MoneyScience News |
- Blog Post: TheAlephBlog: Letter from a Reader
- Blog Post: WealthandCapitalMarketsBlog: 3.27.2014: Celent Securities & Investments Webinar: Low Latency: Focus on Cost and Optimization
- Blog Post: TheFinancialServicesClub: If you think 'rip out and replace our systems' is naive ... think again
- Published / Preprint: Prospect Theory for Online Financial Trading. (arXiv:1402.6393v1 [q-fin.TR])
- Published / Preprint: A First-Order BSPDE for Swing Option Pricing: Classical Solutions. (arXiv:1402.6444v1 [q-fin.PR])
- Published / Preprint: Finding informed traders in futures and their inderlying assets in intraday trading. (arXiv:1402.6583v1 [q-fin.TR])
- Published / Preprint: Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
- Blog Post: iMFdirect: Treating Inequality with Redistribution: Is the Cure Worse than the Disease?
| Blog Post: TheAlephBlog: Letter from a Reader Posted: 26 Feb 2014 11:08 PM PST Here’s a letter from a reader on insurance topics:read more... Visit MoneyScience for the Complete Article.      |
| Posted: 26 Feb 2014 06:07 PM PST Muralidhar Dasar, Analyst with Celent’s Securities and Investments Group and Dr. Anshuman Jaswal, Senior Analyst with Celent’s Securities and Investments Group.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2014 06:00 PM PST Building on yesterday’s theme, one that I cover often, I was accused of being naïve when I say that banks should rip out and replace old infrastructures.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Prospect Theory for Online Financial Trading. (arXiv:1402.6393v1 [q-fin.TR]) Posted: 26 Feb 2014 05:38 PM PST Prospect theory is widely viewed as the best available descriptive model of how people evaluate risk in experimental settings. According to prospect theory, people are risk-averse with respect to gains and risk-seeking with respect to losses, a phenomenon called "loss aversion". Despite of the fact that prospect theory has been well developed in behavioral economics at the theoretical level,... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2014 05:38 PM PST In Bender and Dokuchaev (2013) we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process of this control problem can be uniquely characterized in terms of a first order backward SPDE and a pathwise differential inclusion. In the present paper we additionally assume that the cashflow process of the... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2014 05:38 PM PST We propose a mathematical procedure for finding informed traders in ultra-high frequency trading. We wrote it as Vector ARMA and found condition of its stationarity. For the price exposure complied with ARMA(1,2) we proved that underlying asset price difference can be derived as ARMA(1,1) process. For validation of the model, we test an influence of informed traders in EUR/USD, GBP/USD, USD/RUB... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks Posted: 26 Feb 2014 12:47 PM PST This paper quantifies how variation in economic activity and inflation in the U.S. influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by output and inflation risks that are unspanned by (imperfectly correlated with) information about the shape of the... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Treating Inequality with Redistribution: Is the Cure Worse than the Disease? Posted: 26 Feb 2014 07:36 AM PST By Jonathan D. Ostry and Andrew Bergread more... Visit MoneyScience for the Complete Article.    |
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