Tuesday, March 18, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Imagine less than 50 banks left in the world by 2030 (why most will not become digital)

Posted: 18 Mar 2014 04:49 AM PDT

Another thing that came up last week is that someone said to me: “do you think incumbent banks can step up to the digital challenge and take on the likes of Amazon, Apple, Google and Facebook”.read more...

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Published / Preprint: Pricing Mellin-type Options with the Fast Fourier Transform. (arXiv:1403.3756v1 [q-fin.PR])

Posted: 18 Mar 2014 03:40 AM PDT

Analytical pricing formulas and Greeks are obtained for European and American basket put options using Mellin transforms. We assume assets are driven by geometric Brownian motion which exhibit correlation and pay a continuous dividend rate. A novel approach to numerical Mellin inversion is achieved via the fast Fourier transform, enabling the computation of option values at equidistant log asset...

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Published / Preprint: Momentum Strategies with L1 Filter. (arXiv:1403.4069v1 [q-fin.PM])

Posted: 18 Mar 2014 03:40 AM PDT

In this article, we discuss various implementation of L1 filtering in order to detect some properties of noisy signals. This filter consists of using a L1 penalty condition in order to obtain the filtered signal composed by a set of straight trends or steps. This penalty condition, which determines the number of breaks, is implemented in a constrained least square problem and is represented by a...

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Published / Preprint: An unsupervised parallel genetic cluster algorithm for graphics processing units. (arXiv:1403.4099v1 [q-fin.CP])

Posted: 18 Mar 2014 03:40 AM PDT

During times of stock market turbulence, monitoring the intraday clustering behaviour of financial instruments allows one to better understand market characteristics and systemic risks. While genetic algorithms provide a versatile methodology for identifying such clusters, serial implementations are computationally intensive and can take a long time to converge to the global optimum. We implement...

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Published / Preprint: Representation of infinite dimensional forward price models in commodity markets. (arXiv:1403.4111v1 [q-fin.PR])

Posted: 18 Mar 2014 03:40 AM PDT

We study the forward price dynamics in commodity markets realized as a process with values in a Hilbert space of absolutely continuous functions defined by Filipovi\'c. The forward dynamics are defined as the mild solution of a certain stochastic partial differential equation driven by an infinite dimensional L\'evy process. It is shown that the associated spot price dynamics can be...

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Published / Preprint: Least quartic Regression Criterion with Application to Finance. (arXiv:1403.4171v1 [q-fin.ST])

Posted: 18 Mar 2014 03:40 AM PDT

This article proposes a new method for the estimation of the parameters of a simple linear regression model which accounts for the role of co-moments in non-Gaussian distributions being based on the minimization of a quartic loss function. Although the proposed method is very general, we examine its application to finance. In fact, in this field the contribution of the co-moments in explaining...

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Published / Preprint: Anomalous impact in reaction-diffusion models. (arXiv:1403.3571v1 [cond-mat.stat-mech] CROSS LISTED)

Posted: 18 Mar 2014 03:40 AM PDT

We generalize the reaction-diffusion model A + B -> 0 in order to study the impact of an excess of A (or B) at the reaction front. We provide an exact solution of the model, which shows that linear response breaks down: the average displacement of the reaction front grows as the square-root of the imbalance. We argue that this model provides a highly simplified but generic framework to...

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Blog Post: TheAlephBlog: The Idea of Contributory Defined Benefit Plans

Posted: 17 Mar 2014 11:51 PM PDT

In the good old days, there were Defined Benefit [DB] plans for pensions, and only those.  Why were those good?read more...

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Published / Preprint: AMUNDI SMITH BREEDEN PRIZES FOR 2013

Posted: 17 Mar 2014 12:56 PM PDT

Published / Preprint: Structural Models under Additional Information. (arXiv:1403.3459v1 [q-fin.RM])

Posted: 17 Mar 2014 07:40 AM PDT

It has been understood that the ``local" existence of the Markowitz' optimal portfolio or the solution to the local risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes (called ``Structure Conditions" in the literature). In this paper, we consider a semi-martingale market model (initial market model) fulfilling these structures,...

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Published / Preprint: Empirical properties of inter-cancellation durations in the Chinese stock market. (arXiv:1403.3478v1 [q-fin.ST])

Posted: 17 Mar 2014 07:39 AM PDT

Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empirical statistical properties of inter-cancellation durations in units of events...

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Published / Preprint: Testing for Detailed Balance in a Financial Market. (arXiv:1403.3584v1 [q-fin.ST])

Posted: 17 Mar 2014 07:39 AM PDT

We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process based on a Markov chain, thus leading to equilibrium. In economic terms, a positive outcome of the test would support the efficient market hypothesis, a...

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Published / Preprint: A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests. (arXiv:1403.3627v1 [q-fin.CP])

Posted: 17 Mar 2014 07:39 AM PDT

This study applies old and new generations of panel unit root tests to test the validity of long-run real interest rate parity (RIP) hypothesis for ten Central and Eastern European Countries (CEECs) with respect to the Euro area and an average of the CEECs' real interest rates, respectively. When the panel unit root tests are carried out with respect to the Euro area rate, we confirm the results...

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Published / Preprint: Networked relationships in the e-MID Interbank market: A trading model with memory. (arXiv:1403.3638v1 [q-fin.ST])

Posted: 17 Mar 2014 07:39 AM PDT

Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks. The memory mechanism is used to introduce a proxy of trust in the model. The key idea is that a...

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Published / Preprint: 17Mar/Assessment of Basel III capital regulations in Australia concluded by the Basel Committee

Posted: 17 Mar 2014 05:06 AM PDT

Press release about "Basel Committee concludes assessment of Basel III capital regulations in Australia" (17 March 2014)

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