MoneyScience News |
- Published / Preprint: Distribution of the asset price movement and market potential. (arXiv:1403.3138v1 [q-fin.ST])
- Published / Preprint: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case. (arXiv:1403.3212v1 [q-fin.PM])
- Published / Preprint: Detecting informed activities in European-style option tradings. (arXiv:1403.3294v1 [q-fin.TR])
- Published / Preprint: Coherent Chaos Interest Rate Models. (arXiv:1403.3362v1 [q-fin.PR])
- Blog Post: TheAlephBlog: On the Structure of Berkshire Hathaway
- Blog Post: TheFinancialServicesClub: Nordea's use of Facebook and social media to engage their customer
- Blog Post: PatrickBurns: US market portrait 2014 week 9
| Posted: 13 Mar 2014 05:39 PM PDT In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when market reversion (i.e. contrarian investors) is dominant. On the other hand, if there are more trend followers, flat and logarithmic--like potentials appeared.... Visit MoneyScience for the Complete Article.      |
| Posted: 13 Mar 2014 05:39 PM PDT We consider an incomplete market with a non-tradable stochastic factor and an investment problem with optimality criterion based on a functional which is a modification of a monotone mean-variance preferences. We formulate it as a stochastic differential game problem and use Hamilton Jacobi Bellman Isaacs equations to derive the optimal investment strategy and the value function. Finally, we show... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2014 05:39 PM PDT We propose a mathematical procedure for finding informed trader activities in European-style options and their underlying asset. The regression model (9) with moving average component was written. Being added to it ARMA-process for log-price differences of underlying asset, the generalized model is written as Vector ARMA, stable at abs(ro)<1. We also constructed an informed trader activity... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Coherent Chaos Interest Rate Models. (arXiv:1403.3362v1 [q-fin.PR]) Posted: 13 Mar 2014 05:39 PM PDT The Wiener chaos approach to interest rate modelling arises from the observation that the pricing kernel admits a representation in terms of the conditional variance of a square-integrable random variable, which in turn admits a chaos expansion. When the expansion coefficients factorise into multiple copies of a single function, then the resulting interest rate model is called coherent, whereas a... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On the Structure of Berkshire Hathaway Posted: 13 Mar 2014 06:20 AM PDT Berkshire Hathaway [BRK] is a unique company. Â You have a property-casualty insurance giant owning many businesses directly through insurance subsidiaries, including huge businesses like a Class 1 Railroad — BNSF.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2014 06:20 AM PDT I really enjoyed the presentations in Oslo, particularly the case studies by Nordea and ValYou.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2014 week 9 Posted: 01 Mar 2014 03:06 AM PST US large cap market returns.read more... Visit MoneyScience for the Complete Article.    |
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