MoneyScience News |
- Blog Post: TheAlephBlog: A Straw Blowing in the Wind
- Published / Preprint: Stock Market Prediction from WSJ: Text Mining via Sparse Matrix Factorization. (arXiv:1406.7330v1 [cs.LG])
- Published / Preprint: Predictability of Volatility Homogenised Financial Time Series. (arXiv:1406.7526v1 [q-fin.ST])
- Published / Preprint: Optimal investment-reinsurance policy under a long-term perspective. (arXiv:1406.7604v1 [q-fin.MF])
- Published / Preprint: Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching Economy. (arXiv:1406.7606v1 [q-fin.MF])
- Published / Preprint: Bank Networks from Text: Interrelations, Centrality and Determinants. (arXiv:1406.7752v1 [q-fin.CP])
- Published / Preprint: A two-stage model for dealing with temporal degradation of credit scoring. (arXiv:1406.7775v1 [q-fin.RM])
- Published / Preprint: Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix. (arXiv:1308.0931v3 [math.ST] CROSS LISTED)
- Published / Preprint: On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix. (arXiv:1308.2608v2 [math.ST] CROSS LISTED)
- Vendor News: Infosys â Ready for the Future in Oil and Gas Professional Services says IDC MarketScape Report
- Guy Kaplanski talks Behavioural Economics and the impact of the World Cup on Stock Market Performance
| Blog Post: TheAlephBlog: A Straw Blowing in the Wind Posted: 30 Jun 2014 09:18 PM PDT I would like to point your eyes to this article:Â Cash No Longer King as Stock, Asset Swaps Drive Takeovers. Â This is another sign that equity valuations are getting high. Â When equities are cheap, corporations part with cash to buy other corporations and assets. Â When equities are rich, corporations use them as a currency to buy assets. Â After all, it is a lower risk way to do things,... Visit MoneyScience for the Complete Article.      |
| Posted: 30 Jun 2014 05:30 PM PDT We revisit the problem of predicting directional movements of stock prices based on news articles: here our algorithm uses daily articles from The Wall Street Journal to predict the closing stock prices on the same day. We propose a unified latent space model to characterize the "co-movements" between stock prices and news articles. Unlike many existing approaches, our new model is able to... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jun 2014 05:30 PM PDT Modelling financial time series as a time change of a simpler process has been proposed in various forms over the years. One of such recent approaches is called volatility homogenisation decomposition, and has been designed specifically to aid the forecasting of price changes on financial markets. The authors of this method have attempted to prove the its usefulness by applying a specific... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jun 2014 05:30 PM PDT In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal investment and reinsurance problem, this paper studies the insurer's long-term investment decision. Under this setting, our model consider the interest risk and the... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jun 2014 05:30 PM PDT In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected total discounted payments until ruin. In this article, we consider a hybrid dividend strategy, that is, the company is allowed to conduct continuous dividend... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jun 2014 05:30 PM PDT In the wake of the still ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tapping into financial discourse. We present a text-to-network process, which has its basis in... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jun 2014 05:30 PM PDT This work is attached to the BRICS 2013 competition. We propose a two-stage model for dealing with the temporal degradation of credit scoring models. This methodology produced motivating results in a 1-year horizon. We anticipate that it can be extended to other applications of risk assessment with great success. Future extensions should cover predictions in larger time frames and consider lagged... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jun 2014 05:30 PM PDT In this work we construct an optimal shrinkage estimator for the precision matrix in high dimensions. We consider the general asymptotics when the number of variables $p\rightarrow\infty$ and the sample size $n\rightarrow\infty$ so that $p/n\rightarrow c\in (0, +\infty)$. The precision matrix is estimated directly, without inverting the corresponding estimator for the... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jun 2014 05:30 PM PDT In this work we construct an optimal linear shrinkage estimator for the covariance matrix in high dimensions. The recent results from the random matrix theory allow us to find the asymptotic deterministic equivalents of the optimal shrinkage intensities and estimate them consistently. The developed distribution-free estimators obey almost surely the smallest Frobenius loss over all linear... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jun 2014 10:02 AM PDT Infosys is positioned as a ‘major player’ for providing professional services to the oil and gas industry by IDC Energy Insights, a leading market intelligence and advisory services firm. Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2014 06:28 AM PDT Professor Guy Kaplanski is the head of Financial Studies at Bar Ilan University Business School, the largest university in Israel and holds a PhD in Finance, an MBA in Finance and Marketing and a B.Sc. in Electrical and Electronic Engineering. Previously he served as a visiting professor at the University of Michigan Business School.read more... Visit MoneyScience for the Complete Article.    |
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