MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 11th February 2014
- Blog Post: TheAlephBlog: Mimicking the 1980s Value Line Contest
- Published / Preprint: Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion. (arXiv:1402.1809v1 [math.OC])
- Published / Preprint: Pricing Currency Derivatives with Markov-modulated Levy Dynamics. (arXiv:1402.1953v1 [q-fin.CP])
- Published / Preprint: Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading. (arXiv:1402.2046v1 [q-fin.TR])
- Published / Preprint: Multi-scale Representation of High Frequency Market Liquidity. (arXiv:1402.2198v1 [q-fin.TR])
| Blog Post: TheFinancialServicesClub: Things worth reading: 11th February 2014 Posted: 11 Feb 2014 03:41 AM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Mimicking the 1980s Value Line Contest Posted: 10 Feb 2014 11:48 PM PST A letter from a reader:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2014 05:37 PM PST We determine the optimal robust investment strategy of an individual who targets at a given rate of consumption and seeks to minimize the probability of lifetime ruin when she does not have perfect confidence in the drift of the risky asset. Using stochastic control, we characterize the value function as the unique classical solution of an associated Hamilton-Jacobi-Bellman (HJB) equation, obtain... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2014 05:37 PM PST Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson process intensity with... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2014 05:37 PM PST We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt trading rules based on chronological time and can switch between fundamentalist and chartist strategies. On... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2014 05:37 PM PST We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for state contraction of Intrinsic Network, we show that it has a consistent hierarchical structure that allows for multi-scale analysis of financial data. We... Visit MoneyScience for the Complete Article.    |
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