MoneyScience News |
- Blog Post: TheAlephBlog: A Preview of the Future in Local Government Financing
- Published / Preprint: Informational Efficiency under Short Sale Constraints. (arXiv:1401.1851v1 [q-fin.GN])
- Published / Preprint: Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models. (arXiv:1401.1888v1 [q-fin.TR])
- Published / Preprint: Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models. (arXiv:1401.1891v1 [q-fin.TR])
- Published / Preprint: Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks. (arXiv:1401.1892v1 [q-fin.TR])
- Published / Preprint: Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting. (arXiv:1401.1916v1 [cs.CE])
- Published / Preprint: Refined wing asymptotics for the Merton and Kou jump diffusion models. (arXiv:1401.1954v1 [q-fin.PR])
- Published / Preprint: 08Jan/José Darío Uribe appointed Chair of the BIS Consultative Council for the Americas
- Blog Post: TheFinancialServicesClub: 2014's priorities for retail banks: digitisation
- Vendor News: Aizawa Securities selects Fidessa for proprietary and wholesale agency trading
- Published / Preprint: Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula. (arXiv:1401.1610v1 [q-fin.CP])
- Published / Preprint: An efficient algorithm for the calculation of non-unit linked reserves. (arXiv:1401.1757v1 [q-fin.CP])
- Blog Post: iMFdirect: A New Frontier for Kenya and Africa
- Published / Preprint: The Cross-Section of Managerial Ability, Incentives, and Risk Preferences
- Published / Preprint: CEO Ownership, Stock Market Performance, and Managerial Discretion
- Published / Preprint: Thirty Years of Shareholder Rights and Firm Value
- Published / Preprint: An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series. (arXiv:1401.1292v1 [q-fin.ST])
- Published / Preprint: Measures of Causality in Complex Datasets with application to financial data. (arXiv:1401.1457v1 [q-fin.CP])
- Research Library: The Dishonesty of Honest People: A Theory of Self-Concept Maintenance
- Research Library: The Skin In The Game Heuristic for Protection Against Tail Events
- Video - Marco Avellaneda: "The Era Of The Pure Quant Is Over"
- Published / Preprint: Second order statistics characterization of Hawkes processes and non-parametric estimation. (arXiv:1401.0903v1 [stat.ME])
| Blog Post: TheAlephBlog: A Preview of the Future in Local Government Financing Posted: 09 Jan 2014 10:38 PM PST There are several bad examples in municipal finance — Illinois & Kentucky for example, but the worst is Puerto Rico. What is one way that you can tell that things are bad? People are leaving Puerto Rico, and generally they are those that are better off.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 09 Jan 2014 05:38 PM PST A constrained informationally efficient market is defined to be one whose price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which despite its simplicity, generates new insights. In particular, it is shown that short sale constrained informationally efficient markets always admit... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Jan 2014 05:38 PM PST In this paper we use fuzzy systems theory to convert the technical trading rules commonly used by stock practitioners into excess demand functions which are then used to drive the price dynamics. The technical trading rules are recorded in natural languages where fuzzy words and vague expressions abound. In Part I of this paper, we will show the details of how to transform the technical trading... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Jan 2014 05:38 PM PST In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between trend-following and contrarian actions that generates the price chaos, and give parameter ranges for the price series to change from divergence to chaos and to... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Jan 2014 05:38 PM PST In Part III of this paper, we apply the price dynamical model with big buyers and big sellers developed in Part I of this paper to the daily closing data of the top 20 stocks in Hang Seng Index in Hong Kong Stock Exchange. The basic idea is to estimate the strength parameters of the big buyers and the big sellers in the model and make buy/sell decisions based on these parameter estimates. We... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Jan 2014 05:38 PM PST Highly accurate interval forecasting of a stock price index is fundamental to successfully making a profit when making investment decisions, by providing a range of values rather than a point estimate. In this study, we investigate the possibility of forecasting an interval-valued stock price index series over short and long horizons using multi-output support vector regression... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Jan 2014 05:38 PM PST Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail. Visit MoneyScience for the Complete Article.    |
| Posted: 09 Jan 2014 08:50 AM PST Press release about José DarÃo Uribe being appointed Chair of the BIS Consultative Council for the Americas (BIS Press Releases 8 January 2014) Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: 2014's priorities for retail banks: digitisation Posted: 09 Jan 2014 08:10 AM PST I’ve talked about other folks ideas for 2014 and the key technology trends, as well as a few wild predictions. Today, I start the first of three blogs focused upon retail banking (tomorrow commerical banking and next week investment banking).read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Aizawa Securities selects Fidessa for proprietary and wholesale agency trading Posted: 09 Jan 2014 03:08 AM PST    |
| Posted: 08 Jan 2014 05:38 PM PST The Lax-Hopf formula simplifies the value function of an intertemporal optimization (infinite dimensional) problem associated with a convex transaction-cost function which depends only on the transactions (velocities) of a commodity evolution: it states that the value function is equal to the marginal fonction of a finite dimensional problem with respect to durations and average ransactions, much... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Jan 2014 05:38 PM PST The underlying stochastic nature of the requirements for the Solvency II regulations has introduced significant challenges if the required calculations are to be performed correctly, without resorting to excessive approximations, within practical timescales. It is generally acknowledged by actuaries within UK life offices that it is currently impossible to correctly fulfill the requirements... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: A New Frontier for Kenya and Africa Posted: 08 Jan 2014 10:18 AM PST By Christine Lagarderead more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Cross-Section of Managerial Ability, Incentives, and Risk Preferences Posted: 08 Jan 2014 08:36 AM PST I estimate a dynamic investment model for mutual managers to study the cross-sectional distribution of ability, incentives, and risk preferences. The manager's compensation depends on the size of the fund, which fluctuates due to fund returns and due to fund flows that respond to the fund's relative performance. The model provides an economic interpretation of time-varying coefficients in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: CEO Ownership, Stock Market Performance, and Managerial Discretion Posted: 08 Jan 2014 08:36 AM PST We examine the relationship between CEO ownership and stock market performance. A strategy based on public information about managerial ownership delivers annual abnormal returns of 4% to 10%. The effect is strongest among firms with weak external governance, weak product market competition, and large managerial discretion, suggesting that CEO ownership can reverse the negative impact of weak... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Thirty Years of Shareholder Rights and Firm Value Posted: 08 Jan 2014 08:36 AM PST This paper introduces a new hand-collected data set that tracks restrictions on shareholder rights at approximately 1,000 firms from 1978 to 1989. In conjunction with the 1990 to 2006 IRRC data, we track shareholder rights over 30 years. Most governance changes occurred during the 1980s. We find a robustly negative association between restrictions on shareholder rights (using G-Index as a proxy)... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Jan 2014 05:39 PM PST An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the stochasticity of different time series can be compared. The local volatility of the time series under study can be constructed using this algorithm and the multifractal... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Jan 2014 05:39 PM PST This article investigates causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and Hilbert-Schmidt norm of the cross-covariance operator) and transfer entropy, examining each method and comparing their theoretical properties, with special... Visit MoneyScience for the Complete Article.    |
| Research Library: The Dishonesty of Honest People: A Theory of Self-Concept Maintenance Posted: 07 Jan 2014 04:31 AM PST Nina Mazar University of Toronto - Joseph L. Rotman School of Management On Amir University of California, San Diego (UCSD) - Rady School of Management Dan Ariely Duke University - Fuqua School of Business 2008 Journal of Marketing Research, Vol. 45, No. 6, pp. 633-644, 2008 Abstract Dishonesty plays a large role in the economy. Causes for (dis)honest behavior seem to be based partially on... Visit MoneyScience for the Complete Article.    |
| Research Library: The Skin In The Game Heuristic for Protection Against Tail Events Posted: 07 Jan 2014 04:20 AM PST Nassim Nicholas Taleb New York University; Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) Constantine Sandis Oxford Brooks October 1, 2013 Review of Behavioral Economics, 2014, 1: 1–21 Abstract Standard economic theory makes an allowance for the agency problem, but not the compounding of moral hazard in the presence of informational opacity,... Visit MoneyScience for the Complete Article.    |
| Video - Marco Avellaneda: "The Era Of The Pure Quant Is Over" Posted: 07 Jan 2014 04:04 AM PST Marco Avellaneda, Professor Of Mathematics, Courant Institute, NYU discusses future challenges and opportunities for quants at Global Derivatives 2013. He argues that quants can shine in the post-crisis environment by dedicating time to understanding the "pipes" of the financial system and showing they are people who understand systemic risk. There are a lot of interesting challenges facing... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Jan 2014 05:38 PM PST We show that the jumps correlation matrix of a multivariate Hawkes process is related to the Hawkes kernel matrix by a system of Wiener-Hopf integral equations. A Wiener-Hopf argument allows one to prove that this system (in which the kernel matrix is the unknown) possesses a unique causal solution and consequently that the second-order properties fully characterize Hawkes processes. The... Visit MoneyScience for the Complete Article.    |
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