MoneyScience News |
- Blog Post: TheFinancialServicesClub: The Top 1000 Banks in the World 2014
- Blog Post: TheAlephBlog: On Current Credit Conditions
- Published / Preprint: New Pricing Framework: Options and Bonds. (arXiv:1407.4452v1 [q-fin.PR])
- Published / Preprint: Exact and asymptotic solutions of the call auction problem. (arXiv:1407.4512v1 [q-fin.TR])
- Published / Preprint: A convex duality method for optimal liquidation with participation constraints. (arXiv:1407.4614v1 [q-fin.TR])
- Published / Preprint: Identification of cross and autocorrelations in time series within an approach based on Wigner eigenspectrum of random matrices. (arXiv:1407.4702v1 [physics.data-an])
- Blog Post: ThePracticalQuant: Deep Learning for Hackers
- Blog Post: iMFdirect: Fiscal Policy's Evolving Role
- Scientists Devise Photon-based Router
- Modern Portfolio Theory and Investment Analysis, 9th Edition - MoneyScience
| Blog Post: TheFinancialServicesClub: The Top 1000 Banks in the World 2014 Posted: 18 Jul 2014 01:52 AM PDT Each year, The Banker magazine (to which I contribute a monthly column) publishes their list of the Top 1000 banks. It's a great research resource that I've been tracking since 1994, when half the banks in the top 10 were Japanese. Now, half of them are Chinese. Ten years ago, they were all American (apart from a few token Europeans).read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: On Current Credit Conditions Posted: 18 Jul 2014 01:28 AM PDT This should be short. Â Remember that credit and equity volatility are strongly related.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: New Pricing Framework: Options and Bonds. (arXiv:1407.4452v1 [q-fin.PR]) Posted: 17 Jul 2014 05:38 PM PDT A unified analytical pricing framework with involvement of the shot noise random process has been introduced and elaborated. Two exactly solvable new models have been developed. The first model has been designed to value options. It is assumed that stock price stochastic dynamics follows a Geometric Shot Noise motion. A new arbitrage-free integro-differential option pricing equation has been... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jul 2014 05:38 PM PDT The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes, with random prices distributed according to a general distribution, and may be cancelled at any time. We compute the analytical expressions of... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jul 2014 05:38 PM PDT In spite of the growing consideration for optimal execution issues in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to approximate the optimal strategy of a trader willing to unwind a large portfolio. The method we propose is very general as it can be applied to multi-asset... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jul 2014 05:38 PM PDT We present an original and novel method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. The proposed approach is... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Deep Learning for Hackers Posted: 17 Jul 2014 09:08 AM PDT How do you get started using Deep Learning? In a previous post, I noted how many of the tools and best practices are locked away in "oral traditions" shared among practitioners. But recently, open source tools have made Deep Learning somewhat more accessible to hackers. In an upcoming webcast, I'm hosting noted hacker and startup founder Pete Warden as he gives an overview of some of the more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Fiscal Policy's Evolving Role Posted: 17 Jul 2014 07:31 AM PDT Fiscal policy makers have faced an extraordinarily challenging environment over the last few years. At the outset of the global financial crisis, the IMF for the first time advocated a fiscal expansion across all countries able to afford it, a seeming departure from the long-held consensus among economists that monetary policy rather than fiscal policy was the appropriate response to fluctuations... Visit MoneyScience for the Complete Article.    |
| Scientists Devise Photon-based Router Posted: 17 Jul 2014 06:09 AM PDT Scientists Devise Photon-based Router http://t.co/ouwsqCAJAz @WeizmannScience #HPC — HPCwire (@HPCwire) July 17, 2014 Visit MoneyScience for the Complete Article.    |
| Modern Portfolio Theory and Investment Analysis, 9th Edition - MoneyScience Posted: 17 Jul 2014 06:09 AM PDT New book! Modern Portfolio Theory and Investment Analysis, 9th Edition http://t.co/iQnDzQFUq6 via @wiley_finance — moneyscience (@moneyscience) July 16, 2014 Visit MoneyScience for the Complete Article.    |
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