Monday, July 21, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Metro Bank: opening 14,000 new accounts per month

Posted: 21 Jul 2014 03:21 AM PDT

I was lucky enough to visit with Metro Bank recently, and they gave me startling stats and insights to the emerging business.read more...

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Blog Post: TheAlephBlog: On Learning Compound Interest Math

Posted: 21 Jul 2014 03:21 AM PDT

When I read articles like this where people get scammed borrowing money, I say to myself, “we need to teach children the compound interest math.”read more...

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Blog Post: rob_daly: Kiss the SIPs Goodbye? Hell no!

Posted: 21 Jul 2014 03:21 AM PDT

Kiss the SIPs Goodbye? Hell no!read more...

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Published / Preprint: An exact and explicit formula for pricing lookback options with regime switching. (arXiv:1407.4864v1 [q-fin.PR])

Posted: 20 Jul 2014 05:38 PM PDT

This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states of the economy described by a continuous-time hidden Markov chain process. We derive an exact,...

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Published / Preprint: Causal Non-Linear Financial Networks. (arXiv:1407.5020v1 [q-fin.ST])

Posted: 20 Jul 2014 05:38 PM PDT

In our previous study we have presented an approach to studying lead--lag effect in financial markets using information and network theories. Methodology presented there, as well as previous studies using Pearson's correlation for the same purpose, approached the concept of lead--lag effect in a naive way. In this paper we further investigate the lead--lag effect in financial markets, this time...

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Published / Preprint: Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns. (arXiv:1407.5037v1 [q-fin.ST])

Posted: 20 Jul 2014 05:38 PM PDT

We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs of negative (resp. positive) returns so as to capture the risks to which investors are arguably the most concerned with. Similarly to the distribution of...

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