MoneyScience News |
- Blog Post: TheAlephBlog: The Rules, Part LX
- Blog Post: ThePracticalQuant: Instrumenting collaboration tools used in data projects
- Blog Post: TheFinancialServicesClub: The Finanser's Week: 3rd March - 9th March 2014
- Published / Preprint: Inside Money, Procyclical Leverage, and Banking Catastrophes. (arXiv:1403.1637v1 [q-fin.PR])
- Published / Preprint: Do Google Trend data contain more predictability than price returns?. (arXiv:1403.1715v1 [q-fin.TR])
- Published / Preprint: High-Order Splitting Methods for Forward PDEs and PIDEs. (arXiv:1403.1804v1 [q-fin.CP])
- Published / Preprint: City growth as a resource utilization problem. (arXiv:1403.1822v1 [physics.soc-ph])
| Blog Post: TheAlephBlog: The Rules, Part LX Posted: 09 Mar 2014 06:40 PM PDT Rapid upward moves in volatility almost always presage a bounce rally.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: ThePracticalQuant: Instrumenting collaboration tools used in data projects Posted: 09 Mar 2014 06:30 PM PDT [A version of this post appears on the O'Reilly Data blog.]As I noted in a previous post, model building is just one component of the analytic lifecycle. Many analytic projects result in models that get deployed in production environments. Moreover, companies are beginning to treat analytics as mission-critical software and have real-time dashboards to track model performance. Once a model is... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The Finanser's Week: 3rd March - 9th March 2014 Posted: 09 Mar 2014 06:10 PM PDT Our biggest stories of the past week are ... read more... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Mar 2014 05:38 PM PDT We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors share a common belief about the future value of certain long-term assets, but they have different... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Mar 2014 05:38 PM PDT Using non-linear machine learning methods and a proper backtest procedure, we critically examine the claim that Google Trends can predict future price returns. We first review the many potential biases that may influence backtests with this kind of data positively, the choice of keywords being by far the greatest culprit. We then argue that the real question is whether such data contain more... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Mar 2014 05:38 PM PDT This paper is dedicated to the construction of high-order (in both space and time) finite-difference schemes for both forward and backward PDEs and PIDEs, such that option prices obtained by solving both the forward and backward equations are consistent. This approach is partly inspired by Andreasen & Huge, 2011 who reported a pair of consistent finite-difference schemes of... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Mar 2014 05:38 PM PDT We study a resource utilization scenario characterized by intrinsic attractiveness, in a system of many restaurants where customers compete to get the best services out of many choices. Results for the case with uniform attractiveness are reported. When attractiveness is uniformly distributed, it gives rise to a Zipf-Pareto law for the number of customers. We perform an exact calculation for the... Visit MoneyScience for the Complete Article.    |
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