MoneyScience News |
- Vendor News: May 28, 2014 - SS&C Technologies Announces Webcast of its â2014 Analyst Dayâ
- Blog Post: TheFinancialServicesClub: There aren't any challenger banks out there really
- Blog Post: TheAlephBlog: Questions from Readers
- Published / Preprint: Option Pricing in a Dynamic Variance-Gamma Model. (arXiv:1405.7342v1 [q-fin.PR])
- Published / Preprint: Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. (arXiv:1405.6111v2 [q-fin.CP] UPDATED)
- Blog Post: WealthandCapitalMarketsBlog: Exchanges and innovation
- Blog Post: iMFdirect: How Low-Income Countries Can Diversify and Grow
- Published / Preprint: Agency Conflicts and Cash: Estimates from a Dynamic Model
- Published / Preprint: The Joint Cross Section of Stocks and Options
- Published / Preprint: Shaping Liquidity: On the Causal Effects of Voluntary Disclosure
- Published / Preprint: The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes
- Published / Preprint: 28May/Implementation monitoring for the PFMIs: first update to Level 1 assessment report
- Published / Preprint: On the stationarity of Dynamic Conditional Correlation models. (arXiv:1405.6905v1 [q-fin.MF])
- Published / Preprint: Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series. (arXiv:1405.6990v1 [q-fin.ST])
| Posted: 29 May 2014 03:39 AM PDT      |
| Blog Post: TheFinancialServicesClub: There aren't any challenger banks out there really Posted: 29 May 2014 03:21 AM PDT The soon to launch TSB flotation was announced the other day to general silence.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Questions from Readers Posted: 29 May 2014 03:20 AM PDT Miscellaneous questions post — here goes:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 May 2014 03:19 AM PDT We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is time varying and follows an affine Garch model, trying to capture persistence of volatility shocks and also higher order conditional dynamics in a... Visit MoneyScience for the Complete Article.    |
| Posted: 29 May 2014 03:19 AM PDT This paper is a further extension of the method proposed in Itkin, 2014 as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps. First, a second-order operator splitting on financial processes (diffusion and jumps) is applied to these PIDEs. To solve the diffusion equation, we use standard... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Exchanges and innovation Posted: 28 May 2014 07:46 PM PDT I recently attended the 2014 IOMA/WFE conference in Moscow. An interesting panel debate was on the role of innovation in the exchange universe.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: How Low-Income Countries Can Diversify and Grow Posted: 28 May 2014 07:08 AM PDT By Chris Papageorgiou, Lisa Kolovich, and Sean Nolan read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Agency Conflicts and Cash: Estimates from a Dynamic Model Posted: 28 May 2014 06:06 AM PDT Which agency problems affect corporate cash policy? To answer this question, we estimate a dynamic model of finance and investment with three mechanisms that misalign managerial and shareholder incentives: limited managerial ownership of the firm, compensation based on firm size, and managerial perquisite consumption. We find that perquisite consumption critically impacts cash policy. Size-based... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Joint Cross Section of Stocks and Options Posted: 28 May 2014 06:06 AM PDT Stocks with large increases in call (put) implied volatilities over the previous month tend to have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option-implied... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Shaping Liquidity: On the Causal Effects of Voluntary Disclosure Posted: 28 May 2014 06:06 AM PDT Can managers influence the liquidity of their firms̢۪ shares? We use plausibly exogenous variation in the supply of public information to show that firms actively shape their information environments by voluntarily disclosing more information than regulations mandate and that such efforts improve liquidity. Firms respond to an exogenous loss of public information by providing more timely and... Visit MoneyScience for the Complete Article.    |
| Posted: 28 May 2014 06:06 AM PDT The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday volatility are reduced by 7%, while aggregate returns are unaffected. Moreover, analysis of return... Visit MoneyScience for the Complete Article.    |
| Posted: 28 May 2014 05:15 AM PDT Press release about the CPSS/IOSCO report "Implementation monitoring for the PFMIs: first update to Level 1 assessment report" (BIS Press Release 28 May 2014) Visit MoneyScience for the Complete Article.    |
| Posted: 28 May 2014 03:28 AM PDT We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover, we study the existence of their finite moments. Visit MoneyScience for the Complete Article.    |
| Posted: 28 May 2014 03:28 AM PDT The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian nature of process and a linear memory measure. We have extended a sense of a Hurst factor by consideration of a phase diffusion power law. It was shown that pre-catastrophic stabilization as an indicator of bifurcation... Visit MoneyScience for the Complete Article.    |
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