Monday, June 2, 2014

MoneyScience News

MoneyScience News

Published / Preprint: Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics. (arXiv:1405.7747v1 [q-fin.TR])

Posted: 01 Jun 2014 05:30 PM PDT

This paper investigates the effects of the "uptick rule" (a short selling regulation formally known as rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where heterogeneous and adaptive beliefs on the future prices of a risky asset were first shown to be responsible for endogenous price fluctuations. read more...

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Published / Preprint: Gambling in Contests with Random Initial Law. (arXiv:1405.7801v1 [q-fin.EC])

Posted: 01 Jun 2014 05:30 PM PDT

This paper studies a variant of the contest model introduced by Seel and Strack. In the Seel-Strack contest, each agent or contestant privately observes a Brownian motion, absorbed at zero, and chooses when to stop it. The winner of the contest is the contestant who stops at the highest value. The model assumes that all the processes start from a common value $x_0>0$ and the symmetric...

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Blog Post: ThePracticalQuant: A growing number of companies are building applications with Apache Spark

Posted: 01 Jun 2014 10:17 AM PDT

[A version of this post appears on the O'Reilly Data blog.]One of the trends we're following closely at Strata is the emergence of vertical applications. As components for creating large-scale data infrastructures enter their early stages of maturation, companies are focusing on solving data problems in specific industries rather than building tools from scratch. Virtually all of these components...

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Blog Post: TheFinancialServicesClub: The Finanser's Week: 26th May - 1st June 2014

Posted: 01 Jun 2014 05:09 AM PDT

Our biggest stories of the past week are ...read more...

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Blog Post: TheAlephBlog: A Bond Manager Thinks about the Equity Premium

Posted: 01 Jun 2014 05:00 AM PDT

One of the things that annoys me about the concept of the equity premium is that it is an academic creation that does not grasp the structures of the markets.  Send the academics to be bond and equity portfolio managers for a time, and maybe we would get a better theory than Modern Portfolio Theory [MPT].read more...

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