Thursday, May 22, 2014

MoneyScience News

MoneyScience News

Blog Post: rob_daly: New Job, Similar Focus

Posted: 22 May 2014 12:29 AM PDT

New Job, Similar Focusread more...

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Published / Preprint: Ten years of dividend yields in Europe: 2000â2009

Posted: 21 May 2014 11:37 PM PDT



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Published / Preprint: The impact of fund characteristics on the use of analyst forecasts

Posted: 21 May 2014 11:37 PM PDT



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Published / Preprint: The real benchmark of DAX index products and the influence of information dissemination: A natural experiment

Posted: 21 May 2014 11:37 PM PDT



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Published / Preprint: The state-dependent time variation in the value premium

Posted: 21 May 2014 11:37 PM PDT



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Blog Post: TheAlephBlog: What Earnings Figures Should I Use?

Posted: 21 May 2014 11:08 PM PDT

One of the challenges in investing is understanding whether stocks are really earning above expectations or not.  Many companies, especially the large ones have their adjusted or modified GAAP earnings.  I can sympathize with the companies if the adjustments make the adjusted earnings more like free cash flow.  But if not, I disagree.read more...

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Published / Preprint: Trading in option contracts before large price changes: A comparative study of US and UK markets

Posted: 21 May 2014 10:55 PM PDT



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Published / Preprint: Persistence of volatility of sovereign credit risk in presence of structural breaks

Posted: 21 May 2014 10:55 PM PDT



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Published / Preprint: Evaluation of the effectiveness of methods of the imperfect hedging of financial options on the Russian forward market

Posted: 21 May 2014 10:55 PM PDT



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Published / Preprint: The relation between manager description and fund performance Evidence from emerging market hedge funds

Posted: 21 May 2014 10:55 PM PDT



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Published / Preprint: A Functional Limit Theorem for Limit Order Books. (arXiv:1405.5230v1 [q-fin.MF])

Posted: 21 May 2014 05:38 PM PDT

We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). For the joint dynamics of best bid and ask prices and the standing buy and sell volume densities, we derive a functional limit theorem, which states that our LOB model converges to a continuous-time limit when the order arrival rates tend to infinity, the impact of an individual order arrival on the book as...

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Published / Preprint: Valuation of Barrier Options using Sequential Monte Carlo. (arXiv:1405.5294v1 [q-fin.CP])

Posted: 21 May 2014 05:38 PM PDT

Sequential Monte Carlo (SMC) methods have successfully been used in many applications in engineering, statistics and physics. However, these are seldom used in financial option pricing literature and practice. This paper presents SMC method for pricing barrier options with continuous and discrete monitoring of the barrier condition. Under the SMC method, simulated asset values rejected due to...

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Blog Post: iMFdirect: U.S. Interest Rates: The Potential Shock Heard Around the World

Posted: 21 May 2014 11:32 AM PDT

By Serkan Arslanalp and Yingyuan Chenread more...

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