small firms cannot compensate... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Dec 2013 01:07 AM PST Press release about "Second report on the regulatory consistency of risk-weighted assets in the trading book issued by the Basel Committee" (17 December 2013) Visit MoneyScience for the Complete Article.    |
| Posted: 16 Dec 2013 05:38 PM PST Draft. We combine static hedging and real options valuation ideas to build a capital budgeting technique. Here one applies the market information of derivative prices on a traded 'quasi twin security' to benchmark a single-step stochastic cash stream. We provide a transparent, more or less closed-form solution for valuing these streams. The fundamental properties of this valuation rule are then... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Dec 2013 05:38 PM PST We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in the context of general semimartingale models, we show that an absolutely continuous change of... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Dec 2013 05:37 PM PST Theoretical models applied to option pricing should take into account the empirical characteristics of the underlying financial time series. In this paper, we show how to price basket options when assets follow a shifted log-normal process with jumps capable of accommodating negative skewness. Our technique is based on the Hermite polynomial expansion that can match exactly the first m moments of... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: Another tale of two returns Posted: 16 Dec 2013 12:08 PM PST The further adventures of returns on short positions.read more... Visit MoneyScience for the Complete Article.    |
| Season's Greetings from the Team at MoneyScience! Posted: 16 Dec 2013 02:10 AM PST Wishing you all the very Best for Christmas and the New Year ahead!read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Dec 2013 05:38 PM PST This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the spot price, which accounts for the main stylized facts of the US natural gas market, such as seasonality... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Expanding options for mining streaming data Posted: 15 Dec 2013 10:57 AM PST [A version of this post appears on the O'Reilly Data blog.]Stream processing was in the minds of a few people that I ran into over the past week. A combination of new systems, deployment tools, and enhancements to existing frameworks, are behind the recent chatter. Through a combination of simpler deployment tools, programming interfaces, and libraries, recently released tools make it easier for... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jan 2013 12:53 PM PST BusinessSchools: .@icmacentre: Speculative Bubbles and the Cross-Sectional Variation in Stock Returns http://t.co/GmGlJ6Dm Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jan 2013 04:58 AM PST moneyscience: Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/rUPuVPLw Visit MoneyScience for the Complete Article.    |
| Frontiers in Financial Mathematics 2013 - June 2013 http://t.co/UZze8mB2 #quant Posted: 11 Jan 2013 04:58 AM PST BusinessSchools: Frontiers in Financial Mathematics 2013 - June 2013 http://t.co/UZze8mB2 #quant Visit MoneyScience for the Complete Article.    |
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