MoneyScience News

Vendor News: Gartner names Infosys a Leader in Magic Quadrant for Oracle Application Management Service Providers, Worldwide
Blog Post: TheFinancialServicesClub: Watch your back door first, rather than the horizons
Blog Post: WealthandCapitalMarketsBlog: Utility in Capital Markets
Published / Preprint: Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates. (arXiv:1410.6321v1 [q-fin.CP])
Published / Preprint: Asset Pricing in an Imperfect World. (arXiv:1410.6408v1 [q-fin.MF])
Blog Post: ThePracticalQuant: Anomaly Detection with ElasticSearch
Blog Post: iMFdirect: Does Raising the Minimum Wage Hurt Employment? Evidence from China
Blog Post: TheAlephBlog: The Butterfly Machine
Nicola Bruti Liberati Prize 2015 - MoneyScience's blog - MoneyScience

Vendor News: Gartner names Infosys a Leader in Magic Quadrant for Oracle Application Management Service Providers, Worldwide

Posted: 24 Oct 2014 03:57 AM PDT

Gartner, Inc., in its newly published report Magic Quadrant for Oracle Application Management Service Providers, Worldwide, names Infosys as a Leader for the third consecutive year.

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Blog Post: TheFinancialServicesClub: Watch your back door first, rather than the horizons

Posted: 24 Oct 2014 12:20 AM PDT

For a long time, we have considered that there will be massive change in banking; that new entrants like Google, Amazon and Facebook will eat the bankerâ€™s lunch; and that banks are weak and easy to attack.read more...

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Blog Post: WealthandCapitalMarketsBlog: Utility in Capital Markets

Posted: 23 Oct 2014 07:07 PM PDT

In the aftermath of the financial crisis, the regulatory environment has undergone rapid changes and is still evolving, creating additional obligations for financial institutions, particularly in the areas of risk management, reporting and regulatory compliance. Since many of financial institutions have to make same, or similar, changes to their processes and systems due to new regulations, many...

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Published / Preprint: Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates. (arXiv:1410.6321v1 [q-fin.CP])

Posted: 23 Oct 2014 05:39 PM PDT

We deal with the interest rate model proposed by Schaefer and Schwartz, which models the long rate and the spread, defined as the difference between the short and the long rates. The approximate analytical formula for the bond prices suggested by the authors requires a computation of a certain constant, defined via a nonlinear equation and an integral of a solution to a system of ordinary...

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Published / Preprint: Asset Pricing in an Imperfect World. (arXiv:1410.6408v1 [q-fin.MF])

Posted: 23 Oct 2014 05:39 PM PDT

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage property. We show that prices are coherent if and only if the set of pricing measures is non empty, i.e. if pricing by expectation is possible. We then obtain a...

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Blog Post: ThePracticalQuant: Anomaly Detection with ElasticSearch

Posted: 23 Oct 2014 08:56 AM PDT

One of the technologies that I'm hearing more about is ElasticSearch. In particular the combination of ElasticSearch, Logstash, and Kibana (the ELK stack) has proven to be a popular platform for real-time analytics on both structured and unstructured data. I'll be hosting a webcast on October 30th on the ELK stack featuring Mark Harwood, software engineer at Elasticsearch and long-time...

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