Saturday, May 17, 2014

MoneyScience News

MoneyScience News

Blog Post: TheAlephBlog: On Analyzing 13Fs

Posted: 16 May 2014 10:39 PM PDT

In the fourth quarter of 2011, I decided that I needed to analyze the 13F filings of major investors who I thought were bright.  The first stage was looking at track records, and then finding the 13F filings.  Some investment management companies  make them difficult to find.  And, prior to three quarters ago, formatting issues allowed managers to make it a lot more difficult to compare 13F...

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Blog Post: TheFinancialServicesClub: The Changing Face of Payments Report, 2014

Posted: 16 May 2014 04:29 AM PDT

In late 2013, we researched the views of how payments markets are responding to change. The results are intriguing, so here's the management summary.  If you would like  a free copy of the report, just download here.read more...

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Published / Preprint: Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information. (arXiv:1405.3767v1 [q-fin.MF])

Posted: 15 May 2014 05:38 PM PDT

In this paper we discuss a credit risk model with a pure jump L\'evy process for the asset value and an unobservable random barrier. The default time is the first time when the asset value falls below the barrier. Using the indistinguishability of the intensity process and the likelihood process, we prove the existence of the intensity process of the default time and find its explicit...

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Published / Preprint: Distortion Risk Measures and Elicitability. (arXiv:1405.3769v1 [q-fin.RM])

Posted: 15 May 2014 05:38 PM PDT

We discuss equivalent axiomatic characterizations of distortion risk measures, and give a novel and concise proof of the characterization of elicitable distortion risk measures. Elicitability has recently been discussed as a desirable criterion for risk measures, motivated by statistical considerations of forecasting. We reveal the mathematical conflict between the requirements of elicitability...

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Published / Preprint: Optimal investment under behavioural criteria -- a dual approach. (arXiv:1405.3812v1 [q-fin.PM])

Posted: 15 May 2014 05:38 PM PDT

We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in a previous paper under certain conditions on the parameters of these power functions. read more...

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Blog Post: WealthandCapitalMarketsBlog: Beyond HFT

Posted: 15 May 2014 06:37 AM PDT

I recently attended the Tokyo Financial Information Summit, put on by Interactive Media. The event was interesting from a number of perspectives. This event focuses on the capital markets; attendees are usually domestic sell side and buy side firms and vendors, including global firms active in Japan. This year there was good representation from around Asia ex-Japan as well; possibly attracted by...

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Blog Post: ThePracticalQuant: Welcome to Intelligence Matters

Posted: 14 May 2014 09:16 PM PDT

[A version of this post appears on the O'Reilly Radar blog and Forbes.]Editor's note: this post was co-authored by Ben Lorica and Roger MagoulasToday we're kicking off Intelligence Matters (IM), a new series exploring current issues in artificial intelligence, including the connection between artificial intelligence, human intelligence and the brain. IM offers a thoughtful take on recent...

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Published / Preprint: Quantum Brownian motion model for stock markets. (arXiv:1405.3512v1 [q-fin.GN])

Posted: 14 May 2014 05:39 PM PDT

We investigate the relevance between quantum open systems and stock markets. A Quantum Brownian motion model is proposed for studying the interaction between the Brownian system and the reservoir, i.e., the stock index and the entire stock market. Based on the model, we investigate the Shanghai Stock Exchange of China from perspective of quantum statistics, and thereby examine the behaviors of...

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Published / Preprint: An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs. (arXiv:1405.3561v1 [q-fin.CP])

Posted: 14 May 2014 05:39 PM PDT

We consider the approximation of stochastic differential equations (SDEs) with non-Lipschitz drift or diffusion coefficients. We present a modified explicit Euler-Maruyama discretisation scheme that allows us to prove strong convergence, with a rate. Under some regularity conditions, we obtain the optimal strong error rate. We consider SDEs popular in the mathematical finance literature,...

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Published / Preprint: A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities. (arXiv:1405.3566v1 [math.OC])

Posted: 14 May 2014 05:39 PM PDT

Incomplete financial markets are considered, defined by a multi-dimensional non-homogeneous diffusion process, being the direct sum of an It\^{o} process (the price process), and another non-homogeneous diffusion process (the exogenous process, representing exogenous stochastic sources). The drift and the diffusion matrix of the price process are functions of the time, the price process...

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Blog Post: iMFdirect: Are Banks Too Large? Maybe, Maybe Not

Posted: 14 May 2014 07:38 AM PDT

By Luc Laeven, Lev Ratnovski, and Hui Tongread more...

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