MoneyScience News |
- Blog Post: PatrickBurns: US market portrait 2013 final
- Blog Post: TheAlephBlog: On Understanding and Valuing Financial Companies
- Published / Preprint: Bankruptcy Risk Induced by Career Concerns of Regulators. (arXiv:1312.7346v1 [q-fin.RM])
- Published / Preprint: What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary. (arXiv:1312.7460v1 [q-fin.GN])
- Published / Preprint: Modeling public collaborative processes: The case of safeguarding financial stability. (arXiv:1312.7545v1 [q-fin.GN])
- Published / Preprint: A Global Game with Heterogenous Priors. (arXiv:1312.7860v1 [q-fin.TR])
- Published / Preprint: A family of density expansions for L\'evy-type processes. (arXiv:1312.7328v1 [math.PR])
- Published / Preprint: Exact Simulation of Non-stationary Reflected Brownian Motion. (arXiv:1312.6456v1 [math.PR] CROSS LISTED)
- Blog Post: ThePracticalQuant: Six reasons why I recommend scikit-learn
- Event: Workshop on Statistics for Complex Networks: Theory and Applications
- Event: Second NUS Workshop on Risk and Regulation
- Event: 13th Winter school on Mathematical Finance
- Event: Aspen Investment Forum
- Event: 3rd Edition Model Risk
- Event: 10th International Conference on Business & Finance (ICBF)
- Event: 12th EBES Conference
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @KACNY @cornellnews @UTexasMcCombs
- .@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
| Blog Post: PatrickBurns: US market portrait 2013 final Posted: 02 Jan 2014 04:37 AM PST US large cap market returns.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: On Understanding and Valuing Financial Companies Posted: 02 Jan 2014 03:50 AM PST I have readers all over the world. Here is an example:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Dec 2013 10:39 PM PST We introduce a model in which a regulator employs mechanism design to embed her human capital beta signal(s) in a firm's capital structure, in order to enhance the value of her post career change indexed executive stock option contract with the firm. We prove that the agency cost of this revolving door behavior increases the firm's financial leverage, bankruptcy risk, and affects estimation of... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Dec 2013 10:39 PM PST Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory regimes for fundamental information provision, as well as to market confidence conditions among actual and potential investors. Regimes based upon... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Dec 2013 10:39 PM PST This paper introduces the notion of public collaborative processes (PCPs) to the field of Business Process Management (BPM). PCPs involve multiple organizations with a common objective, where a number of dispersed organizations cooperating under various unstructured forms take a collaborative approach to reaching the final goal. This paper exemplifies the analysis of PCPs with the case of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Global Game with Heterogenous Priors. (arXiv:1312.7860v1 [q-fin.TR]) Posted: 30 Dec 2013 10:39 PM PST This paper relaxes the common prior assumption in the public and private information game of Morris and Shin (2000, 2004). For the generalized game, where the agent's prior expectations are heterogenous, it derives a sharp condition for the emergence of unique/multiple equilibria. This condition indicates that unique equilibria are played if player's public disagreement is substantial. If... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Dec 2013 05:38 PM PST We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent Levy measure. Generalizing and extending the novel adjoint expansion technique of Pagliarani, Pascucci, and Riga (2013), we derive a family of asymptotic... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Dec 2013 05:38 PM PST This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generating exact samples of non-stationary RBM at any time $t$ is uniformly bounded by $\mathcal{O}(1/\bar\gamma^2)$ where $\bar\gamma$ is the average drift of the process. The method can be used as a guide... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Six reasons why I recommend scikit-learn Posted: 29 Dec 2013 03:47 PM PST [A version of this post appears on the O'Reilly Data blog.]I use a variety of tools for advanced analytics, most recently I've been using Spark (and MLlib), R, scikit-learn, and GraphLab. When I need to get something done quickly, I've been turning to scikit-learn for my first pass analysis. For access to high-quality, easy-to-use, implementations1 of popular algorithms, scikit-learn is a great... Visit MoneyScience for the Complete Article.    |
| Event: Workshop on Statistics for Complex Networks: Theory and Applications Posted: 18 Dec 2013 04:43 AM PST Location: Eindhoven, The Netherlands; Date: January 30th, 2014; The dramatic improvement in data collection and acquisition technologies in the last decades has allowed for the monitoring and study of complex systems, such as biological, social and computer networks. The extremely complex and high-dimensional nature of these systems, and the growth in dataset sizes give rise to important research... Visit MoneyScience for the Complete Article.    |
| Event: Second NUS Workshop on Risk and Regulation Posted: 18 Dec 2013 04:33 AM PST Location: National University of Singapore; Date: January 9th, 2014; This workshop aims to provide a forum for researchers and practitioners to present and discuss on risk management and regulation. Visit MoneyScience for the Complete Article.    |
| Event: 13th Winter school on Mathematical Finance Posted: 18 Dec 2013 04:16 AM PST Location: Lunteren, Netherlands; Date: January 20th, 2014; read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Dec 2013 11:59 AM PST Location: Jerome Hotel, Aspen, CO; Date: January 6th, 2014; read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Dec 2013 06:05 AM PST Location: San Francisco, USA; Date: January 27th, 2014; This GFMI 3rd Edition Model Risk Conference will be a two-and-a-half day event that not only will look at banks, but will address model risk management in other financial institutions such as asset managers and mortgage associations.Attendees will come together to minimize model risk under the new Basel III regime, benchmark with peers to... Visit MoneyScience for the Complete Article.    |
| Event: 10th International Conference on Business & Finance (ICBF) Posted: 14 Nov 2013 06:15 AM PST Location: Hyderabad, AP, India; Date: January 9th, 2014; As the global economy struggles to overcome the world-spanning economic crisis, it is clear that there has to be a major overhaul in the traditional thinking in business and finance. The integration of the financial markets and resultant systemic risks, international accounting standards, and effectiveness of domestic and international... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Oct 2013 09:22 AM PDT Location: Singapore; Date: January 9th, 2014; 12th EBES Conference - Singapore will take place on January 9th, 10th, and 11th, 2014 at the Nanyang Technological University School of Humanities and Social Sciences in Singapore with the support of the Istanbul Economic Research Association.read more... 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.    |
| 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.    |
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