MoneyScience News |
- Blog Post: TheFinancialServicesClub: London versus Europe: the deep division over banking rules and regulations
- Blog Post: TheAlephBlog: On Finding Neglected Companies
- Published / Preprint: Exchange Rate Predictability in a Changing World. (arXiv:1403.0627v1 [q-fin.ST])
- Published / Preprint: Multi-period Trading Prediction Markets with Connections to Machine Learning. (arXiv:1403.0648v1 [cs.GT])
- Published / Preprint: Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure. (arXiv:1403.0718v1 [q-fin.PM])
- Published / Preprint: The adaptive nature of liquidity in limit order books. (arXiv:1403.0842v1 [q-fin.ST])
- Published / Preprint: Netconomics: Novel Forecasting Techniques from the Combination of Big Data, Network Science and Economics. (arXiv:1403.0848v1 [q-fin.GN])
- Published / Preprint: Asset Prices and Risk Aversion. (arXiv:1403.0851v1 [q-fin.CP])
- Blog Post: iMFdirect: Euro Area ' âdeflationâ versus âlowflationâ
- 2013 Risk Manager of the Year: Robert B. Litterman
| Posted: 05 Mar 2014 04:01 AM PST It’s EU elections time, and so the mad moments begin.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: On Finding Neglected Companies Posted: 04 Mar 2014 11:09 PM PST While at RealMoney, I wrote a short series on data-mining. Â Copies of the articles are here: (one, two). I enjoyed writing them, and the most pleasant surprise was the favorable email from readers and fellow columnists. As a follow up, on April 13th, 2005, I wrote an article on analyst coverage — and neglect. Today, I am writing the same article but as of today, with even more detail, and... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Mar 2014 05:38 PM PST An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial Crisis. This paper forecasts exchange rates using such Taylor rules with Time Varying Parameters (TVP) estimated by Bayesian methods. In core out-of-sample... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Mar 2014 05:38 PM PST We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The analysis shows that the whole market effectively approaches a global objective, despite that the market is designed such that each agent only cares about its own... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Mar 2014 05:38 PM PST The discrete-time mean-variance portfolio selection formulation, a representative of general dynamic mean-risk portfolio selection problems, does not satisfy time consistency in efficiency (TCIE) in general, i.e., a truncated pre-committed efficient policy may become inefficient when considering the corresponding truncated problem, thus stimulating investors' irrational investment behavior. We... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Mar 2014 05:38 PM PST In financial markets, the order flow, defined as the process assuming value one for buy market order and minus one for sell market orders, displays very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue whose possible solution is provided by asymmetric liquidity which states that the impact... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Mar 2014 05:37 PM PST The combination of the network theoretic approach with recently available abundant economic data leads to the development of novel analytic and computational tools for modelling and forecasting key economic indicators. The main idea is to introduce a topological component into the analysis, taking into account consistently all higher-order interactions. We present three basic methodologies to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Asset Prices and Risk Aversion. (arXiv:1403.0851v1 [q-fin.CP]) Posted: 04 Mar 2014 05:37 PM PST The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent's risk aversion increases. If the income effect, which implies enhanced saving as a result of an increase in risk aversion, dominates the substitution effect, which causes the representative agent to reallocate... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Euro Area ' âdeflationâ versus âlowflationâ Posted: 04 Mar 2014 09:56 AM PST By Reza Moghadam, Ranjit Teja, and Pelin Berkmenread more... Visit MoneyScience for the Complete Article.    |
| 2013 Risk Manager of the Year: Robert B. Litterman Posted: 04 Mar 2014 07:39 AM PST The Global Association of Risk Professionals, (GARP, www.garp.org) announced today that it has awarded Robert B. Litterman, Partner and Chairman of the Risk Committee and Advisory Panel, Kepos Capital LP, the 2013 Risk Manager of the Year Award at the Association's 15th Annual Risk Management Convention & Exhibition, held at the New York Marriott Marquis in New York City. "It is an honor to... Visit MoneyScience for the Complete Article.    |
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