MoneyScience News |
- Why Robot Journalism Is Great for Journalists
- The Fourier transform lets you have your cake and understand it
- SIPP Pensions, SIPP Investments & SIPP Pension Providers
- What is deep learning, and why should you care? - O'Reilly Radar
- Slow decay of impact in equity markets. (arXiv:1407.3390v1 [q-fin.TR]) - Quantitative Finance at arXiv's blog - MoneyScience
- Record statistics of financial time series and geometric random walks. (arXiv:1407.3742v1 [q-fin.ST]) - Quantitative Finance at arXiv's blog - MoneyScience
- Emanuel Derman
- Published / Preprint: The Swaption Cube
- Published / Preprint: Do Lenders Still Monitor When They Can Securitize Loans?
- Published / Preprint: Does Stock Liquidity Affect Incentives to Monitor? Evidence from Corporate Takeovers
- Published / Preprint: Corporate Venture Capital, Value Creation, and Innovation
- Published / Preprint: Prior Client Performance and the Choice of Investment Bank Advisors in Corporate Acquisitions
- Published / Preprint: Advance Disclosure of Insider Trading
- Blog Post: TheAlephBlog: Book Review: The Secret Club that Runs the World
- Published / Preprint: Arbitrage in markets with bid-ask spreads. (arXiv:1407.3372v1 [q-fin.PR])
- Published / Preprint: Slow decay of impact in equity markets. (arXiv:1407.3390v1 [q-fin.TR])
- Published / Preprint: Forecasting future oil production in Norway and the UK: a general improved methodology. (arXiv:1407.3652v1 [physics.data-an])
- Published / Preprint: Record statistics of financial time series and geometric random walks. (arXiv:1407.3742v1 [q-fin.ST])
- Published / Preprint: Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality. (arXiv:1407.3749v1 [q-fin.EC])
- Blog Post: iMFdirect: Euro Area ' Q&A on QE
| Why Robot Journalism Is Great for Journalists Posted: 15 Jul 2014 02:00 AM PDT Robots Are Invading the News Business, and It's Great for Journalists http://t.co/jgdNcdOfx1 via @sarawinge — O'Reilly Radar (@radar) July 14, 2014 Visit MoneyScience for the Complete Article.      |
| The Fourier transform lets you have your cake and understand it Posted: 15 Jul 2014 01:30 AM PDT The Fourier transform lets you have your cake and understand it http://t.co/ylkP9oquju — Markus Sagebiel (@msgbi) July 15, 2014 Visit MoneyScience for the Complete Article.    |
| SIPP Pensions, SIPP Investments & SIPP Pension Providers Posted: 15 Jul 2014 01:30 AM PDT Thanks Chris RT @FSClub: @moneyscience Baby pension source are from calculations by pension provider Liberty SIPP http://t.co/8XnxGQneZK — moneyscience… Visit MoneyScience for the Complete Article.    |
| What is deep learning, and why should you care? - O'Reilly Radar Posted: 15 Jul 2014 01:30 AM PDT What is deep learning, and why should you care? http://t.co/tkWIDA47Ze — Markus Sagebiel (@msgbi) July 15, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jul 2014 12:45 AM PDT Research: Slow decay of impact in equity markets. (arXiv:1407.3390v1 [q-fin.TR]) http://t.co/GxY8yynyEo — moneyscience (@moneyscience) July 15, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jul 2014 12:45 AM PDT Research: Record statistics of financial time series and geometric random walks. (arXiv:1407.3742v1 [q-fin.ST]) http://t.co/JYH6CTFeb7 — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jul 2014 12:45 AM PDT . @UnCorbeau Spinoza's Passions diagrammed as derivatives http://t.co/2ygDixA271 — Emanuel Derman (@EmanuelDerman) July 14, 2014 Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Swaption Cube Posted: 14 Jul 2014 11:17 PM PDT We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is most consistently related to the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Do Lenders Still Monitor When They Can Securitize Loans? Posted: 14 Jul 2014 11:17 PM PDT We examine how securitization markets affect the role of banks as monitors in corporate lending. We find that banks active in securitization impose looser covenants on borrowers at origination. After origination, these borrowers take on substantially more risk than do borrowers of non-securitization-active banks. We use borrowers' geographic locations to instrument for borrower-lender matching to... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jul 2014 11:17 PM PDT We test whether stock liquidity affects acquirer returns through its hypothesized effect on institutional monitoring. We find that firms with lower stock liquidity have higher acquirer gains for takeovers of private targets, but not for takeovers of public targets. The negative relation between liquidity and acquirer gains is stronger when the threat of disciplinary trading (exit) by institutions... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Corporate Venture Capital, Value Creation, and Innovation Posted: 14 Jul 2014 11:17 PM PDT We analyze how corporate venture capital (CVC) differs from independent venture capital (IVC) in nurturing innovation in entrepreneurial firms. We find that CVC-backed firms are more innovative, as measured by their patenting outcome, although they are younger, riskier, and less profitable than IVC-backed firms. Our baseline results continue to hold in a propensity score matching analysis of IPO... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jul 2014 11:17 PM PDT Contrary to earlier studies, we find that prior client performance is a significant determinant of the likelihood that an investment bank will be chosen as the advisor by future acquirers and of the changes through time in banks' shares of the advisory business. Further, the changes in the market values of acquirers at the announcement of acquisition attempts are positively correlated with... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Advance Disclosure of Insider Trading Posted: 14 Jul 2014 11:17 PM PDT Using a strategic rational expectations equilibrium framework, we show that forcing a well-informed insider to disclose her trades in advance tends to increase welfare for both the insider and less-informed outsiders. Advance disclosure generates price risk for the insider, and to mitigate this risk, the insider trades less aggressively on her private information. Consequently, outsiders face... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Book Review: The Secret Club that Runs the World Posted: 14 Jul 2014 10:49 PM PDT This is a very good book; I learned a lot as I read it, and you will too.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Arbitrage in markets with bid-ask spreads. (arXiv:1407.3372v1 [q-fin.PR]) Posted: 14 Jul 2014 05:43 PM PDT In this paper a finite discrete time market with an arbitrary state space and bid-ask spreads is considered. The notion of an equivalent bid-ask martingale measure (EBAMM) is introduced and the fundamental theorem of asset pricing is proved using (EBAMM) as an equivalent condition for no-arbitrage. The Cox-Ross-Rubinstein model with bid-ask spreads is presented as an application of our results. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Slow decay of impact in equity markets. (arXiv:1407.3390v1 [q-fin.TR]) Posted: 14 Jul 2014 05:43 PM PDT Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the market impact of a single daily meta-order, over a ten day horizon in various equity markets. We find that the impact of single meta-orders is to a first... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jul 2014 05:43 PM PDT We present a new Monte-Carlo methodology to forecast the crude oil production of Norway and the U.K. based on a two-step process, (i) the nonlinear extrapolation of the current/past performances of individual oil fields and (ii) a stochastic model of the frequency of future oil field discoveries. Compared with the standard methodology that tends to underestimate remaining oil reserves, our method... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jul 2014 05:43 PM PDT The study of record statistics of correlated series is gaining momentum. In this work, we study the records statistics of the time series of select stock market data and the geometric random walk, primarily through simulations. We show that the distribution of the age of records is a power law with the exponent $\alpha$ lying in the range $1.5 \le \alpha \le 1.8$. Further,... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jul 2014 05:43 PM PDT We formulate a flexible micro-to-macro kinetic model which is able to explain the emergence of income profiles out of a whole of individual economic interactions. The model is expressed by a system of several nonlinear differential equations which involve parameters defined by probabilities. Society is described as an ensemble of individuals divided into income classes; the individuals exchange... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Euro Area ' Q&A on QE Posted: 14 Jul 2014 07:08 AM PDT By Reza Moghadam and Ranjit Teja read more... Visit MoneyScience for the Complete Article.    |
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