MoneyScience News |
- Blog Post: TheFinancialServicesClub: AML prevention lies in digital identities: the new form of money
- Blog Post: iMFdirect: From Rabat to Amman
- Blog Post: TheAlephBlog: Book Review: The 52-Week Low Formula
- Blog Post: OlsenBlog: Riskless Pest Control Techniques Garden
- Blog Post: WealthandCapitalMarketsBlog: Celent Wealth Management Webinar Replay: The Evolution of the Retail Investor Landscape
- Published / Preprint: On the Biases and Variability in the Estimation of Concentration Using Bracketed Quantile Contributions. (arXiv:1405.1791v1 [stat.AP])
- Published / Preprint: Optimal Execution in Lit and Dark Pools. (arXiv:1405.2023v1 [q-fin.MF])
- Published / Preprint: Merchant Sharing Towards a Zero Marginal Cost Economy. (arXiv:1405.2051v1 [q-fin.EC])
- Published / Preprint: Stephen A. Ross
- Published / Preprint: Illiquidity Contagion and Liquidity Crashes
- Published / Preprint: Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Mutual Funds
- Published / Preprint: Co-opted Boards
- Published / Preprint: Attracting Investor Attention through Advertising
- Published / Preprint: Heterogeneity and Stability: Bolster the Strong, Not the Weak
- Published / Preprint: Financial Market Dislocations
- Published / Preprint: Index Option Returns: Still Puzzling
- The largest arbitrage ever?
- Published / Preprint: Market risk modelling in Solvency II regime and hedging options not using underlying. (arXiv:1405.1212v1 [q-fin.RM])
- Published / Preprint: Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. (arXiv:1405.1247v1 [q-fin.TR])
- Published / Preprint: The super-replication theorem under proportional transaction costs revisited. (arXiv:1405.1266v1 [math.PR])
- Published / Preprint: Default Probability Estimation via Pair Copula Constructions. (arXiv:1405.1309v1 [q-fin.RM])
- Published / Preprint: Paths and indices of maximal tail dependence. (arXiv:1405.1326v1 [math.PR])
- Vendor News: May 6, 2014 - SS&C Names Stephan M. Petrov Treasurer
- Published / Preprint: Calculating the Funding Valuation Adjustment (FVA) of Value-at-Risk (VAR) based Initial Margin. (arXiv:1405.0508v1 [q-fin.PR])
- Published / Preprint: KVA: Capital Valuation Adjustment. (arXiv:1405.0515v1 [q-fin.PR])
- Blog Post: PatrickBurns: US market portrait 2014 week 18
- Blog Post: ThePracticalQuant: Network Graphs
- Gain insight into Islamic banking, finance and economic development with Wiley Finance
- Event: 4th Annual Asset & Fund Management Forum
- Vendor News: Infosys DigitizeEdge Creates New Immersive Experience for Orange IPTV Viewers
| Posted: 10 May 2014 05:30 PM PDT After yesterday’s post about KYC, PEPs and AML, someone said: “so what’s the point Chris?â€read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: iMFdirect: From Rabat to Amman Posted: 10 May 2014 03:08 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Book Review: The 52-Week Low Formula Posted: 09 May 2014 11:48 PM PDT I usually don’t like reviewing books that say, “Follow this formula, and you will make lotsa money. Â Thus it was with some hesitance that I requested this book. Â I did it partly off of Tweedy, Browne’s study, which is aptly titled, “What Has Worked in Investing.” Â For those reading at Amazon, Google “Tweedy Browne What has Worked” for the link.... Visit MoneyScience for the Complete Article.    |
| Blog Post: OlsenBlog: Riskless Pest Control Techniques Garden Posted: 09 May 2014 02:21 AM PDT Take into consideration the idea together with not, infections seem to have been be game! You already knew that although, valid? While they are little as sneaky, may possibly be deemed animals. A pest could consist anything from beetles so that you flies, bedbugs, termites, virtually small irritate. I’m fairly sure they are classified as rodents for the reason that routinely aggravate... Visit MoneyScience for the Complete Article.    |
| Posted: 09 May 2014 01:29 AM PDT http://www.celent.com/reports/webinar-evolution-retail-investor-landscaperead more... Visit MoneyScience for the Complete Article.    |
| Posted: 08 May 2014 05:37 PM PDT In fat-tailed domains, sample measures of top centile contributions to the total (concentration) are biased, unstable estimators extremely sensitive to sample size and concave in accounting for large deviations. They can vary over time merely from the increase of sample space, thus providing the illusion of structural changes in concentration. They are also inconsistent under aggregation and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal Execution in Lit and Dark Pools. (arXiv:1405.2023v1 [q-fin.MF]) Posted: 08 May 2014 05:37 PM PDT We consider an optimal execution problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for the best bid and best ask prices, both modelled by arbitrary functions of incoming market and limit orders. We consider a random drift so to include the... Visit MoneyScience for the Complete Article.    |
| Posted: 08 May 2014 05:37 PM PDT This paper is the first attempt to formalize a new field of economics; studding the Intangibles Goods available on the Internet. We are taking advantage of the digital world's specific rules, in particular the zero marginal cost, to propose a theory of trading & sharing unified. A function based money is created as a world-wide currency; "cup". We argue that our system discourage speculation... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Stephen A. Ross Posted: 08 May 2014 05:05 PM PDT    |
| Published / Preprint: Illiquidity Contagion and Liquidity Crashes Posted: 08 May 2014 12:46 AM PDT Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a very large drop in market liquidity... Visit MoneyScience for the Complete Article.    |
| Posted: 08 May 2014 12:46 AM PDT We document frictions in money market mutual fund lending that lead to the transmission of distress across borrowers. Using novel security-level holdings data, we show that funds exposed to Eurozone banks suffered large outflows in mid-2011. These outflows had significant spillovers: non-European issuers relying on such funds raised less short-term debt financing. Issuer characteristics do not... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Co-opted Boards Posted: 08 May 2014 12:46 AM PDT We develop two measures of board composition to investigate whether directors appointed by the CEO have allegiance to the CEO and decrease their monitoring. Co-option is the fraction of the board comprised of directors appointed after the CEO assumed office. As Co-option increases, board monitoring decreases: turnover-performance sensitivity diminishes, pay increases (without commensurate... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Attracting Investor Attention through Advertising Posted: 08 May 2014 12:46 AM PDT This paper provides evidence that managers adjust firm advertising, in part, to attract investor attention and influence short-term stock returns. First, I show that increased advertising spending is associated with a contemporaneous rise in retail buying and abnormal stock returns, and is followed by lower future returns. Second, I document a significant increase in advertising spending prior to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Heterogeneity and Stability: Bolster the Strong, Not the Weak Posted: 08 May 2014 12:46 AM PDT We first study a stylized model of self-fulfilling panic among agents with differing fragilities to strategic risk and show that depending on the severity of coordination problems, the panic trigger threshold can depend only on one type's fragility. We then present a model of systemic panic among financial institutions with heterogeneous fragilities to financial spillovers. Concerns about... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial Market Dislocations Posted: 08 May 2014 12:46 AM PDT Dislocations occur when financial markets, operating under stressful conditions, experience large, widespread asset mispricings. This study documents systematic dislocations in world capital markets and the importance of their fluctuations for expected asset returns. Our novel, model-free measure of these dislocations is a monthly average of hundreds of individual abnormal absolute violations of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Index Option Returns: Still Puzzling Posted: 08 May 2014 12:46 AM PDT Previous research indicates mixed conclusions on the potential mispricing of equity index put options. We examine the returns of put writing and other option strategies by comparing historical option returns with returns generated using option pricing models. We find it is generally possible to reject the hypothesis that put returns are consistent with option pricing models. An implication is... Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2014 12:32 PM PDT ValueWalk reports:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2014 05:39 PM PDT In the paper we develop mathematical tools of quantile hedging in incomplete market. Those could be used for two significant applications: \begin{enumerate} \item calculating the \textbf{optimal capital requirement imposed by Solvency II} (Directive 2009/138/EC of the European Parliament and of the Council) when the market and non-market risk is present in insurance company. read... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2014 05:38 PM PDT Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the properties of price gaps have not been thoroughly studied due to the less availability of ultrahigh frequency data. In the paper, we rebuild the LOB dynamics... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2014 05:38 PM PDT We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a num\'eraire-based admissibility condition in the primal problem to the notion of... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2014 05:38 PM PDT In this paper we present a novel semi-Bayesian model for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions. For each considered firm, balance sheet data are used to assess the asset value, and to compute its default probability. The asset pricing function is expressed via a pair copula construction, and it is... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Paths and indices of maximal tail dependence. (arXiv:1405.1326v1 [math.PR]) Posted: 06 May 2014 05:38 PM PDT We argue that the classical indices of tail dependence quite often underestimate the tail dependence in copulas and thus may not always convey useful information. We illustrate this phenomenon using a number of bivariate copulas and suggest an alternative way for assessing tail dependence. Visit MoneyScience for the Complete Article.    |
| Vendor News: May 6, 2014 - SS&C Names Stephan M. Petrov Treasurer Posted: 06 May 2014 02:19 PM PDT    |
| Posted: 06 May 2014 01:22 AM PDT Central counterparties (CCPs) require initial margin (IM) to be posted for derivative portfolios cleared through them. Additionally, the Basel Committee on Banking Supervision has proposed in BCBS-261 that all significant OTC derivatives trading must also post IM by 2019. IM is typically calculated using Value-at-Risk (VAR) or Conditional Value-at-Risk (CVAR, aka Expected Shortfall), based on... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: KVA: Capital Valuation Adjustment. (arXiv:1405.0515v1 [q-fin.PR]) Posted: 06 May 2014 01:22 AM PDT Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks and funding costs. However, recent changes in the regulatory regime and the increases in regulatory capital requirements has led many banks to include the cost of capital in derivative pricing. This paper formalises... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2014 week 18 Posted: 03 May 2014 02:06 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Network Graphs Posted: 27 Apr 2014 10:37 AM PDT [A version of this post appears on the O'Reilly Data blog and The Gradient Flow.]With Network Science well on its way to being an established academic discipline, we're beginning to see tools that leverage it. Applications that draw heavily from this discipline make heavy use of visual representations and come with interfaces aimed at business users. For business analysts used to consuming bar... Visit MoneyScience for the Complete Article.    |
| Gain insight into Islamic banking, finance and economic development with Wiley Finance Posted: 24 Apr 2014 11:59 AM PDT Gain Insight into Islamic Banking, Finance, Economic Developmentread more... Visit MoneyScience for the Complete Article.    |
| Event: 4th Annual Asset & Fund Management Forum Posted: 23 Apr 2014 12:45 PM PDT Location: Vienna, Austria; Date: May 27th, 2014; WHO WILL ATTENDread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys DigitizeEdge Creates New Immersive Experience for Orange IPTV Viewers Posted: 23 Apr 2014 02:50 AM PDT Infosys partners with Orange to offer customers a wide range of TV apps on the Orange Livebox Play. These apps will be powered by Infosys DigitizeEdge. Visit MoneyScience for the Complete Article.    |
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