MoneyScience News |
- Published / Preprint: Option Pricing, Historical Volatility and Tail Risks. (arXiv:1402.1255v1 [q-fin.PR])
- Published / Preprint: Market impact as anticipation of the order flow imbalance. (arXiv:1402.1288v1 [q-fin.TR])
- Published / Preprint: Partial correlation analysis: Applications for financial markets. (arXiv:1402.1405v1 [q-fin.ST])
- Published / Preprint: Are European equity markets efficient? New evidence from fractal analysis. (arXiv:1402.1440v1 [q-fin.ST])
- Blog Post: WealthandCapitalMarketsBlog: 2.19.2014: Celent Webinar: Current State of Innovation in Financial Services
- Blog Post: TheFinancialServicesClub: Is one man responsible for all Swiss banking?
- Blog Post: TheAlephBlog: An Expensive Kind of Insurance
- Event: New Thinking in Finance
| Posted: 06 Feb 2014 05:38 PM PST We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion. We parametrize such risk aversion in terms of three coefficients: convexity, skew and kurtosis risk premium. We propose that... Visit MoneyScience for the Complete Article.      |
| Posted: 06 Feb 2014 05:38 PM PST In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For example, if the market order flow is assumed to follow a nearly unstable Hawkes process, we retrieve the apparent long memory of the flow together with a power... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Feb 2014 05:38 PM PST The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price changes for a given pair of stocks, but it does not measure whether other stocks influence the relationship between them. To explore the influence of a third stock... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Feb 2014 05:38 PM PST Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long range dependence in the log return series of the Mibtel (Italy) and the PX Glob (Czech Republic). Long range dependence implies that predictable patterns in the log returns do not dissipate quickly, and may therefore produce potential arbitrage opportunities. Therefore,... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Feb 2014 09:09 AM PST Celent Senior Analyst Mike Fitzgerald and Mick Simonelli, Innovation Consultant and former Chief Innovation Officer at USAA.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Is one man responsible for all Swiss banking? Posted: 06 Feb 2014 03:29 AM PST In a penultimate view of the history of Swiss banking, one important dimension is why the largest Swiss banks â€" UBS and Credit Suisse â€" are based in Zurich, rather than Geneva, Basel or Bern.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: An Expensive Kind of Insurance Posted: 06 Feb 2014 12:17 AM PST Strategy One: “Consistent Losses, with Occasional Big Gains when the Market is Stressed”read more... Visit MoneyScience for the Complete Article.    |
| Event: New Thinking in Finance Posted: 29 Jan 2014 06:32 AM PST Location: London, United Kingdom; Date: February 12th, 2014; Organized by: Cambridge Systems Associates and Scottish Widows Investment Partnershipread more... Visit MoneyScience for the Complete Article.    |
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