MoneyScience News |
- Blog Post: PatrickBurns: US market portrait 2014 week 46
- http://t.co/10mwo9WdTk
- Vendor News: November 14, 2014 - SS&C Announces Adoption of Dividend Policy, Declaration of First Dividend and Continues Share Repurchase Program
- Published / Preprint: Trend and Fractality Assessment of Mexico's Stock Exchange. (arXiv:1411.3399v1 [q-fin.ST])
- Published / Preprint: Kelly criterion for variable pay-off. (arXiv:1411.3615v1 [math.PR])
- Published / Preprint: A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection. (arXiv:1411.3618v1 [q-fin.MF])
- Blog Post: rob_daly: Gloves Come Off at SEFCON V
- Is OnDeck Capital the Next Generation of Lender or Boiler Room?
- Banks Manipulated Foreign Exchange in Ways You Can't Teach
- Forex Investors May Face $1 Billion Loss as Trade Site Vanishes
- Vendor News: Infosys Science Foundation Announces Winners of the Infosys Prize 2014
- Published / Preprint: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery. (arXiv:1411.3075v1 [q-fin.MF])
- Published / Preprint: Long Term Risk: A Martingale Approach. (arXiv:1411.3078v1 [q-fin.EC])
- Blog Post: iMFdirect: Understanding Spillovers
- Published / Preprint: 12Nov/Reports on measures to reduce risk-weighted asset variability and on Basel III implementation by the Basel Committee
- Blog Post: TheAlephBlog: Is This Legit?
- Published / Preprint: 12Nov/Information on national discretions published by the Basel Committee
- The Rise And Fall Of The Largest Corporation In History
- Five banks fined £2bn for foreign exchange rigging -- live updates
- Published / Preprint: No News Is News: Do Markets Underreact to Nothing?
- Published / Preprint: Media Makes Momentum
- Published / Preprint: Opacity in Financial Markets
- Published / Preprint: Strategic Complementarity, Fragility, and Regulation
- Published / Preprint: What Happens in Nevada? Self-Selecting into Lax Law
- Published / Preprint: Cash-Flow Sensitivities and the Allocation of Internal Cash Flow
- Published / Preprint: Money Left on the Table: An Analysis of Participation in Employee Stock Purchase Plans
- Published / Preprint: Erratum
- Published / Preprint: Exact solution of a generalized version of the Black-Scholes equation. (arXiv:1411.2628v1 [q-fin.CP])
- Published / Preprint: A continuous auction model with insiders and random time of information release. (arXiv:1411.2835v1 [q-fin.PR])
| Blog Post: PatrickBurns: US market portrait 2014 week 46 Posted: 15 Nov 2014 03:06 AM PST US large cap market returns. read more... Visit MoneyScience for the Complete Article.      |
| Posted: 14 Nov 2014 10:38 AM PST Will #Bitcoin replace #SWIFT ? http://t.co/10mwo9WdTk via @moneyscience — D. Geromichalos ScD (@dg_risk) November 14, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 14 Nov 2014 06:08 AM PST    |
| Posted: 13 Nov 2014 06:00 PM PST The total value of domestic market capitalization of the Mexican Stock Exchange was calculated at 520 billion of dollars by the end of November 2013. To manage this system and make optimum capital investments, its dynamics needs to be predicted. However, randomness within the stock indexes makes forecasting a difficult task. To address this issue, in this work, trends and fractality were studied... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Kelly criterion for variable pay-off. (arXiv:1411.3615v1 [math.PR]) Posted: 13 Nov 2014 06:00 PM PST We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off. Visit MoneyScience for the Complete Article.    |
| Posted: 13 Nov 2014 06:00 PM PST We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models. This provides a Dupire-type formula for the coefficient derived by Brunick and Shreve for their mimicking diffusion and can be interpreted as the canonical extension of local volatility for barrier options.... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: Gloves Come Off at SEFCON V Posted: 13 Nov 2014 10:08 AM PST Gloves Come Off at SEFCON Vread more... Visit MoneyScience for the Complete Article.    |
| Is OnDeck Capital the Next Generation of Lender or Boiler Room? Posted: 13 Nov 2014 07:11 AM PST Is OnDeck Capital the Next Generation of Lender or Boiler Room? http://t.co/bTtfQwSKBz — Risk Management (@Risk_Mgmt) November 13, 2014 Visit MoneyScience for the Complete Article.    |
| Banks Manipulated Foreign Exchange in Ways You Can't Teach Posted: 13 Nov 2014 07:11 AM PST Banks Manipulated Foreign Exchange in Ways You Can't Teach http://t.co/94YOPfh8Ki — Risk Management (@Risk_Mgmt) November 13, 2014 Visit MoneyScience for the Complete Article.    |
| Forex Investors May Face $1 Billion Loss as Trade Site Vanishes Posted: 13 Nov 2014 05:09 AM PST Insane story about $1 billion FX trading site that appears to have vanished into thin air. http://t.co/Im3YiOwNGF — Joseph Weisenthal (@TheStalwart) November… Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys Science Foundation Announces Winners of the Infosys Prize 2014 Posted: 12 Nov 2014 10:37 PM PST The Infosys Science Foundation (ISF) announces the winners of the Infosys Prize 2014 across six categories: Engineering and Computer Science, Humanities, Life Sciences, Mathematical Sciences, Physical Sciences and Social Sciences. Visit MoneyScience for the Complete Article.    |
| Posted: 12 Nov 2014 05:38 PM PST This paper studies Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (namely, a Borel right process (BRP)) and the pricing kernel (stochastic discount factor, state-price density) is a positive semimartingale multiplicative functional of X. We establish uniqueness of a positive eigenfunction of the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Long Term Risk: A Martingale Approach. (arXiv:1411.3078v1 [q-fin.EC]) Posted: 12 Nov 2014 05:37 PM PST This paper extends the long-term factorization of the pricing kernel due to Alvarez and Jermann (2005) in discrete time ergodic environments and Hansen and Scheinkman (2009) in continuous ergodic Markovian environments to general semimartingale environments, without assuming the Markov property. An explicit and easy to verify sufficient condition is given that guarantees convergence in Emery's... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Understanding Spillovers Posted: 12 Nov 2014 07:11 AM PST By Olivier Blanchard, Luc Laeven and Esteban Vesperoniread more... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Nov 2014 03:07 AM PST Press release about the Basel Committee publishing reports on measures to reduce risk-weighted asset variability and on Basel III implementation (12 November 2014) Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Is This Legit? Posted: 12 Nov 2014 01:57 AM PST Photo Credit: .SilentMode || Doubts that the deal is legitimate?read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 12Nov/Information on national discretions published by the Basel Committee Posted: 12 Nov 2014 01:27 AM PST Press release about the Basel Committee publishing information on national discretions (12 November 2014) Visit MoneyScience for the Complete Article.    |
| The Rise And Fall Of The Largest Corporation In History Posted: 12 Nov 2014 12:22 AM PST The Rise And Fall Of United East India, the largest company in history http://t.co/o04wpJV6wI — moneyscience (@moneyscience) November 12, 2014 Visit MoneyScience for the Complete Article.    |
| Five banks fined £2bn for foreign exchange rigging -- live updates Posted: 12 Nov 2014 12:22 AM PST This one is going to run and run. Five banks fined £2bn for foreign exchange rigging - http://t.co/1SYzxLKqOQ — moneyscience (@moneyscience) November 12,… Visit MoneyScience for the Complete Article.    |
| Published / Preprint: No News Is News: Do Markets Underreact to Nothing? Posted: 11 Nov 2014 08:55 PM PST As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Media Makes Momentum Posted: 11 Nov 2014 08:55 PM PST Relying on 2.2 million articles from forty-five national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit, ceteris paribus, significantly stronger momentum. The effect depends on article tone, reverses in the long run, is more pronounced for stocks with high uncertainty, and is stronger in states with high investor individualism. Our... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Opacity in Financial Markets Posted: 11 Nov 2014 08:55 PM PST This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g., mutual funds) and opaque funds (e.g., hedge funds) trade transparent assets (e.g., plain-vanilla products) and opaque assets (e.g., structured products). Investors observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Strategic Complementarity, Fragility, and Regulation Posted: 11 Nov 2014 08:55 PM PST Fragility is affected by how the balance sheet composition of financial intermediaries, the precision of information signals, and market stress parameters all influence the extent of strategic complementarity among investors' strategies. A solvency and a liquidity ratio are required to control the likelihood of insolvency and illiquidity. The solvency requirement must be strengthened in the face... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: What Happens in Nevada? Self-Selecting into Lax Law Posted: 11 Nov 2014 08:55 PM PST We find that Nevada, the second most popular state for out-of-state incorporations and a state with lax corporate law, attracts firms that are 30–40% more likely to report financial results that later require restatement than firms incorporated in other states, including Delaware. Our results suggest that firms favoring protections for insiders select Nevada as a corporate home, and these... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Cash-Flow Sensitivities and the Allocation of Internal Cash Flow Posted: 11 Nov 2014 08:55 PM PST We study how firms allocate cash flow by estimating the cash-flow sensitivities of various uses of cash flow. We decompose cash flow into a transitory and a permanent component and focus on the allocation of the transitory component, which by construction contains little information about future growth opportunities. We find that more financially constrained firms allocate more transitory cash... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Nov 2014 08:55 PM PST We analyze participation decisions in employee stock purchase plans. These plans allow employees to buy company stock at a discount from the market price and resell it immediately for a sure profit. Although an average employee stands to gain $3,079 annually, only 30% of individuals take advantage of this risk-free opportunity. Participation is more likely among employees who are familiar with... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Nov 2014 08:55 PM PST    |
| Posted: 11 Nov 2014 05:37 PM PST We analyze a generalized version of the Black-Scholes equation depending on a parameter $a\!\in \!(-\infty,0)$. It satisfies the martingale condition and coincides with the Black-Scholes equation in the limit case $a\nearrow 0$. We show that the generalized equation is exactly solvable in terms of Hermite polynomials and numerically compare its solution with the solution of... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Nov 2014 05:37 PM PST In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is announced at a future random (stopping) time. We consider the two cases in which this release time of information is known and not known, respectively, to the... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 1600 Amphitheatre Parkway, Mountain View, CA 94043, United States | |