MoneyScience News |
- Blog Post: TheFinancialServicesClub: What are we going to talk about at SIBOS? Part One
- Published / Preprint: Orthogonal Polynomials for Seminonparametric Instrumental Variables Model. (arXiv:1409.1620v1 [math.ST])
- Published / Preprint: A spring-block analogy for the dynamics of stock indexes. (arXiv:1409.1748v1 [physics.soc-ph])
- Published / Preprint: Zero-determinant strategies in iterated multi-strategy games. (arXiv:1409.1786v1 [cs.GT])
- Published / Preprint: Discrete Time Term Structure Theory and Consistent Recalibration Models. (arXiv:1409.1830v1 [q-fin.MF])
- Blog Post: TheAlephBlog: Goes Down Double-Speed (Update 2)
| Blog Post: TheFinancialServicesClub: What are we going to talk about at SIBOS? Part One Posted: 08 Sep 2014 03:28 AM PDT We have a Financial Services Club meeting this Thursday with a panel previewing what we will be talking about at SIBOS. Therefore, I thought I would provide some background by noting that, for the past few years, we’ve talked a lot at SIBOS about regulations, and this year is no different.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 07 Sep 2014 05:38 PM PDT We develop an approach that resolves a {\it polynomial basis problem} for a class of models with discrete endogenous covariate, and for a class of econometric models considered in the work of Newey and Powell (2003), where the endogenous covariate is continuous. Suppose $X$ is a $d$-dimensional endogenous random variable, $Z_1$ and $Z_2$ are the instrumental variables (vectors),... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Sep 2014 05:38 PM PDT A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via simple elastic forces acting in the springs. The dragging effect of the moving belt corresponds to the expected economic growth. The spring-block system... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Sep 2014 05:38 PM PDT Self-serving, rational agents sometimes cooperate to their mutual benefit. The two-player iterated prisoner's dilemma game is a model for including the emergence of cooperation. It is generally believed that there is no simple ultimatum strategy which a player can control the return of the other participants. The recent discovery of the powerful class of zero-determinant strategies in the... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Sep 2014 05:38 PM PDT We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily formulated and implemented from the chosen discrete point of view. In mathematical terms we provide an algorithmic answer to the following question: describe... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Goes Down Double-Speed (Update 2) Posted: 07 Sep 2014 11:10 AM PDT Photo Credit: hounddiggityread more... Visit MoneyScience for the Complete Article.    |
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