Wednesday, September 24, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Things worth reading: 24th September 2014

Posted: 24 Sep 2014 03:58 AM PDT

Things we're reading today include ...read more...

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Published / Preprint: Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags. (arXiv:1409.6443v1 [q-fin.ST])

Posted: 23 Sep 2014 05:38 PM PDT

We introduce a new methodology for forecasting which we call Signal Diffusion Mapping. Our approach accommodates features of real world financial data which have been ignored historically in existing forecasting methodologies. Our method builds upon well-established and accepted methods from other areas of statistical analysis. We develop and adapt those models for use in forecasting. We also...

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Published / Preprint: On the interplay between short and long term memory in the power-law cross-correlations setting. (arXiv:1409.6444v1 [stat.ME])

Posted: 23 Sep 2014 05:38 PM PDT

We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law decay of the cross-correlation function comes automatically with the characteristics of the separate processes. The bivariate Hurst exponent is then equal to an average of the separate Hurst exponents of the analysed...

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Published / Preprint: Calculation of a power price equilibrium. (arXiv:1409.6645v1 [q-fin.PR])

Posted: 23 Sep 2014 05:38 PM PDT

In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded electricity contracts, transaction costs and liquidity considerations. Our numerical simulations examine the properties of the term structure and...

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Published / Preprint: The Immediate Exchange model: an analytical investigation. (arXiv:1409.6646v1 [q-fin.GN])

Posted: 23 Sep 2014 05:38 PM PDT

We study the Immediate Exchange model, recently introduced by Heinsalu and Patriarca [Eur. Phys. J. B 87: 170 (2014)], who showed by simulations that the wealth distribution in this model converges to a Gamma distribution with shape parameter $2$. Here we justify this conclusion analytically, in the infinite-population limit. An infinite-population version of the model is derived, describing the...

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Published / Preprint: A GDP-driven model for the binary and weighted structure of the International Trade Network. (arXiv:1409.6649v1 [q-fin.GN])

Posted: 23 Sep 2014 05:38 PM PDT

Recent events such as the global financial crisis have renewed the interest in the topic of economic networks. One of the main channels of shock propagation among countries is the International Trade Network (ITN). Two important models for the ITN structure, the classical gravity model of trade (more popular among economists) and the fitness model (more popular among networks scientists), are...

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Published / Preprint: Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency. (arXiv:0903.2243v4 [cs.IT] UPDATED)

Posted: 23 Sep 2014 05:38 PM PDT

This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy Coding Theorems, two of the most important results of Shannon's theory, we begin the paper by defining a pragmatic information rate, showing that all of the...

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