MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 19th June 2014
- Published / Preprint: Advisors and indicators based on the SSA models and non-linear generalizations. (arXiv:1406.4783v1 [q-fin.PM])
- Blog Post: TheAlephBlog: Redacted Version of the June 2014 FOMC Statement
- Published / Preprint: 18Jun/Supervisory guidelines for identifying and dealing with weak banks - consultative report released by the Basel Committee
- Published / Preprint: Investment under Duality Risk Measure. (arXiv:1406.4222v1 [q-fin.RM])
- Published / Preprint: A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information. (arXiv:1406.4275v1 [q-fin.PR])
- Published / Preprint: On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. (arXiv:1406.4297v1 [math.PR])
- Published / Preprint: A general HJM framework for multiple yield curve modeling. (arXiv:1406.4301v1 [q-fin.MF])
- Published / Preprint: Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence. (arXiv:1406.4322v1 [q-fin.ST])
- Published / Preprint: Ergodic BSDEs with jumps and time dependence. (arXiv:1406.4329v1 [math.PR])
- Blog Post: iMFdirect: Emerging Market Corporate Sector Debt: A Stitch in Time Could Save Billions
- Vendor News: With Economy Stabilizing, Hospital Executives Focus on Big Data to Improve Cost Efficiencies and Quality
- Event: Free webinar: Cost of Collateral for Clearing
- Published / Preprint: Do Going-Private Transactions Affect Plant Efficiency and Investment?
- Published / Preprint: Smart Money? The Effect of Education on Financial Outcomes
- Published / Preprint: Risk Choice under High-Water Marks
- Published / Preprint: Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors
- Published / Preprint: Frog in the Pan: Continuous Information and Momentum
- Published / Preprint: The Variety of Maturities Offered by Firms and Institutional Investment in Corporate Bonds
- Published / Preprint: The G\"{a}rtner-Ellis theorem, homogenization, and affine processes. (arXiv:1406.3716v1 [q-fin.MF])
- Published / Preprint: Statistically significant fits of Hawkes processes to financial data. (arXiv:1406.3967v1 [q-fin.ST])
- Published / Preprint: Climate Events and Insurance Demand - The effect of potentially catastrophic events on insurance demand in Italy. (arXiv:1406.4114v1 [q-fin.GN])
- Vendor News: June 16, 2014 - Myer Family Company Renews Relationship with SS&C
| Blog Post: TheFinancialServicesClub: Things worth reading: 19th June 2014 Posted: 18 Jun 2014 11:39 PM PDT Things worth reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Posted: 18 Jun 2014 05:38 PM PDT This paper considers method of creation of an advisor and indicator based on the spectral stochastic analysis model, both with linear and non-linear approximation. The problem of entrance to one or another trade position is solved on the basis of combined analysis of dynamics of quotations of all currency pairs, what allows to actively hedge open positions. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Redacted Version of the June 2014 FOMC Statement Posted: 18 Jun 2014 11:49 AM PDT April 2014June 2014CommentsInformation received since the Federal Open Market Committee met in March indicates that growth in economic activity has picked up recently, after having slowed sharply during the winter in part because of adverse weather conditions.Information received since the Federal Open Market Committee met in April indicates that growth in economic activity has rebounded in... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Jun 2014 01:08 AM PDT Press release about the Basel Committee releasing a consultative report on the supervisory guidelines for identifying and dealing with weak banks (18 June 2014) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Investment under Duality Risk Measure. (arXiv:1406.4222v1 [q-fin.RM]) Posted: 17 Jun 2014 05:40 PM PDT One index satisfies the duality axiom if one agent, who is uniformly more risk-averse than another, accepts a gamble, the latter accepts any less risky gamble under the index. Aumann and Serrano (2008) show that only one index defined for so-called gambles satisfies the duality and positive homogeneity axioms. We call it a duality index. This paper extends the definition of duality index to all... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2014 05:40 PM PDT A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a liquid asset and exponential utility indifference pricing formulas for... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2014 05:40 PM PDT This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity as two independent one-dimensional regular diffusions, and we consider a general convex running cost function. The optimization problem is set as... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2014 05:40 PM PDT We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS risk-free forward rates. We derive an HJM drift and consistency condition ensuring absence of arbitrage... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2014 05:40 PM PDT Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the markets have rational risk-neutral investors, then one would not expect profits... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Ergodic BSDEs with jumps and time dependence. (arXiv:1406.4329v1 [math.PR]) Posted: 17 Jun 2014 05:39 PM PDT In this paper we look at ergodic BSDEs in the case where the forward dynamics are given by the solution to a non-autonomous (time-periodic coefficients) Ornstein-Uhlenbeck SDE with L\'evy noise, taking values in a separable Hilbert space. We establish the existence of a unique bounded solution to an infinite horizon discounted BSDE. We then use the vanishing discount approach, together with... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Emerging Market Corporate Sector Debt: A Stitch in Time Could Save Billions Posted: 17 Jun 2014 08:20 AM PDT By Julian Chow and Shamir Tannaread more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2014 05:07 AM PDT In New ITG Market Research Report, Hospital Execs Show Optimism About Macromarket Stabilization, But Concerns Remain About Managing Costs and Driving Efficiencies NEW YORK, June 17, 2014 (GLOBE NEWSWIRE) -- ITG Market Research today released the results of a new survey showing that US hospital executives continue to see recovery in the overall economy, and many are starting to see improvements in... Visit MoneyScience for the Complete Article.    |
| Event: Free webinar: Cost of Collateral for Clearing Posted: 17 Jun 2014 03:58 AM PDT Location: Online; Date: June 26th, 2014; Presenter: Dmitry Pugachevsky: Director of Research, Quantifiread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Do Going-Private Transactions Affect Plant Efficiency and Investment? Posted: 17 Jun 2014 12:35 AM PDT We examine whether constraints on public firms affect firms' efficiency by testing if going private improves plant-level productivity relative to peer control groups. We find that, despite increases in productivity after going private, there is little evidence of efficiency gains relative to peer groups of plants constructed to control for industry, age, size, past productivity, and the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Smart Money? The Effect of Education on Financial Outcomes Posted: 17 Jun 2014 12:35 AM PDT Household financial decisions are important for household welfare, economic growth, and financial stability. Yet our understanding of the determinants of financial decision making is limited. Exploiting exogenous variation in state compulsory schooling laws in both standard and two-sample instrumental variable strategies, we show that education increases financial market participation, measured... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risk Choice under High-Water Marks Posted: 17 Jun 2014 12:35 AM PDT I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark contract. The optimal risk choice depends on the ratio of the fund's assets under management to its high-water mark. If the manager's outside option value is low, investors' termination policy is strict, or management fees are high, then negative returns induce the manager into... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2014 12:35 AM PDT This paper shows that in misspecified models with risk factors that are uncorrelated with the test asset returns, the conventional inference methods tend to erroneously conclude, with high probability, that these factors are priced. Our proposed model selection procedure, which is robust to identification failure and potential model misspecification, restores the standard inference and proves to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Frog in the Pan: Continuous Information and Momentum Posted: 17 Jun 2014 12:35 AM PDT We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously in small amounts. Intuitively, we hypothesize that a series of frequent gradual changes attracts less attention than infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent return continuation that does not... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2014 12:35 AM PDT We study how a firm's decision to offer bonds of various maturities affects the portfolio allocations of institutional investors. We argue that because of lower information-collection costs, institutional investors tilt their portfolios towards firms that offer bonds of various maturities. We show that this translates into lower bond yields, both in the primary and in the secondary bond markets. Visit MoneyScience for the Complete Article.    |
| Posted: 16 Jun 2014 05:30 PM PDT We obtain a first order extension of the large deviation estimates in the G\"{a}rtner-Ellis theorem. In addition, for a given family of measures, we find a special family of functions having a similar Laplace principle expansion up to order one to that of the original family of measures. The construction of the special family of functions mentioned above is based on heat kernel expansions.... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Jun 2014 05:30 PM PDT Most fits of Hawkes processes in financial literature are not statistically significant. Focusing on FX data (EBS limit order book) with 0.1s time resolution, we find that significance is impossible if the event log is incomplete (e.g. best quote changes). Transactions on the other hand can be tracked by analysing the respective volumes of transactions on both sides in each time slice. Assuming a... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Jun 2014 05:30 PM PDT Climate extreme events are constantly increasing. What is the effect of these potentially catastrophic events on insurance demand in Italy, with particular reference to the economic activities? Extreme precipitation events over most of the midlatitude land masses and over wet tropical regions will very likely become more intense and more frequent by the end of this century, as global mean surface... Visit MoneyScience for the Complete Article.    |
| Vendor News: June 16, 2014 - Myer Family Company Renews Relationship with SS&C Posted: 16 Jun 2014 04:09 PM PDT    |
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