MoneyScience News |
- Published / Preprint: Semiparametric Estimation of First-Price Auction Models. (arXiv:1407.7140v1 [q-fin.EC])
- Published / Preprint: Wealth distribution of simple exchange models coupled with extremal dynamics. (arXiv:1407.7153v1 [physics.soc-ph])
- Published / Preprint: Grid Integration Costs of Fluctuating Renewable Energy Sources. (arXiv:1407.7237v1 [q-fin.GN])
- Published / Preprint: Effective and simple VWAP option pricing model. (arXiv:1407.7315v1 [q-fin.PR])
- Published / Preprint: New analytic approach to address Put - Call parity violation due to discrete dividends. (arXiv:1407.7328v1 [q-fin.PR])
- Published / Preprint: Study of a model for the distribution of wealth. (arXiv:1407.7447v1 [nlin.AO])
- Blog Post: TheFinancialServicesClub: Fintech is the place to be (and so is London)
- Blog Post: TheAlephBlog: Of Faith and Markets
- Blog Post: iMFdirect: Managing Housing Market Risks in the United Kingdom
| Posted: 28 Jul 2014 11:59 PM PDT We propose a semiparametric estimator within the class of indirect methods. Specifically, we model private valuations through a set of conditional moment restrictions. Our econometric model calls for a two step procedure. In the first step we recover a sample of pseudo private values while using a Local Polynomial Estimator. In the second step we use a GMM procedure to obtain an estimate for the... Visit MoneyScience for the Complete Article.      |
| Posted: 28 Jul 2014 11:59 PM PDT Punctuated Equilibrium (PE) states that after long periods of evolutionary quiescence, species evolution can take place in short time intervals, where sudden differentiation makes new species emerge and some species extinct. In this paper, we introduce and study the effect of punctuated equilibrium on two different asset exchange models: The yard sale model (YS, winner gets a random fraction of a... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Jul 2014 11:59 PM PDT The grid integration of intermittent Renewable Energy Sources (RES) causes costs for grid operators due to forecast uncertainty and the resulting production schedule mismatches. These so-called profile service costs are marginal cost components and can be understood as an insurance fee against RES production schedule uncertainty that the system operator incurs due to the obligation to always... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Effective and simple VWAP option pricing model. (arXiv:1407.7315v1 [q-fin.PR]) Posted: 28 Jul 2014 11:59 PM PDT Volume weighted average price (VWAP) options are a popular security type in many countries, but despite their popularity very few pricing models have been developed so far for VWAP options. This can be explained by the fact that the VWAP pricing problem is set in an incomplete market since there is no underlying with which to hedge the volume risk, and hence there is no uniquely defined price.... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Jul 2014 11:59 PM PDT The issue of developing simple Black-Scholes type approximations for pricing European options with large discrete dividends was popular since early 2000's with a few different approaches reported during the last 10 years. Moreover, it has been claimed that at least some of the resulting expressions represent high-quality approximations which closely match results obtained by the use... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Study of a model for the distribution of wealth. (arXiv:1407.7447v1 [nlin.AO]) Posted: 28 Jul 2014 11:59 PM PDT An equation for the evolution of the distribution of wealth in a population of economic agents making binary transactions with a constant total amount of "money" has recently been proposed by one of us (RLR). This equation takes the form of an iterated nonlinear map of the distribution of wealth. The equilibrium distribution is known and takes a rather simple form. If this distribution is such... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Fintech is the place to be (and so is London) Posted: 28 Jul 2014 01:39 PM PDT I was reflecting on the number of new companies starting new ventures in financial services, and wanted to quantify the numbers somehow.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Of Faith and Markets Posted: 28 Jul 2014 10:29 AM PDT Here’s another letter from a reader. If reading about my faith turns you off, stop reading now, because this will be thicker than usual.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Managing Housing Market Risks in the United Kingdom Posted: 28 Jul 2014 09:30 AM PDT By Ruy Lamaread more... Visit MoneyScience for the Complete Article.    |
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