MoneyScience News |
- Blog Post: TheFinancialServicesClub: What is Money?
- Published / Preprint: Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets
- Blog Post: TheAlephBlog: Waiting to Buy
- Blog Post: WealthandCapitalMarketsBlog: The Custodians Enter the Automated Advice Wars
- Published / Preprint: qGaussian model of default. (arXiv:1410.6841v1 [q-fin.RM])
- Published / Preprint: Are news important to predict large losses?. (arXiv:1410.6898v1 [q-fin.ST])
- Published / Preprint: Large-Maturity Regimes of the Heston Forward Smile. (arXiv:1410.7206v1 [q-fin.PR])
- Published / Preprint: Continuous time analysis of fleeting discrete price moves. (arXiv:1410.7317v1 [q-fin.TR])
- Published / Preprint: Asymmetric Learning from Financial Information
- Published / Preprint: Subprime Mortgage Defaults and Credit Default Swaps
- Vendor News: Infosys donates US$2 million to the Institute for Advanced Study to create a new fund for memberships
- Published / Preprint: Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns
- Vendor News: Fidessa takes Best Execution Management System crown in Financial News Awards
- Blog Post: Luigi.Ballabio: Announcement: QuantLib user meeting 2014
- In Depth - Jon Gregory on Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives
- Blog Post: rob_daly: Is Tech Driving Business Growth?
| Blog Post: TheFinancialServicesClub: What is Money? Posted: 28 Oct 2014 03:49 AM PDT Blimey!!! When you start debating nuances of things with the Bitcoin community, it doesn’t ‘arf get into a pedants dream.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 28 Oct 2014 03:19 AM PDT We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing non-oil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity returns. The fit is excellent in and out of sample. The extracted oil factors carry significant risk premia, and are... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Waiting to Buy Posted: 28 Oct 2014 02:47 AM PDT Photo Credit: Brett Davies || Waiting, but to what end?read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: The Custodians Enter the Automated Advice Wars Posted: 27 Oct 2014 06:59 PM PDT Broker-custodian Charles Schwab’s eagerness to share details on its zero cost automated investments platform reflects the fact that it has essentially been trumped by arch rival Fidelity, which announced last week it was partnering with Betterment to distribute automated investments advice to clients via its RIA network. Unlike the Fidelity offer, the Schwab platform will be offered direct to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: qGaussian model of default. (arXiv:1410.6841v1 [q-fin.RM]) Posted: 27 Oct 2014 05:37 PM PDT We present the qGaussian generalization of the Merton framework, which takes into account slow fluctuations of the volatility of the firms market value of financial assets. The minimal version of the model depends on the Tsallis entropic parameter q and the generalized distance to default. The empirical foundation and implications of the model are illustrated by the study of 645 North American... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Are news important to predict large losses?. (arXiv:1410.6898v1 [q-fin.ST]) Posted: 27 Oct 2014 05:37 PM PDT In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic property of the underlying stochastic process as well as for the innovation process. Since news are essentially qualitative measures, they are firstly transformed into quantitative measures which are... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Oct 2014 05:37 PM PDT We provide a full characterisation of the large-maturity forward implied volatility smile in the Heston model. Although the leading decay is provided by a fairly classical large deviations behaviour, the algebraic expansion providing the higher-order terms highly depends on the parameters, and different powers of the maturity come into play. As a by-product of the analysis we provide new implied... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Oct 2014 05:37 PM PDT This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically tractable and the role of the calendar time can be explicitly understood. It is directly formulated in terms of the price impact curve. The... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Asymmetric Learning from Financial Information Posted: 27 Oct 2014 10:22 AM PDT This study asks whether investors learn differently from gains versus losses. I find experimental evidence which indicates that being in the negative domain leads individuals to form overly pessimistic beliefs about available investment options. This pessimism bias is driven by people reacting more to low outcomes in the negative domain relative to the positive domain. Such asymmetric learning... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Subprime Mortgage Defaults and Credit Default Swaps Posted: 27 Oct 2014 10:22 AM PDT We offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS coverage, and within these pools the loans originated after or shortly before the start of CDS coverage have an even higher... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Oct 2014 08:29 AM PDT Infosys and the Institute for Advanced Study (IAS) announce a new endowment fund that will be used to support visiting scientists and help scholars advance their research at the world-renowned institute in Princeton, New Jersey. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns Posted: 27 Oct 2014 04:55 AM PDT We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected... Visit MoneyScience for the Complete Article.    |
| Vendor News: Fidessa takes Best Execution Management System crown in Financial News Awards Posted: 17 Oct 2014 04:06 AM PDT    |
| Blog Post: Luigi.Ballabio: Announcement: QuantLib user meeting 2014 Posted: 12 Oct 2014 10:06 PM PDT    |
| Posted: 12 Oct 2014 11:20 AM PDT In this exclusive interview MoneyScience talks with Dr Jon Gregory, author of the recently published Wiley Finance title Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives. Jon is a partner at Solum Financial Partners LLP and specialises in counterparty risk and CVA related consulting and advisory projects. He has worked on many aspects of... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: Is Tech Driving Business Growth? Posted: 30 Sep 2014 11:30 AM PDT Is Tech Driving Business Growth?read more... Visit MoneyScience for the Complete Article.    |
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