Monday, June 23, 2014

MoneyScience News

MoneyScience News

Blog Post: WealthandCapitalMarketsBlog: The Digital Revolution in Wealth Management

Posted: 23 Jun 2014 03:25 AM PDT

In a previous blog post, I shared observations from a Celent roundtable on digital innovation across the banking, insurance and investments businesses. In this post, I focus squarely on the digital revolution taking place within wealth management.read more...

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Blog Post: TheFinancialServicesClub: Are regulators throwing the baby out with the bathwater?

Posted: 23 Jun 2014 03:25 AM PDT

I don't write a lot about investment banking and capital markets because the readers of this blog are primarily in commercial, transaction and retail banking, but I am going to write about it today as it seems a real shame how we've killed investment banking.read more...

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Blog Post: TheAlephBlog: Q&A with The Forbidden Game Author Dan Washburn

Posted: 23 Jun 2014 03:22 AM PDT

For anyone interested in learning more about Dan Washburn, author of The Forbidden Game,  you can consult his blog here.  Aside from that, you can read my Q&A with him here.  Hey, thanks for reading — I’m not a golfer, though I did it as a child, and was a caddy for some years.  It is a phenomenon is society, and should be understood.read more...

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Vendor News: FONDEP of Morocco Selects Infosys Finacle for its Banking Transformation Program

Posted: 22 Jun 2014 11:59 PM PDT

FONDEP, one of Morocco’s leading microfinance institutions, has chosen Infosys Finacle for its strategic core banking transformation program. The Finacle solution will help FONDEP adapt to changing customer needs by enabling them to offer relevant products to their customer base.

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Published / Preprint: On possible origins of trends in financial market price changes. (arXiv:1406.5276v1 [q-fin.TR])

Posted: 22 Jun 2014 05:38 PM PDT

We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One is that the trend of monotonic increase and decrease can be generated by dealers' minuscule change in mood, which corresponds to the possible fundamentals. The...

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Published / Preprint: Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets. (arXiv:1406.5312v1 [math.OC])

Posted: 22 Jun 2014 05:38 PM PDT

Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we prove the existence of investment opportunities producing an exponentially growing profit with probability tending to $1$ geometrically fast. This is...

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Published / Preprint: A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing. (arXiv:1406.5414v1 [math.PR])

Posted: 22 Jun 2014 05:38 PM PDT

We show that \emph{No unbounded profit with bounded risk} (NUPBR) implies \emph{predictable uniform tightness} (P-UT), a boundedness property in the Emery topology which has been introduced by C.~Stricker~\cite{S:85}. Combining this insight with well known results from J.~M\'emin and L.~S\l{}ominski~\cite{MS:91} leads to a short variant of the proof of the fundamental...

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Published / Preprint: A robust algorithm and convergence analysis for static replications of nonlinear payoffs. (arXiv:1406.5430v1 [q-fin.CP])

Posted: 22 Jun 2014 05:38 PM PDT

In this paper we propose a new robust algorithm to find the optimal static replicating portfolios for general nonlinear payoff functions and give the estimate of the rate of convergence that is absent in the literature. We choose the static replication by minimizing the error bound between the nonlinear payoff function and the linear spline approximation and derive the equidistribution equation...

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Published / Preprint: Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data. (arXiv:1406.5486v1 [q-fin.ST])

Posted: 22 Jun 2014 05:38 PM PDT

We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-timestamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity commonality through the degree of explanatory power of the dominant modes of variation of liquidity (extracted...

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Published / Preprint: Survival Models for the Duration of Bid-Ask Spread Deviations. (arXiv:1406.5487v1 [q-fin.ST])

Posted: 22 Jun 2014 05:38 PM PDT

Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in the LOB is characterised by many intra-day liquidity shocks, where the LOB generally recovers after a short period of time. In this paper, we capture this...

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