Tuesday, February 18, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: The re-tail wagging the wholesale dog

Posted: 18 Feb 2014 03:50 AM PST

I talked yesterday about digital banks underpinning corporate digitisation, but corporate digitisation is being driven by consumers.read more...

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Blog Post: TheAlephBlog: Why are Pensions so Messed Up

Posted: 18 Feb 2014 03:49 AM PST

A few days ago, I was reading Felix Salmon’s piece Pension politics.  (Nice title, the type that Tadas likes — the shorter the better.)  I wrote a short response in the comments, largely agreeing with Felix.  Here it is:read more...

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Published / Preprint: Systemic Losses Due to Counter Party Risk in a Stylized Banking System. (arXiv:1402.3688v1 [q-fin.GN])

Posted: 17 Feb 2014 05:39 PM PST

We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from normally operating to distressed whenever its liabilities are larger than the banks' assets. The banks...

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Published / Preprint: The geometry of relative arbitrage. (arXiv:1402.3720v1 [q-fin.PM])

Posted: 17 Feb 2014 05:39 PM PST

Consider an equity market with n stocks. The vector of proportions of the total market capitalization that belongs to each stock is called the market weights. Consider two portfolios, one is a passive buy-and-hold portfolio representing the entire market, and the other assigns a portfolio vector for each possible value of the market weights and requires trading to maintain this assignment. The...

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Published / Preprint: On the shortfall risk control - a refinement of the quantile hedging method. (arXiv:1402.3725v1 [q-fin.PR])

Posted: 17 Feb 2014 05:39 PM PST

The issue of constructing a risk minimizing hedge with additional constraints on the shortfall risk is examined. Several classical risk minimizing problems have been adapted to the new setting and solved. The existence and specific forms of optimal strategies in a general semimartingale market model with the use of conditional statistical tests have been proven. The quantile hedging method...

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Published / Preprint: Information-theoretic approach to lead-lag effect on financial markets. (arXiv:1402.3820v1 [q-fin.ST])

Posted: 17 Feb 2014 05:39 PM PST

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on Pearson's correlation coefficient and thus intraday lead-lag relationships associated with such. Under Efficient Market Hypothesis such relationships are not possible...

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Published / Preprint: Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach. (arXiv:1402.4047v1 [q-fin.ST])

Posted: 17 Feb 2014 05:38 PM PST

The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets. Overall, in this work we developed various metrics associated with catastrophic bifurcation transitions, in particular, the catastrophic slowing down (analogous to...

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Vendor News: Fidessa group announces the preliminary results for the year ended 31st December 2013

Posted: 16 Feb 2014 11:46 PM PST