Wednesday, May 7, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: "Flash Boys" ... that's old news Michael

Posted: 07 May 2014 02:35 AM PDT

I just got this chart from the FT via Chris Giles:read more...

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Blog Post: TheAlephBlog: Yet Another Letter from a Reader

Posted: 06 May 2014 10:02 PM PDT

I get a lot of interesting letters — here is another one:read more...

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Published / Preprint: Market risk modelling in Solvency II regime and hedging options not using underlying. (arXiv:1405.1212v1 [q-fin.RM])

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...

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Published / Preprint: Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. (arXiv:1405.1247v1 [q-fin.TR])

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...

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Published / Preprint: The super-replication theorem under proportional transaction costs revisited. (arXiv:1405.1266v1 [math.PR])

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...

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Published / Preprint: Default Probability Estimation via Pair Copula Constructions. (arXiv:1405.1309v1 [q-fin.RM])

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...

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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.

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Vendor News: May 6, 2014 - SS&C Names Stephan M. Petrov Treasurer

Posted: 06 May 2014 02:19 PM PDT

Blog Post: WealthandCapitalMarketsBlog: 6.6.2014 Celent Securities & Investments Webinar: Swap Execution Facilities: What's Next in Store?

Posted: 06 May 2014 12:20 PM PDT

Anshuman Jaswal, PhD, Senior Analyst with Celent’s Securities and Investments Groupread more...

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