MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 11th March 2014
- Published / Preprint: Introduction to Risk Parity and Budgeting. (arXiv:1403.1889v1 [q-fin.PM])
- Published / Preprint: Partial Mutual Information Analysis of Financial Networks. (arXiv:1403.2050v1 [q-fin.ST])
- Published / Preprint: A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution. (arXiv:1403.2229v1 [q-fin.TR])
- Blog Post: iMFdirect: Financial Crises: Taking Stock
| Blog Post: TheFinancialServicesClub: Things worth reading: 11th March 2014 Posted: 11 Mar 2014 01:28 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Introduction to Risk Parity and Budgeting. (arXiv:1403.1889v1 [q-fin.PM]) Posted: 10 Mar 2014 05:38 PM PDT Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Mar 2014 05:38 PM PDT The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly financial markets, are nonlinear, which is shown to be true even in mainstream economic literature. Thus it is surprising to see that network analysis of... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Mar 2014 05:37 PM PDT Reinforcement learning is explored as a candidate machine learning technique to enhance existing analytical solutions for optimal trade execution with elements from the market microstructure. Given a volume-to-trade, fixed time horizon and discrete trading periods, the aim is to adapt a given volume trajectory such that it is dynamic with respect to favourable/unfavourable conditions during... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Financial Crises: Taking Stock Posted: 10 Mar 2014 07:46 AM PDT By Stijn Claessensread more... Visit MoneyScience for the Complete Article.    |
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