MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 3rd April 2014
- Blog Post: TheAlephBlog: Best of the Aleph Blog, Part 23
- Published / Preprint: Principal wind turbines for a conditional portfolio approach to wind farms. (arXiv:1404.0375v1 [q-fin.GN])
- Published / Preprint: Non-Arbitrage under a Class of Honest Times. (arXiv:1404.0410v1 [q-fin.PR])
- Published / Preprint: Dynamic optimal execution in a mixed-market-impact Hawkes price model. (arXiv:1404.0648v1 [q-fin.TR])
- Vendor News: Infosys Finacle is the Global Market Leader for Core Platform Sales, Says Celentâs Big Leagues Table 2013
- Published / Preprint: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models. (arXiv:1404.0243v1 [q-fin.GN])
- Published / Preprint: On the range of admissible term-structures. (arXiv:1404.0340v1 [q-fin.CP])
- Vendor News: April 1, 2014 - SS&C Technologies 2014 First Quarter Earnings Release Notice
- Published / Preprint: Anatomy of a Bail-In. (arXiv:1403.7628v1 [q-fin.GN])
- Published / Preprint: Omega risk model with tax. (arXiv:1403.7680v1 [q-fin.RM])
- Published / Preprint: Inflation securities valuation with macroeconomic-based no-arbitrage dynamics. (arXiv:1403.7799v1 [q-fin.PR])
- Published / Preprint: Evolution of wealth in a nonconservative economy driven by local Nash equilibria. (arXiv:1403.7800v1 [q-fin.GN])
- Published / Preprint: Pseudo Linear Pricing Rule for Utility Indifference Valuation. (arXiv:1403.7830v1 [q-fin.PM])
- Published / Preprint: Are credit ratings time-homogeneous and Markov?. (arXiv:1403.8018v1 [q-fin.RM])
- Published / Preprint: Maximum drawdown, recovery, and momentum. (arXiv:1403.8125v1 [q-fin.GN])
- Blog Post: WealthandCapitalMarketsBlog: Flash boys'¦flash in the pan?
- Event: Webinar with Marco Dion of JP Morgan: News Analytics - Using a Language Recognition Algorithm to Analyse News Flow
- Published / Preprint: 31Mar/Guidance on external audits of banks issued by the Basel Committee
- Published / Preprint: 31Mar/New approach for measuring counterparty credit risk exposures finalised by the Basel Committee
- Published / Preprint: A Note on the Quantile Formulation. (arXiv:1403.7269v1 [q-fin.PM])
- Published / Preprint: Information theoretic approach for accounting classification. (arXiv:1401.2954v2 [q-fin.GN] UPDATED)
- Published / Preprint: Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity
- Published / Preprint: Corporate Taxes and Securitization
- Published / Preprint: Do Acquisitions Relieve Target Firmsâ Financial Constraints?
- Blog Post: emotionalfinance: Emotions and the financial behaviour of professionals.
- Blog Post: PatrickBurns: US market portrait 2014 week 12
- Is Your Portfolio Set Up to Withstand Economic Uncertainty?
- Blog Post: ThePracticalQuant: Crowdsourcing Feature discovery
| Blog Post: TheFinancialServicesClub: Things worth reading: 3rd April 2014 Posted: 02 Apr 2014 11:28 PM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Best of the Aleph Blog, Part 23 Posted: 02 Apr 2014 10:19 PM PDT Before I start this evening, I would like to explain some of the reasons for these “Best of the Aleph Blog” articles. Â I write these no closer than one year after an article was written, so that I can have a more dispassionate assessment of how good they were. Â I write these for the following reasons:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2014 05:39 PM PDT We introduce a measure for estimating the best risk-return relation of power production in wind farms within a given time-lag, conditioned to the velocity field. The velocity field is represented by a scalar that weighs the influence of the velocity at each wind turbine at present and previous time-steps for the present "state" of the wind field. The scalar measure introduced is a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Non-Arbitrage under a Class of Honest Times. (arXiv:1404.0410v1 [q-fin.PR]) Posted: 02 Apr 2014 05:39 PM PDT This paper addresses the question of non-arbitrage (precisely No-Unbounded-Profit-with-Bounded-Risk, NUPBR hereafter) after a specific random time. This study completes the one of Aksamit et al. \cite{aksamit/choulli/deng/jeanblanc}, devoted to the study before the random time, by elaborating results for the part after the random time under consideration. We restrict our attention to honest... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2014 05:39 PM PDT We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal strategy describes in particular how one should react to the orders of other traders. This result enables us to discuss the viability of the market. It is shown... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2014 02:24 AM PDT Infosys Finacle, the universal core banking solution, has been ranked as the global market leader in core banking systems, based on the highest number of deals won for the 12-month period ending June 30, 2013. Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2014 05:37 PM PDT This short review presents a selected history of the mutual fertilization between physics and economics, from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial economics compared with physics are dissected with the examples of the volatility smile and of the excess volatility puzzle. The role of the Ising model of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On the range of admissible term-structures. (arXiv:1404.0340v1 [q-fin.CP]) Posted: 01 Apr 2014 05:37 PM PDT In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes and a certain degree of smooth- ness. When present values of building instruments are expressed as linear combinations of some primary quantities such as... Visit MoneyScience for the Complete Article.    |
| Vendor News: April 1, 2014 - SS&C Technologies 2014 First Quarter Earnings Release Notice Posted: 01 Apr 2014 07:16 AM PDT    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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 ... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 31Mar/Guidance on external audits of banks issued by the Basel Committee Posted: 31 Mar 2014 03:57 AM PDT Press release about "Guidance on external audits of banks issued by the Basel Committee" (31 March 2014) Visit MoneyScience for the Complete Article.    |
| Posted: 31 Mar 2014 02:17 AM PDT Press release about the "New approach for measuring counterparty credit risk exposures finalised by the Basel Committee" (31 March 2014) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Note on the Quantile Formulation. (arXiv:1403.7269v1 [q-fin.PM]) Posted: 30 Mar 2014 05:55 PM PDT Many investment models in discrete or continuous-time settings boil down to maximizing an objective of the quantile function of the decision variable. This quantile optimization problem is known as the quantile formulation of the original investment problem. Under certain monotonicity assumptions, several schemes to solve such quantile optimization problems have been proposed in the literature.... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Mar 2014 05:55 PM PDT In this paper we consider an information theoretic approach for the accounting classification process. We propose a matrix formalism and an algorithm for calculations of information theoretic measures associated to accounting classification. The formalism may be useful for further generalizations, and computer based implementation. Information theoretic measures, mutual information and symmetric... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Mar 2014 04:13 AM PDT The literature has not established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. When alpha is defined using the client's utility function, a positive alpha generally means the client would want to buy. When markets are incomplete investors will disagree about the attractiveness of a fund. We provide bounds on the expected disagreement with a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Corporate Taxes and Securitization Posted: 28 Mar 2014 04:13 AM PDT Most banks pay corporate income taxes, but securitization vehicles do not. Our model shows that when a bank faces strong loan demand but limited deposit market power, this tax asymmetry creates an incentive to sell loans despite less-efficient screening and monitoring of sold loans. Moreover, loan-selling increases as a bank's corporate income tax rate and capital requirement rise. Our empirical... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Do Acquisitions Relieve Target Firmsâ Financial Constraints? Posted: 28 Mar 2014 04:13 AM PDT Managers often claim that target firms are financially constrained prior to being acquired and that these constraints are eased following the acquisition. Using a large sample of European acquisitions, we document that the level of cash that target firms hold, the sensitivity of cash to cash flow, and the sensitivity of investment to cash flow all decline, while investment increases following the... Visit MoneyScience for the Complete Article.    |
| Blog Post: emotionalfinance: Emotions and the financial behaviour of professionals. Posted: 22 Mar 2014 12:35 PM PDT Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2014 week 12 Posted: 22 Mar 2014 04:16 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article.    |
| Is Your Portfolio Set Up to Withstand Economic Uncertainty? Posted: 19 Mar 2014 06:58 AM PDT Is Your Portfolio Set Up to Withstand Economic Uncertainty?read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Crowdsourcing Feature discovery Posted: 16 Mar 2014 10:37 AM PDT [A version of this post appears on the O'Reilly Data blog.]Data scientists were among the earliest and most enthusiastic users of crowdsourcing services. Lukas Biewald noted in a recent talk that one of the reasons he started CrowdFlower was that as a data scientist he got frustrated with having to create training sets for many of the problems he faced. More recently, companies have been... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |