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Blog Post: TheFinancialServicesClub: Things worth reading: 30th October 2014
Published / Preprint: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window. (arXiv:1410.7799v1 [stat.CO])
Published / Preprint: A new multivariate dependence measure based on comonotonicity. (arXiv:1410.7845v1 [q-fin.RM])
Published / Preprint: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis. (arXiv:1410.7961v1 [q-fin.MF])
Published / Preprint: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending. (arXiv:1410.8042v1 [q-fin.PM])
Vendor News: October 29, 2014 - SS&C Technologies Reports Q3 2014 Results
Blog Post: TheAlephBlog: Redacted Version of the October 2014 FOMC Statement
Blog Post: iMFdirect: A Downturn Without Layoffs? Reconciling Growth And Labor Markets In Latin America

Blog Post: TheFinancialServicesClub: Things worth reading: 30th October 2014

Posted: 30 Oct 2014 01:08 AM PDT

Things we're reading today include ...read more...

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Published / Preprint: Dynamic Model Averaging in Large Model Spaces Using Dynamic Occam's Window. (arXiv:1410.7799v1 [stat.CO])

Posted: 29 Oct 2014 05:38 PM PDT

Bayesian model averaging has become a widely used approach to accounting for uncertainty about the structural form of the model generating the data. When data arrive sequentially and the generating model can change over time, Dynamic Model Averaging (DMA) extends model averaging to deal with this situation. Often in macroeconomics, however, many candidate explanatory variables are available and...

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Published / Preprint: A new multivariate dependence measure based on comonotonicity. (arXiv:1410.7845v1 [q-fin.RM])

Posted: 29 Oct 2014 05:38 PM PDT

In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN Bulletin 41 (2011) 191-213) and Dhaene et al. (Journal of Computational and Applied Mathematics 263 (2014) 78-87). Some di?erences and relations between the new dependence measure and other multivariate measures are...

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Published / Preprint: Visualisation of financial time series by linear principal component analysis and nonlinear principal component analysis. (arXiv:1410.7961v1 [q-fin.MF])

Posted: 29 Oct 2014 05:38 PM PDT

In this dissertation, the main goal is visualisation of financial time series. We expect that visualisation of financial time series will be a useful auxiliary for technical analysis. Firstly, we review the technical analysis methods and test our trading rules, which are built by the essential concepts of technical analysis. Next, we compare the quality of linear principal component analysis and...

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Published / Preprint: Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending. (arXiv:1410.8042v1 [q-fin.PM])

Posted: 29 Oct 2014 05:38 PM PDT

In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time points or about the distribution of the asset returns are needed. The problem is stated as a dynamic...

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