MoneyScience News

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• Published / Preprint: A FIRSTâORDER BSPDE FOR SWING OPTION PRICING
• Blog Post: TheFinancialServicesClub: Things worth reading: 20th May 2014
• Blog Post: TheAlephBlog: Classic: Investing Is About the Whole Portfolio
• Published / Preprint: Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions. (arXiv:1405.4301v1 [physics.soc-ph])
• Published / Preprint: Local times for typical price paths and pathwise Tanaka formulas. (arXiv:1405.4421v1 [math.PR])
• Published / Preprint: Quantum spatial-periodic harmonic model for daily price-limited stock markets. (arXiv:1405.4490v1 [q-fin.GN])
• Published / Preprint: Rough paths, Signatures and the modelling of functions on streams. (arXiv:1405.4537v1 [math.PR])
• Published / Preprint: Combining Alpha Streams with Costs. (arXiv:1405.4716v1 [q-fin.PM])
• Blog Post: iMFdirect: The New Frontier: Economies on the Rise
• Published / Preprint: Valuation and Hedging of Contracts with Funding Costs and Collateralization. (arXiv:1405.4079v1 [q-fin.MF])
• Blog Post: PatrickBurns: US market portrait 2014 week 20
• Published / Preprint: Intensity Process for a Pure Jump L\'evy Structural Model with Incomplete Information. (arXiv:1405.3767v1 [q-fin.MF])
• Published / Preprint: Distortion Risk Measures and Elicitability. (arXiv:1405.3769v1 [q-fin.RM])
• Published / Preprint: Optimal investment under behavioural criteria -- a dual approach. (arXiv:1405.3812v1 [q-fin.PM])
• Blog Post: WealthandCapitalMarketsBlog: Beyond HFT
• Blog Post: ThePracticalQuant: Welcome to Intelligence Matters
• Published / Preprint: Quantum Brownian motion model for stock markets. (arXiv:1405.3512v1 [q-fin.GN])
• Published / Preprint: An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs. (arXiv:1405.3561v1 [q-fin.CP])
• 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])
• Published / Preprint: The systematic structure and predictability of urban business diversity. (arXiv:1405.3202v1 [physics.soc-ph])
• Published / Preprint: Can Analysts Predict Rallies Better Than Crashes?. (arXiv:1405.3225v1 [q-fin.EC])
• Blog Post: emotionalfinance: New Personal Finance MOOC
• Published / Preprint: A Multi-factor Adaptive Statistical Arbitrage Model. (arXiv:1405.2384v1 [q-fin.PM])
• Published / Preprint: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries. (arXiv:1405.2442v1 [math.OC])
• Published / Preprint: How does bad and good volatility spill over across petroleum markets?. (arXiv:1405.2445v1 [q-fin.ST])
• Event: Webcast - Counterparty Credit Risk- Perspectives and Tools
• Blog Post: OlsenBlog: Riskless Pest Control Techniques Garden
• The largest arbitrage ever?
• Gain insight into Islamic banking, finance and economic development with Wiley Finance
• Event: 4th Annual Asset & Fund Management Forum

Published / Preprint: A FIRSTâORDER BSPDE FOR SWING OPTION PRICING Posted: 20 May 2014 04:19 AM PDT Abstract We study an optimal control problem related to swing option pricing in a general non‐Markovian setting in continuous time. As a main result we uniquely characterize the value process in terms of a first‐order nonlinear backward stochastic partial differential equation and a differential inclusion. Based on this result we also determine the set of optimal controls and derive a dual... Visit MoneyScience for the Complete Article.

Blog Post: TheFinancialServicesClub: Things worth reading: 20th May 2014 Posted: 20 May 2014 02:10 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.

Blog Post: TheAlephBlog: Classic: Investing Is About the Whole Portfolio Posted: 19 May 2014 10:18 PM PDT I wrote the following article for RealMoney in August 2005.  I don’t like handing out individual stock ideas.  I would rather teach people how to think about stocks and other assets, because my individual ideas will be wrong 30% of the time, and I will garner a lot of complaints from them.  I will get few thanks from the 70% I got right.  The ratio corresponds to that which Jesus had... Visit MoneyScience for the Complete Article.

Published / Preprint: Mining Urban Performance: Scale-Independent Classification of Cities Based on Individual Economic Transactions. (arXiv:1405.4301v1 [physics.soc-ph]) Posted: 19 May 2014 05:39 PM PDT Intensive development of urban systems creates a number of challenges for urban planners and policy makers in order to maintain sustainable growth. Running efficient urban policies requires meaningful urban metrics, which could quantify important urban characteristics including various aspects of an actual human behavior. Since a city size is known to have a major, yet often nonlinear, impact on... Visit MoneyScience for the Complete Article.

Published / Preprint: Local times for typical price paths and pathwise Tanaka formulas. (arXiv:1405.4421v1 [math.PR]) Posted: 19 May 2014 05:39 PM PDT Following a hedging based approach to model free financial mathematics, we prove that it is possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is constructed from discrete approximations, and it is shown that it is of finite $p$-variation for all $p>2$. Additionally, we provide various generalizations of... Visit MoneyScience for the Complete Article.

Published / Preprint: Quantum spatial-periodic harmonic model for daily price-limited stock markets. (arXiv:1405.4490v1 [q-fin.GN]) Posted: 19 May 2014 05:39 PM PDT We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential well. Complicated non-linear relations including inter-band positive correlation and intra-band negative correlation between the volatility and the trading... Visit MoneyScience for the Complete Article.

Published / Preprint: Rough paths, Signatures and the modelling of functions on streams. (arXiv:1405.4537v1 [math.PR]) Posted: 19 May 2014 05:39 PM PDT Rough path theory is focused on capturing and making precise the interactions between highly oscillatory and non-linear systems. It draws on the analysis of LC Young and the geometric algebra of KT Chen. The concepts and the uniform estimates, have widespread application and have simplified proofs of basic questions from the large deviation theory and extended Ito's theory of SDEs; the recent... Visit MoneyScience for the Complete Article.

Published / Preprint: Combining Alpha Streams with Costs. (arXiv:1405.4716v1 [q-fin.PM]) Posted: 19 May 2014 05:39 PM PDT We discuss investment allocation to multiple alpha streams traded on the same execution platform with internal crossing of trades and point out differences with allocating investment when alpha streams are traded on separate execution platforms with no crossing. First, in the latter case allocation weights are non-negative, while in the former case they can be negative. Second, the effects of... Visit MoneyScience for the Complete Article.

Blog Post: iMFdirect: The New Frontier: Economies on the Rise Posted: 19 May 2014 01:52 PM PDT By Min Zhuread more... Visit MoneyScience for the Complete Article.

Published / Preprint: Valuation and Hedging of Contracts with Funding Costs and Collateralization. (arXiv:1405.4079v1 [q-fin.MF]) Posted: 19 May 2014 03:09 AM PDT The research presented in this work is motivated by recent papers by Brigo et al. (2011), Burgard and Kjaer (2009), Cr\'epey (2012), Fujii and Takahashi (2010), Piterbarg (2010) and Pallavicini et al. (2012). Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing a unified framework for the non-linear approach to hedging and pricing of... Visit MoneyScience for the Complete Article.

Blog Post: PatrickBurns: US market portrait 2014 week 20 Posted: 17 May 2014 02:47 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article.

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... Visit MoneyScience for the Complete Article.

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... Visit MoneyScience for the Complete Article.

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... Visit MoneyScience for the Complete Article.

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... Visit MoneyScience for the Complete Article.

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... Visit MoneyScience for the Complete Article.

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... Visit MoneyScience for the Complete Article.

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,... Visit MoneyScience for the Complete Article.

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... Visit MoneyScience for the Complete Article.

Published / Preprint: The systematic structure and predictability of urban business diversity. (arXiv:1405.3202v1 [physics.soc-ph]) Posted: 13 May 2014 05:49 PM PDT Understanding cities is central to addressing major global challenges from climate and health to economic resilience. Although increasingly perceived as fundamental socio-economic units, the detailed fabric of urban economic activities is only now accessible to comprehensive analyses with the availability of large datasets. Here, we study abundances of business categories across U.S. metropolitan... Visit MoneyScience for the Complete Article.

Published / Preprint: Can Analysts Predict Rallies Better Than Crashes?. (arXiv:1405.3225v1 [q-fin.EC]) Posted: 13 May 2014 05:49 PM PDT We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with excess security returns during six months following recommendation issue. Using a symmetrized Joe-Clayton... Visit MoneyScience for the Complete Article.

Blog Post: emotionalfinance: New Personal Finance MOOC Posted: 13 May 2014 06:55 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: A Multi-factor Adaptive Statistical Arbitrage Model. (arXiv:1405.2384v1 [q-fin.PM]) Posted: 12 May 2014 05:40 PM PDT This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection methodologies include K-means clustering, graphical lasso and a combination of the two. Our results show that clustering appears to yield better candidate... Visit MoneyScience for the Complete Article.

Published / Preprint: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries. (arXiv:1405.2442v1 [math.OC]) Posted: 12 May 2014 05:40 PM PDT We show that the equivalence between certain problems of singular stochastic control (SSC) and related questions of optimal stopping known for convex performance criteria (see, for example, Karatzas and Shreve (1984)) continues to hold in a non convex problem provided a related discretionary stopping time is introduced. Our problem is one of storage and consumption for electricity, a partially... Visit MoneyScience for the Complete Article.

Published / Preprint: How does bad and good volatility spill over across petroleum markets?. (arXiv:1405.2445v1 [q-fin.ST]) Posted: 12 May 2014 05:40 PM PDT We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisis. The increase in volatility spillovers correlates with the progressive... Visit MoneyScience for the Complete Article.

Event: Webcast - Counterparty Credit Risk- Perspectives and Tools Posted: 11 May 2014 10:41 AM PDT Location: Online; Date: May 20th, 2014; Financial firms are facing significant challenges when it comes to measuring and assessing risk from counterparties. In the aftermath of the 2008 financial crisis, progress measuring the broad array of financial transactions with other institutions remains uneven and progress toward consistent, timely and accurate reporting of top counterparty... 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.

The largest arbitrage ever? Posted: 07 May 2014 12:32 PM PDT ValueWalk reports:read more... 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.

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