MoneyScience News |
- Blog Post: rob_daly: Electronic Trading Makes Frontier Markets More Attractive
- Financial markets seem to be in a world of their own
- The Mathematics of Financial Models: Solving Real-World Problems with Quantitative Methods - MoneyScience
- Vendor News: Fidessa's derivatives platform wins Trading System of the Year
- Published / Preprint: High-Resilience Limits of Block-Shaped Order Books. (arXiv:1409.7269v1 [q-fin.TR])
- Blog Post: ThePracticalQuant: Unboxing Apache Spark 1.1
- Blog Post: iMFdirect: A Tale of Two States'Bringing Back U.S. Productivity Growth
- Published / Preprint: 25Sep/Progress on post-crisis reforms: banking supervisors and central bankers meet to discuss
- 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
- Published / Preprint: Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags. (arXiv:1409.6443v1 [q-fin.ST])
- Published / Preprint: On the interplay between short and long term memory in the power-law cross-correlations setting. (arXiv:1409.6444v1 [stat.ME])
- Published / Preprint: Calculation of a power price equilibrium. (arXiv:1409.6645v1 [q-fin.PR])
- Published / Preprint: The Immediate Exchange model: an analytical investigation. (arXiv:1409.6646v1 [q-fin.GN])
- Published / Preprint: A GDP-driven model for the binary and weighted structure of the International Trade Network. (arXiv:1409.6649v1 [q-fin.GN])
- Published / Preprint: Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency. (arXiv:0903.2243v4 [cs.IT] UPDATED)
- MIT Students Battle State's Demand for Their Bitcoin Miner's Source Code | WIRED
- The 25 Most Powerful Women in Banking
- 'Why I bet £900k on the Scottish referendum'
- Sustainability in the Age of Big Data - Knowledge@Wharton
- John Lanchester: the worst jargon in economics and banking
- Big Data and Business Decision Making | MIT Technology Review
- Published / Preprint: Pricing and hedging of energy spread options and volatility modulated Volterra processes. (arXiv:1409.5801v1 [q-fin.PR])
- Published / Preprint: Bounds on Portfolio Quality. (arXiv:1409.5936v1 [q-fin.PM])
- Published / Preprint: International trade network: fractal properties and globalization puzzle. (arXiv:1409.5963v1 [physics.soc-ph])
| Blog Post: rob_daly: Electronic Trading Makes Frontier Markets More Attractive Posted: 26 Sep 2014 08:57 AM PDT Electronic Trading Makes Frontier Markets More Attractiveread more... Visit MoneyScience for the Complete Article.      |
| Financial markets seem to be in a world of their own Posted: 26 Sep 2014 04:28 AM PDT Financial markets seem to be in a world of their own http://t.co/k3btDlmPzT — moneyscience (@moneyscience) September 26, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 26 Sep 2014 03:40 AM PDT New book! The Mathematics of Financial Models: Solving Real-World Problems with Quantitativ... http://t.co/5uk4xltund via @wiley_finance — moneyscience… Visit MoneyScience for the Complete Article.    |
| Vendor News: Fidessa's derivatives platform wins Trading System of the Year Posted: 26 Sep 2014 12:56 AM PDT    |
| Posted: 25 Sep 2014 05:37 PM PDT We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-resilient Obizhaeva/Wang models to the corresponding problem in an Almgren/Chriss... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Unboxing Apache Spark 1.1 Posted: 25 Sep 2014 08:58 AM PDT Apache Spark version 1.1 shipped a few weeks ago. I've been enjoying enhancements to MLlib, Spark SQL, and Spark Streaming. Next week I'll be hosting a webcast with Spark's release manager - and Databricks co-founder - Patrick Wendell. (Full disclosure: I'm an advisor to Databricks.)In this webcast, Patrick Wendell from Databricks will be speaking about Spark's new 1.1 release. This release... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: A Tale of Two States'Bringing Back U.S. Productivity Growth Posted: 25 Sep 2014 08:47 AM PDT By Roberto Cardarelli and Lusine Lusinyan read more... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Sep 2014 03:36 AM PDT Press release about banking supervisors and central bankers meeting to discuss progress on post-crisis reforms (25 September 2014) 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.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| MIT Students Battle State's Demand for Their Bitcoin Miner's Source Code | WIRED Posted: 23 Sep 2014 01:51 AM PDT MIT Students Battle State's Demand for Their Bitcoin Miner's Source Code http://t.co/zhBXlT99sz — moneyscience (@moneyscience) September 23, 2014 Visit MoneyScience for the Complete Article.    |
| The 25 Most Powerful Women in Banking Posted: 23 Sep 2014 01:51 AM PDT Who Are the Most Powerful Women in Banking? http://t.co/RWNiImF7JO http://ift.tt/1C8YI84 — American Banker (@AmerBanker) September 22, 2014 Visit MoneyScience for the Complete Article.    |
| 'Why I bet £900k on the Scottish referendum' Posted: 23 Sep 2014 01:36 AM PDT Why I bet £900k on the Scottish referendum - http://t.co/LiZOOmnvHV — Risk Management (@Risk_Mgmt) September 23, 2014 Visit MoneyScience for the Complete Article.    |
| Sustainability in the Age of Big Data - Knowledge@Wharton Posted: 23 Sep 2014 01:36 AM PDT Coming to terms with the scope of Big Data is a challenge, but the promise is enormous: http://t.co/Sm8hog8YVK — Knowledge @ Wharton (@whartonknows) September… Visit MoneyScience for the Complete Article.    |
| John Lanchester: the worst jargon in economics and banking Posted: 23 Sep 2014 01:35 AM PDT Good stuff RT @guardian: John Lanchester: the worst jargon in economics and banking http://t.co/r6EqyOnwVa — Heidi N. Moore (@moorehn) September 23, 2014 Visit MoneyScience for the Complete Article.    |
| Big Data and Business Decision Making | MIT Technology Review Posted: 23 Sep 2014 01:35 AM PDT What's the point of all that data, anyway? It's to make decisions. http://t.co/50CAyc4P3Q See also https://t.co/GxTsEwCFTx #orms #analytics — Jean-François… Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2014 05:37 PM PDT We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of power and gas. Volatility modulated Volterra processes are in general not semimartingales, but contain several special cases of interest in energy markets like... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bounds on Portfolio Quality. (arXiv:1409.5936v1 [q-fin.PM]) Posted: 22 Sep 2014 05:37 PM PDT The signal-noise ratio of a portfolio of p assets, its expected return divided by its risk, is couched as an estimation problem on the sphere. When the portfolio is built using noisy data, the expected value of the signal-noise ratio is bounded from above via a Cramer-Rao bound, for the case of Gaussian returns. The bound holds for `biased' estimators, thus there appears to be no bias-variance... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2014 05:37 PM PDT Globalization is one of the central concepts of our age. The common perception of the process is that, due to declining communication and transport costs, distance becomes less and less important. However, the distance coefficient in the gravity model of trade, which grows in time, indicates that the role of distance increases rather than decreases. This, in essence, captures the notion of the... Visit MoneyScience for the Complete Article.    |
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