Tuesday, April 1, 2014

MoneyScience News

MoneyScience News

Vendor News: ACM AND INFOSYS FOUNDATION HONOR LEADER IN MACHINE LEARNING

Posted: 01 Apr 2014 03:37 AM PDT

The Association for Computing Machinery (ACM) and the Infosys Foundation announced today that David Blei is the recipient of the 2013 ACM-Infosys Foundation Award in the Computing Sciences.

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Blog Post: TheAlephBlog: Book Review: Treasure Islands

Posted: 31 Mar 2014 11:37 PM PDT

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Blog Post: TheFinancialServicesClub: Things worth reading: 1st April 2014

Posted: 31 Mar 2014 09:58 PM PDT

Things we're reading today include ...read more...

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Published / Preprint: Anatomy of a Bail-In. (arXiv:1403.7628v1 [q-fin.GN])

Posted: 31 Mar 2014 05:38 PM PDT

To mitigate potential contagion from future banking crises, the European Commission recently proposed a framework which would provide for the $\textit{bail-in}$ of bank creditors in the event of failure. In this study, we examine this framework retrospectively in the context of failed European banks during the global financial crisis. Empirical findings suggest that equity and subordinated...

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Published / Preprint: Omega risk model with tax. (arXiv:1403.7680v1 [q-fin.RM])

Posted: 31 Mar 2014 05:38 PM PDT

In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model with tax(Albrecher and Hipp (2007)). We explicitly characterize the Laplace transform of the occupation time of an Azema-Yor process(e.g. a...

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Published / Preprint: Inflation securities valuation with macroeconomic-based no-arbitrage dynamics. (arXiv:1403.7799v1 [q-fin.PR])

Posted: 31 Mar 2014 05:38 PM PDT

We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an important role. The model can explain the effects of non-standard...

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Published / Preprint: Evolution of wealth in a nonconservative economy driven by local Nash equilibria. (arXiv:1403.7800v1 [q-fin.GN])

Posted: 31 Mar 2014 05:38 PM PDT

We develop a model for the evolution of wealth in a non-conservative economic environment, extending a theory developed earlier by the authors. The model considers a system of rational agents interacting in a game theoretical framework. This evolution drives the dynamic of the agents in both wealth and economic configuration variables. The cost function is chosen to represent a risk averse...

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Published / Preprint: Pseudo Linear Pricing Rule for Utility Indifference Valuation. (arXiv:1403.7830v1 [q-fin.PM])

Posted: 31 Mar 2014 05:38 PM PDT

This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a functional differential equation, which is termed \emph{pseudo linear pricing rule}. We also provide an...

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Published / Preprint: Are credit ratings time-homogeneous and Markov?. (arXiv:1403.8018v1 [q-fin.RM])

Posted: 31 Mar 2014 05:38 PM PDT

We introduce a simple approach for testing the reliability of homogeneous generators and the Markov property of the stochastic processes underlying empirical time series of credit ratings. We analyze open access data provided by Moody's and show that the validity of these assumptions - existence of a homogeneous generator and Markovianity - is not always guaranteed. Our analysis is based on a...

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Published / Preprint: Maximum drawdown, recovery, and momentum. (arXiv:1403.8125v1 [q-fin.GN])

Posted: 31 Mar 2014 05:38 PM PDT

We develop momentum and contrarian strategies with stock selection rules based on maximum drawdown and consecutive recovery. The alternative strategies in monthly and weekly scales outperform the portfolios constructed by cumulative return regardless of market universe. In monthly periods, the ranking rules associated with the maximum drawdown dominate other momentum strategies. The recovery...

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Blog Post: WealthandCapitalMarketsBlog: Flash boys'¦flash in the pan?

Posted: 31 Mar 2014 05:19 PM PDT

What the Michael Lewis article (Flash Boys) in the New York Times shows is that there are:read more...

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Event: Webinar with Marco Dion of JP Morgan: News Analytics - Using a Language Recognition Algorithm to Analyse News Flow

Posted: 31 Mar 2014 04:37 AM PDT

Location: Online; Date: April 2nd, 2014; • Company News flow has an undeniable impact on stock prices. • Depending on how positive or negative the news item, it can even represent the most important element defining a stock’s annual performance. • News items are fundamental and qualitative in nature, consequently academics and Quant houses have up to recently (i.e. pre ...

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