Tuesday, April 22, 2014

MoneyScience News

MoneyScience News

Blog Post: ThePracticalQuant: Verticalized Big Data applications

Posted: 22 Apr 2014 03:32 AM PDT

[A version of this post appears on the O'Reilly Data blog.]As much as I love talking about general-purpose big data platforms and data science frameworks, I'm the first to admit that many of the interesting startups I talk to are focused on specific verticals. At their core big data applications merge large amounts of real-time and static data to improve decision-making:This simple idea can be...

Visit MoneyScience for the Complete Article.

Blog Post: TheAlephBlog: Book Review: The Death of Money

Posted: 22 Apr 2014 03:30 AM PDT

This is a hard book to review. I have respect for the author, and most of his opinions.  But extraordinary claims require extraordinary proof.  There is evidence here, but not extraordinary proof.  I agree that we are in a bad spot, and that there is reason to be cautious.  To claim that the current international monetary system will disappear by 2020 or so requires more than the book...

Visit MoneyScience for the Complete Article.

Published / Preprint: Spectral Model of Turnover Reduction. (arXiv:1404.5050v1 [q-fin.GN])

Posted: 22 Apr 2014 03:28 AM PDT

When trades are crossed between multiple alpha streams, portfolio turnover decreases. Turnover reduction needs to be taken into account for optimizing asset allocation to these alphas. We propose a spectral model of turnover reduction for a general alpha correlation matrix in the limit where the number of alphas is large.

Visit MoneyScience for the Complete Article.

Published / Preprint: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. (arXiv:1404.5138v1 [q-fin.CP])

Posted: 22 Apr 2014 03:28 AM PDT

We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In our numerical study we obtain high-order numerical convergence also for non-zero correlation and non-smooth payoffs which are typical in option pricing. In all...

Visit MoneyScience for the Complete Article.

Published / Preprint: High-order compact finite difference scheme for option pricing in stochastic volatility models. (arXiv:1404.5140v1 [q-fin.CP])

Posted: 22 Apr 2014 03:28 AM PDT

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results like unconditional stability in the sense of von Neumann are presented. Where the analysis becomes too involved we validate our findings by a numerical study....

Visit MoneyScience for the Complete Article.

Published / Preprint: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model. (arXiv:1404.5222v1 [q-fin.PM])

Posted: 22 Apr 2014 03:28 AM PDT

In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy that minimizes the expected investment risk, but this strategy does not always result in the best rate of return on assets. Prior to making investment decisions,...

Visit MoneyScience for the Complete Article.

Published / Preprint: Reconstruction of density functions by sk-splines. (arXiv:1404.5271v1 [q-fin.MF])

Posted: 22 Apr 2014 03:28 AM PDT

Reconstruction of density functions and their characteristic functions by radial basis functions with scattered data points is a popular topic in the theory of pricing of basket options. Such functions are usually entire or admit an analytic extension into an appropriate tube and "bell-shaped" with rapidly decaying tails. Unfortunately, the domain of such functions is not compact which creates...

Visit MoneyScience for the Complete Article.