MoneyScience News |
- Published / Preprint: Can Turnover Go to Zero?. (arXiv:1406.0044v1 [q-fin.PM])
- Published / Preprint: Explicit investment rules with time-to-build and uncertainty. (arXiv:1406.0055v1 [q-fin.MF])
- Published / Preprint: Structure of local interactions in complex financial dynamics. (arXiv:1406.0070v1 [q-fin.GN])
- Published / Preprint: Inverse Optimal Stopping. (arXiv:1406.0209v1 [math.OC])
- Published / Preprint: What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis. (arXiv:1406.0268v1 [q-fin.CP])
- Published / Preprint: Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness. (arXiv:1406.0389v1 [q-fin.RM])
- Published / Preprint: Implied volatility of basket options at extreme strikes. (arXiv:1406.0394v1 [q-fin.PR])
- Published / Preprint: Estimation of the Global Minimum Variance Portfolio in High Dimensions. (arXiv:1406.0437v1 [q-fin.ST])
- Published / Preprint: American and Bermudan options in currency markets under proportional transaction costs. (arXiv:1108.1910v3 [q-fin.PR] UPDATED)
- Guest post from Vikas Shah - Could Random Trading Prevent Stock Market Bubbles & Crashes?
- Published / Preprint: A Crisis of Banks as Liquidity Providers
- Blog Post: TheFinancialServicesClub: When bitcoin becomes mainstream, it will look just like real money
- Vendor News: B. G. Srinivas - President and Member of the Board, Infosys resigns
- Blog Post: emotionalfinance: New Personal Finance MOOC
| Published / Preprint: Can Turnover Go to Zero?. (arXiv:1406.0044v1 [q-fin.PM]) Posted: 02 Jun 2014 05:31 PM PDT Internal crossing of trades between multiple alpha streams results in portfolio turnover reduction. Turnover reduction can be modeled using the correlation structure of the alpha streams. As more and more alphas are added, generally turnover reduces. In this note we use a factor model approach to address the question of whether the turnover goes to zero or a finite limit as the number of alphas N... Visit MoneyScience for the Complete Article.      |
| Posted: 02 Jun 2014 05:31 PM PDT We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpreta- tions for three models of demand (arithmetic Brownian, geometric Brownian, and the Cox-Ingersoll-Ross). Committed capacity, that is, the installed... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jun 2014 05:31 PM PDT With the network methods and random matrix theory, we investigate the interaction structure of communities in financial markets. In particular, based on the random matrix decomposition, we clarify that the local interactions between the business sectors (subsectors) are mainly contained in the sector mode. In the sector mode, the average correlation inside the sectors is positive, while that... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Inverse Optimal Stopping. (arXiv:1406.0209v1 [math.OC]) Posted: 02 Jun 2014 05:30 PM PDT Let $X$ be a one-dimensional diffusion and $g$ a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent function $\pi:[0,T]\to\mathbb{R}$ such that a given stopping time $\tau^{\star}$ is a solution of the stopping problem... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jun 2014 05:30 PM PDT Bitcoin has emerged as a fascinating phenomenon of the financial markets. Without any central authority issuing the currency, it has been associated with controversy ever since its popularity and public interest reached high levels. Here, we contribute to the discussion by examining potential drivers of Bitcoin prices ranging from fundamental to speculative and technical sources as well as a... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jun 2014 05:30 PM PDT The largest US banks are required by regulatory mandate to estimate the operational risk capital they must hold using an Advanced Measurement Approach (AMA) as defined by the Basel II/III Accords. Most use the Loss Distribution Approach (LDA) which defines the aggregate loss distribution as the convolution of a frequency and a severity distribution representing the number and magnitude of losses,... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jun 2014 05:30 PM PDT In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dynamics of asset prices are described by the multidimensional Black-Scholes... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jun 2014 05:30 PM PDT We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator which is distribution-free and it is optimal in the sense of minimizing the out-of-sample variance. Its asymptotic properties are investigated assuming that the number of assets $p$ depends on the sample size $n$ such that... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jun 2014 05:30 PM PDT The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and where the existence of a risk-free num\'eraire is not assumed. Constructions leading to algorithms for computing the prices, optimal hedging strategies and... Visit MoneyScience for the Complete Article.    |
| Guest post from Vikas Shah - Could Random Trading Prevent Stock Market Bubbles & Crashes? Posted: 02 Jun 2014 12:34 PM PDT Originally published May 31st 2014 by Vikas Shah at Thought Strategy read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Crisis of Banks as Liquidity Providers Posted: 02 Jun 2014 05:07 AM PDT Can banks maintain their advantage as liquidity providers when exposed to a financial crisis? While banks honored credit lines drawn by firms during the 2007 to 2009 crisis, this liquidity provision was only possible because of explicit, large support from the government and government-sponsored agencies. At the onset of the crisis, aggregate deposit inflows into banks weakened and their... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Jun 2014 02:41 AM PDT I find it interesting to see so many people believing that bitcoin is dead because MTGox died.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: B. G. Srinivas - President and Member of the Board, Infosys resigns Posted: 01 Jun 2014 10:46 PM PDT Infosys, a global leader in consulting, technology and outsourcing solutions, today announced the resignation of B.G. Srinivas, President and Member of the Board. The resignation is effective June 10, 2014. Visit MoneyScience for the Complete Article.    |
| Blog Post: emotionalfinance: New Personal Finance MOOC Posted: 13 May 2014 06:55 AM PDT Visit MoneyScience for the Complete Article.    |
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