Monday, February 3, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: The worst passwords ever ...

Posted: 03 Feb 2014 12:18 AM PST

“Password” is no longer the worst password with “123456,” the traditional runner up, taking the top spot, according to SplashData, provider of password management systems.read more...

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Published / Preprint: Elimination of systemic risk in financial networks by means of a systemic risk transaction tax. (arXiv:1401.8026v1 [q-fin.RM])

Posted: 02 Feb 2014 05:38 PM PST

Financial markets are exposed to systemic risk (SR), the risk that a major fraction of the system ceases to function and collapses. Since recently it is possible to quantify SR in terms of underlying financial networks where nodes represent financial institutions, and links capture the size and maturity of assets (loans), liabilities, and other obligations such as derivatives. In particular it is...

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Published / Preprint: Financial Brownian particle in the layered order book fluid and Fluctuation-Dissipation relations. (arXiv:1401.8065v1 [q-fin.TR])

Posted: 02 Feb 2014 05:38 PM PST

We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of a comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the motions of the Brownian particle and its surrounding fluid particles reflect specific layering...

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Published / Preprint: Cross-correlation asymmetries and causal relationships between stock and market risk within linear response approximation. (arXiv:1401.8106v1 [q-fin.ST])

Posted: 02 Feb 2014 05:38 PM PST

We study historical correlation and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market representative portfolio) in the US stock market. We calculate corresponding cross-correlation functions averaged over all stocks for 71 historical stock prices from the Standard & Poor's 500 index for 1992--2013....

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Published / Preprint: The Integrated Size and Price Optimization Problem. (arXiv:1401.8142v1 [math.OC])

Posted: 02 Feb 2014 05:38 PM PST

We present the Integrated Size and Price Optimization Problem (ISPO) for a fashion discounter with many branches. Based on a two-stage stochastic programming model with recourse, we develop an exact algorithm and a production-compliant heuristic that produces small optimality gaps. In a field study we show that a distribution of supply over branches and sizes based on ISPO solutions is...

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Published / Preprint: Hedging Expected Losses on Derivatives in Electricity Futures Markets. (arXiv:1401.8271v1 [q-fin.PR])

Posted: 02 Feb 2014 05:38 PM PST

We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery period. A quick overview of market data shows a basis risk for this market incompleteness. For that purpose we formulate the pricing problem in a stochastic...

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Blog Post: ThePracticalQuant: Business analysts want access to advanced analytics

Posted: 02 Feb 2014 03:06 PM PST

[A version of this post appears on the O'Reilly Data blog.]I talk with many new companies who build tools for business analysts and other non-technical users. These new tools streamline and simplify important data tasks including interactive analysis (e.g., pivot tables and cohort analysis), interactive visual analysis (as popularized by Tableau and Qlikview), and more recently data preparation....

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