MoneyScience News |
- Blog Post: TheFinancialServicesClub: Wallet wars haven't really started yet ...
- Published / Preprint: Spectrum-based estimators of the bivariate Hurst exponent. (arXiv:1408.6637v1 [q-fin.ST])
- Published / Preprint: Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?. (arXiv:1408.6639v1 [q-fin.EC])
- Published / Preprint: Hedging Conditional Value at Risk with Options. (arXiv:1408.6673v1 [q-fin.RM])
- Published / Preprint: Stochastic Perron for Stochastic Target Games. (arXiv:1408.6799v1 [math.PR])
- Blog Post: TheAlephBlog: Two Portfolios. Pick One.
- Blog Post: WealthandCapitalMarketsBlog: Faster, Better, Cheaper?
- Blog Post: iMFdirect: More Jobs That Pay Decent Wages: How To Fight Poverty In The United States
- Banks' pressure stalls opening of U.S. derivatives trading platform | Reuters
- Published / Preprint: Intra-day variability of the stock market activity versus stationarity of the financial time series. (arXiv:1408.6255v1 [q-fin.ST])
- Published / Preprint: A Noisy Principal Component Analysis for Forward Rate Curves. (arXiv:1408.6279v1 [q-fin.ST])
- Published / Preprint: Efficient solution of structural default models with correlated jumps. A fractional PDE approach. (arXiv:1408.6513v1 [q-fin.CP])
| Blog Post: TheFinancialServicesClub: Wallet wars haven't really started yet ... Posted: 29 Aug 2014 03:20 AM PDT We’re talking wallets.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 29 Aug 2014 02:39 AM PDT We introduce two new estimators of the bivariate Hurst exponent in the power-law cross-correlations setting -- the cross-periodogram and $X$-Whittle estimators. As the spectrum-based estimators are dependent on the part of the spectrum taken into consideration during estimation, a simulation study showing the performance of the estimators under varying bandwidth parameter as well as correlation... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Aug 2014 02:39 AM PDT Online activity of the Internet users has been repeatedly shown to provide a rich information set for various research fields. We focus on the job-related searches on Google and their possible usefulness in the region of the Visegrad Group -- the Czech Republic, Hungary, Poland and Slovakia. Even for rather small economies, the online searches of their inhabitants can be successfully utilized for... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Hedging Conditional Value at Risk with Options. (arXiv:1408.6673v1 [q-fin.RM]) Posted: 29 Aug 2014 02:39 AM PDT We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Stochastic Perron for Stochastic Target Games. (arXiv:1408.6799v1 [math.PR]) Posted: 29 Aug 2014 02:39 AM PDT We develop the stochastic Perron's method in the framework of stochastic target games, in which one player tries to find a strategy such that the state process almost-surely reaches a given target no matter which action is chosen by the other player. Within this framework, the stochastic Perron's method produces a viscosity sub-solution (super-solution) of a Hamilton-Jacobi-Bellman (HJB)... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Two Portfolios. Pick One. Posted: 28 Aug 2014 11:28 PM PDT Photo Credit: James Wheelerread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Faster, Better, Cheaper? Posted: 28 Aug 2014 09:58 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: More Jobs That Pay Decent Wages: How To Fight Poverty In The United States Posted: 28 Aug 2014 09:09 AM PDT By Deniz Igan read more... Visit MoneyScience for the Complete Article.    |
| Banks' pressure stalls opening of U.S. derivatives trading platform | Reuters Posted: 28 Aug 2014 06:38 AM PDT Banks' pressure stalls opening of U.S. derivatives trading platform http://t.co/y0XxjQQYtg via @reuters — John Kiff (@Kiffmeister) August 28, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 28 Aug 2014 03:48 AM PDT We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions of non-stationary process to its stationary counterpart. Hence, we proved that the day seasonality of inter-transaction times extends the memory of as well the process itself as its absolute value. That is, both... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Aug 2014 03:48 AM PDT Principal Component Analysis (PCA) is the most common nonparametric method for estimating the volatility structure of Gaussian interest rate models. One major difficulty in the estimation of these models is the fact that forward rate curves are not directly observable from the market so that non-trivial observational errors arise in any statistical analysis. In this work, we point out that the... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Aug 2014 03:48 AM PDT Using a structural default model considered in Lipton and Sepp (2009) we propose a new approach to introducing correlated jumps into this framework. As the result we extend a set of the tractable Levy models which represent the jumps as a sum of the idiosyncratic and common parts. So far in the literature only the discrete and exponential jumps were considered using Marshall and Olkin (1967)... Visit MoneyScience for the Complete Article.    |
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