MoneyScience News |
- Blog Post: PatrickBurns: US market portrait 2014 week 25
- Blog Post: WealthandCapitalMarketsBlog: Who will fill the Commodity void?
- Blog Post: TheFinancialServicesClub: A transparent cash machine
- Blog Post: TheAlephBlog: The Tails of the Distribution do not Validate the Mean
- Published / Preprint: Does Stock Liquidity Enhance or Impede Firm Innovation?
- Published / Preprint: Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
- Published / Preprint: Financial Protectionism? First Evidence
- Football Special: The FIFA World Cup, Stock Market Performance and Financial Economics
- Vendor News: June 20, 2014 - SS&C GlobeOp Forward Redemption Indicator: June notifications 4.80%
- Vendor News: Boston-based Eastern Bank Selects Infosys Finacle to Revamp its Online and Mobile Banking Products and Services
- Published / Preprint: MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS
- Published / Preprint: Instabilities in large economies: aggregate volatility without idiosyncratic shocks. (arXiv:1406.5022v1 [q-fin.EC])
- Published / Preprint: A variation of the Dragulescu-Yakovenko income model. (arXiv:1406.5083v1 [q-fin.ST])
- Published / Preprint: Strategy-proofness and single-peackedness in bounded distributive lattices. (arXiv:1406.5120v1 [q-fin.EC])
- Blog Post: ThePracticalQuant: Scalable Data Science on a Laptop
- Published / Preprint: Advisors and indicators based on the SSA models and non-linear generalizations. (arXiv:1406.4783v1 [q-fin.PM])
- 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
| Blog Post: PatrickBurns: US market portrait 2014 week 25 Posted: 21 Jun 2014 01:25 AM PDT US large cap market returns. read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: WealthandCapitalMarketsBlog: Who will fill the Commodity void? Posted: 20 Jun 2014 04:09 PM PDT In a recent post we discussed that many of the big banks are scaling down or moving out of the commodity business, and the drivers behind this trend. The retreat of the big banks is creating a void in terms of capability and liquidity, since these banks accounted for a sizable portion of the market. This is also resulting in a decrease of competition for banks that have not joined the bandwagon... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: A transparent cash machine Posted: 20 Jun 2014 05:03 AM PDT I am tempted to write a long and deep blog today about EMIR, the European Markets Infrastructure Regulation, and how the more transparency regulators force into our capital markets, the more likely that banking will move into the shadows.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Tails of the Distribution do not Validate the Mean Posted: 20 Jun 2014 05:01 AM PDT 17 months ago I wrote a post How to Become Super-Rich? Now, many of my articles are timeless — they will still have value 10 years from now.  I like to write for the long-run.  Teaching basic principles is what this blog is about.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Does Stock Liquidity Enhance or Impede Firm Innovation? Posted: 20 Jun 2014 04:31 AM PDT We aim to tackle the longstanding debate on whether stock liquidity enhances or impedes firm innovation. This topic is of interest because innovation is crucial for firm- and national-level competitiveness and stock liquidity can be altered by financial market regulations. Using a difference-in-differences approach that relies on the exogenous variation in liquidity generated by regulatory... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market Posted: 20 Jun 2014 04:31 AM PDT We study the impact of algorithmic trading in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity. We find that algorithmic trading causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high-frequency returns. We show that the reduction in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial Protectionism? First Evidence Posted: 20 Jun 2014 04:31 AM PDT We examine large public interventions in the financial sector, such as bank nationalizations, and search for “financial protectionism,†a decrease in the quantity and/or an increase in the price of loans that banks from one country make to borrowers resident in another. We use a bank-level panel data set spanning all UK-resident banks between 1997Q3 and 2010Q1. After nationalization, foreign... Visit MoneyScience for the Complete Article.    |
| Football Special: The FIFA World Cup, Stock Market Performance and Financial Economics Posted: 20 Jun 2014 03:56 AM PDT While threatening to over-shadow the administration of this year's FIFA World Cup, the furore around the alleged rigging of the selection process for 2022 is a handy reminder of the vast sums of money involved in staging and exploiting these Mega Events.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: June 20, 2014 - SS&C GlobeOp Forward Redemption Indicator: June notifications 4.80% Posted: 20 Jun 2014 01:07 AM PDT    |
| Posted: 19 Jun 2014 09:36 PM PDT Eastern Bank, the largest and oldest mutual bank in the United States, has chosen Infosys Finacle to enhance its online and mobile banking products. Read more. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS Posted: 19 Jun 2014 08:47 PM PDT Abstract This paper develops the procedure of multivariate subordination for a collection of independent Markov processes with killing. Starting from d independent Markov processes with killing and an independent dâ€dimensional time change , we construct a new process by time, changing each of the Markov processes with a coordinate . When is a dâ€dimensional Lévy subordinator, the time... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Jun 2014 05:40 PM PDT We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is still formally a stationary solution of the dynamics, we show that this equilibrium becomes linearly unstable in a whole region of parameter space. When agents... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Jun 2014 05:40 PM PDT In the context of the Dragulescu-Yakovenko (2000) model, we show that empirical income distribution with truncated datasets, cannot be properly modeled by the one-parameter exponential distribution. However, a truncated version characterized by an exponential distribution with two parameters gives an accurate fit. Visit MoneyScience for the Complete Article.    |
| Posted: 19 Jun 2014 05:40 PM PDT Two distinct specifications of single peakedness as currently met in the relevant literature are singled out and discussed. Then, it is shown that, under both of those specifications, a voting rule as defined on a bounded distributive lattice is strategy-proof on the set of all profiles of single peaked total preorders if and only if it can be represented as an iterated median of projections and... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Scalable Data Science on a Laptop Posted: 19 Jun 2014 09:06 AM PDT I'll be hosting a webcast featuring one of Strata's most popular speakers: machine-learning expert, Alice ZhengHere is what data science looks like today:1. Munge some data:a. Process raw data. Stuff it into a database. b. Query for specific data. Coax results out through a straw. c. Munge data into a format required for the next stage.2. Do some analysis:a. Figure out how to use a data analytics... 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.    |
| 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.    |
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