MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 25th February 2014
- Published / Preprint: On a Stopping Game in continuous time. (arXiv:1409.6773v1 [math.PR])
- Published / Preprint: Finite sample properties of power-law cross-correlations estimators. (arXiv:1409.6857v1 [physics.data-an])
- Published / Preprint: Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty. (arXiv:1409.6940v1 [q-fin.MF])
- Published / Preprint: On time consistency of dynamic risk and performance measures in discrete time. (arXiv:1409.7028v1 [math.PR])
- Bank of England quietly drops a piece of once-essential reading
- Victor Ricciardi talks about his book Investor Behavior: The Psychology of Financial Planning and Investing - MoneyScience's blog - MoneyScience
| Blog Post: TheFinancialServicesClub: Things worth reading: 25th February 2014 Posted: 25 Sep 2014 02:58 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: On a Stopping Game in continuous time. (arXiv:1409.6773v1 [math.PR]) Posted: 24 Sep 2014 05:38 PM PDT On a filtered probability space $(\Omega,\mathcal{F},P,\mathbb{F}=(\mathcal{F}_t)_{0\leq t\leq T})$, we consider stopper-stopper games $\bar C:=\inf_{\Rho}\sup_{\tau\in\T}\E[U(\Rho(\tau),\tau)]$ and $\underline C:=\sup_{\Tau}\inf_{\rho\in\T}\E[U(\Rho(\tau),\tau)]$ in continuous time,... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Sep 2014 05:38 PM PDT We study finite sample properties of estimators of power-law cross-correlations -- detrended cross-correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving-average cross-correlation analysis (DMCA) -- with a special focus on short-term memory bias as well as power-law coherency. Presented broad Monte Carlo simulation study focuses on different time series... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Sep 2014 05:38 PM PDT Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. Visit MoneyScience for the Complete Article.    |
| Posted: 24 Sep 2014 05:38 PM PDT In this paper we provide a unified and flexible framework for study of the time consistency of risk and performance measures. The proposed framework integrates existing forms of time consistency as well as various connections between them. In our approach the time consistency is studied for a large class of maps that are postulated to satisfy only two properties -- monotonicity and locality. This... Visit MoneyScience for the Complete Article.    |
| Bank of England quietly drops a piece of once-essential reading Posted: 24 Sep 2014 05:27 AM PDT Bank of England quietly drops a piece of once-essential reading http://t.co/0JynB40Fdx — Risk Management (@Risk_Mgmt) September 24, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 24 Sep 2014 05:27 AM PDT Victor Ricciardi was interviewed about his book Investor Behavior on the MoneyScience Blog with Jacob Bettany http://t.co/kuGLxbdEv3 — Behavioral Finance… Visit MoneyScience for the Complete Article.    |
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