Friday, March 21, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Stressing out the banks

Posted: 21 Mar 2014 04:18 AM PDT

In America and Europe, stress tests are regularly applied to see whether the banks are becoming more resilient to another crisis. read more...

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Vendor News: March 21, 2014 - SS&C GlobeOp Forward Redemption Indicator: March notifications 3.81%

Posted: 21 Mar 2014 02:07 AM PDT

Blog Post: iMFdirect: Abenomics'Time for a Push from Higher Wages

Posted: 20 Mar 2014 11:19 PM PDT

By Dennis Botman and Zoltan Jakab read more...

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Blog Post: TheAlephBlog: Limit Repo Financing

Posted: 20 Mar 2014 11:09 PM PDT

If you have a moment, read this Bloomberg article.  The brokers are utterly dishonest when they say:read more...

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Published / Preprint: Collective behaviours in the stock market -- A maximum entropy approach. (arXiv:1403.5179v1 [q-fin.ST])

Posted: 20 Mar 2014 05:37 PM PDT

Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated behaviours find their origin in the theory of complex systems. There are several mechanisms which generate scale invariance but maximum entropy models are able to...

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Published / Preprint: Predicting market instability: New dynamics between volume and volatility. (arXiv:1403.5193v1 [q-fin.ST])

Posted: 20 Mar 2014 05:37 PM PDT

Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and volume interact, particularly when the levels of both are high. We find that the distribution of the volume-conditional volatility is well fit by a power-law...

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Published / Preprint: A change of measure preserving the affine structure in the BNS model for commodity markets. (arXiv:1403.5236v1 [q-fin.PR])

Posted: 20 Mar 2014 05:37 PM PDT

For a commodity spot price dynamics given by an Ornstein-Uhlenbeck process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing measures that simultaneously allow for change of level and speed in the mean reversion of both the price and the volatility. The risk premium is derived in the case of arithmetic and geometric spot price processes, and it...

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Published / Preprint: Portfolio Optimization in Affine Models with Markov Switching. (arXiv:1403.5247v1 [q-fin.PM])

Posted: 20 Mar 2014 05:37 PM PDT

We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon and derive optimal dynamic investment strategies that maximize the investor's expected utility from terminal wealth. To this aim we apply Merton's approach,...

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Vendor News: Kamal Osman Jamjoom Group LLC Transforms Performance Management System with Oracle HCM Cloud

Posted: 20 Mar 2014 06:09 AM PDT

With support from Infosys, Kamal Osman Jamjoom (KOJ) â€" one of the most established retail groups in the Middle East region â€" successfully deployed Oracle Human Capital Management (HCM) Cloud in six weeks.

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