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- “Flow monsters” eat greater share of fixed income market | USA news | Asset Classes | thetradenews.com
- Form 10-Q
- Blog Post: TheAlephBlog: On Genworth
- Blog Post: TheFinancialServicesClub: Risk: the Nature of the Beast
- Vendor News: Independent research firm names Infosys Finacle a leader in customer-centric global banking solutions
- Published / Preprint: Determining Optimal Trading Rules without Backtesting. (arXiv:1408.1159v1 [q-fin.PM])
- Published / Preprint: A simple model of local prices and associated risk evaluation. (arXiv:1408.1352v1 [q-fin.GN])
- Published / Preprint: Optimal Consumption With Habit Formation In Markets with Transaction Costs And Unbounded Random Endowment. (arXiv:1408.1382v1 [q-fin.PM])
- Blog Post: ThePracticalQuant: What's New in Scikit-learn 0.15
- Bitcoin Foundation Seeks More Time to Address Virtual Currency Rules
- SilentRisk.pdf - Google Drive
- Published / Preprint: The Brain Gain of Corporate Boards: Evidence from China
- Published / Preprint: The Pre-FOMC Announcement Drift
- Published / Preprint: Strategic and Financial Bidders in Takeover Auctions
- Published / Preprint: Inflation Risk in Corporate Bonds
- Published / Preprint: Reaching for Yield in the Bond Market
- Published / Preprint: A system of quadratic BSDEs arising in a price impact model. (arXiv:1408.0916v1 [q-fin.MF])
- Published / Preprint: Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm. (arXiv:1408.0981v1 [q-fin.CP])
- Published / Preprint: A Note on Kuhn's Theorem with Ambiguity Averse Players. (arXiv:1408.1022v1 [q-fin.EC])
- Inside the top secret Facebook formula most users don't even know exists
- Blog Post: iMFdirect: Can Japan Afford to Cut Its Corporate Tax?
- Equation 'can predict happiness'
- Option pricing: Very simple formulas - Journal of Derivatives & Hedge Funds's blog - MoneyScience
- MoneyScience: MoneyScience's event: Introduction to QuantLib Development with Luigi Ballabio
- On fund-managers, rats and hermit crabs: reversion to familiar habits under stress - Emotional Finance's blog - MoneyScience
- Published / Preprint: Option pricing: Very simple formulas
- Published / Preprint: How many managers? The impact of manager selection skill and fund size
- Published / Preprint: A Probabilistic Monte Carlo model for pricing discrete barrier and compound real options
- Published / Preprint: Opinion Dynamics and Price Formation: a Nonlinear Network Model. (arXiv:1408.0308v1 [q-fin.GN])
| Posted: 07 Aug 2014 04:23 AM PDT "Flow monsters" eat greater share of fixed income market: As financial regulators try to reduce systemic risk ... http://t.co/s9HxugyY0a — THE TRADE USA… Visit MoneyScience for the Complete Article.      |
| Posted: 07 Aug 2014 04:23 AM PDT Goldman being investigated for "insider trading, misuse and dissemination of material nonpublic information' http://t.co/3jvnxcA2n1 — zerohedge (@zerohedge)… Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Genworth Posted: 07 Aug 2014 02:59 AM PDT Another letter from a reader:read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Risk: the Nature of the Beast Posted: 07 Aug 2014 02:59 AM PDT When I first started working in banking, I didn't have much idea about risk,read more... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Aug 2014 01:59 AM PDT The Forrester Waveâ„¢: Customer-Centric Global Banking Platforms, Q3 2014 report names Infosys Finacle a leader for its Finacle universal banking solution. Visit MoneyScience for the Complete Article.    |
| Posted: 06 Aug 2014 05:40 PM PDT Calibrating a trading rule using a historical simulation (also called backtest) contributes to backtest overfitting, which in turn leads to underperformance. In this paper we propose a procedure for determining the optimal trading rule (OTR) without running alternative model configurations through a backtest engine. We present empirical evidence of the existence of such optimal solutions for the... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Aug 2014 05:40 PM PDT A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimension of the system and the introduction of price into the link measure. For dimensions below 2, the associated risk is high and the price distribution is bimodal. For higher dimensions, the price distribution is Gaussian... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Aug 2014 05:40 PM PDT This paper studies the utility maximization problem on consumption with addictive habit formation in the markets with proportional transaction costs and unbounded random endowment. To model the proportional transaction costs, we adopt Kabanov's multi-asset framework with a cash account. At the terminal time $t=T$, the investor can receive an unbounded random endowment for which we propose a new... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: What's New in Scikit-learn 0.15 Posted: 06 Aug 2014 08:59 AM PDT Python has emerged as one of the more popular languages for doing data science. The primary reason is the impressive array of tools (the "Pydata" stack) available for addressing many stages of data science pipelines. One of the most popular Pydata tools is scikit-learn, an easy-to-use and highly-efficient machine learning library.I've written about why I like to recommend scikit-learn so I won't... Visit MoneyScience for the Complete Article.    |
| Bitcoin Foundation Seeks More Time to Address Virtual Currency Rules Posted: 06 Aug 2014 07:03 AM PDT NYT: Bitcoin Foundation Seeks More Time to Address Virtual Currency Rules by @melbournecoal http://t.co/VtDq8ZAwWo #btcf — Jon Matonis (@jonmatonis) August 6,… Visit MoneyScience for the Complete Article.    |
| Posted: 06 Aug 2014 07:03 AM PDT Science is abt verifiable statements, does not claim to cover ALL decisions. Risk man includes & is ABOVE science https://t.co/sNfovWjINw — Nassim N. Taleb… Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Brain Gain of Corporate Boards: Evidence from China Posted: 06 Aug 2014 05:36 AM PDT We study the impact of directors with foreign experience on firm performance in emerging markets. Using a unique data set from China, we exploit the introduction of policies to attract talented emigrants and increase the supply of individuals with foreign experience in different provinces at different times. We document that performance increases after firms hire directors with foreign experience... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Pre-FOMC Announcement Drift Posted: 06 Aug 2014 05:36 AM PDT We document large average excess returns on U.S. equities in anticipation of monetary policy decisions made at scheduled meetings of the Federal Open Market Committee (FOMC) in the past few decades. These pre-FOMC returns have increased over time and account for sizable fractions of total annual realized stock returns. While other major international equity indices experienced similar pre-FOMC... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Strategic and Financial Bidders in Takeover Auctions Posted: 06 Aug 2014 05:36 AM PDT Using data on auctions of companies, we estimate valuations (maximum willingness to pay) of strategic and financial bidders from their bids. We find that a typical target is valued higher by strategic bidders. However, 22.4% of targets in our sample are valued higher by financial bidders. These are mature poorly-performing companies. We also find that (i) valuations of different strategic bidders... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Inflation Risk in Corporate Bonds Posted: 06 Aug 2014 05:36 AM PDT We argue that corporate bond yields reflect fears of debt deflation. When debt is nominal, unexpectedly low inflation increases real liabilities and default risk. In a real business cycle model with optimal but infrequent capital structure choice, more uncertain or procyclical inflation leads to quantitatively important increases in corporate log yields in excess of default-free log yields. A... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Reaching for Yield in the Bond Market Posted: 06 Aug 2014 05:36 AM PDT This paper studies reaching for yieldâ€"investors’ propensity to buy riskier assets to achieve higher yieldsâ€"in the corporate bond market. We show that insurance companies reach for yield in choosing their investments. Consistent with lower rated bonds bearing higher capital requirements, insurance firms prefer to hold higher rated bonds. However, conditional on credit ratings, insurance... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Aug 2014 05:38 PM PDT We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show that this system admits a unique solution for every bounded demand if and only if the market maker's risk-aversion is sufficiently small. The uniqueness is... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Aug 2014 05:38 PM PDT The hybrid Monte Carlo algorithm (HMCA) is applied for Bayesian parameter estimation of the realized stochastic volatility (RSV) model. Using the 2nd order minimum norm integrator (2MNI) for the molecular dynamics (MD) simulation in the HMCA, we find that the 2MNI is more efficient than the conventional leapfrog integrator. We also find that the autocorrelation time of the volatility variables... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Aug 2014 05:38 PM PDT Kuhn's Theorem shows that extensive games with perfect recall can equivalently be analyzed using mixed or behavioral strategies, as long as players are expected utility maximizers. This note constructs an example that illustrate the limits of Kuhn's Theorem in an environment with ambiguity averse players who use maxmin decision rule and full Bayesian updating. Visit MoneyScience for the Complete Article.    |
| Inside the top secret Facebook formula most users don't even know exists Posted: 05 Aug 2014 01:25 PM PDT What we can know about Facebook's new machine learning News Feed algorithm http://t.co/gZUN8hHQh2 — moneyscience (@moneyscience) August 5, 2014 Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Can Japan Afford to Cut Its Corporate Tax? Posted: 05 Aug 2014 08:58 AM PDT By Ruud de Mooij and Ikuo Saitoread more... Visit MoneyScience for the Complete Article.    |
| Equation 'can predict happiness' Posted: 05 Aug 2014 04:42 AM PDT An Equation for 'Momentary' Happiness http://t.co/KvbWnilERO — moneyscience (@moneyscience) August 5, 2014 Visit MoneyScience for the Complete Article.    |
| Option pricing: Very simple formulas - Journal of Derivatives & Hedge Funds's blog - MoneyScience Posted: 05 Aug 2014 04:42 AM PDT Research: Option pricing: Very simple formulas http://t.co/UwpHQUnjp2 — moneyscience (@moneyscience) August 5, 2014 Visit MoneyScience for the Complete Article.    |
| MoneyScience: MoneyScience's event: Introduction to QuantLib Development with Luigi Ballabio Posted: 05 Aug 2014 04:42 AM PDT Introduction to QuantLib Development with Luigi Ballabio - Sept 22-24, London - http://t.co/2DZLQuy6xH #quant #finance — moneyscience (@moneyscience) August 4,… Visit MoneyScience for the Complete Article.    |
| Posted: 05 Aug 2014 04:42 AM PDT emotionalfinance: On fund-managers, rats and hermit crabs: reversion to familiar habits under stress http://t.co/nNS7TtqADf — moneyscience (@moneyscience)… Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Option pricing: Very simple formulas Posted: 04 Aug 2014 10:55 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: How many managers? The impact of manager selection skill and fund size Posted: 04 Aug 2014 10:55 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 04 Aug 2014 10:55 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 04 Aug 2014 05:31 PM PDT Opinions and beliefs determine the evolution of social systems. This is of particular interest in finance, as the increasing complexity of financial systems is coupled with information overload. Opinion formation, therefore, is not always the result of optimal information processing. On the contrary, agents are boundedly rational and naturally tend to observe and imitate others in order to gain... Visit MoneyScience for the Complete Article.    |
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