MoneyScience News |
- Blog Post: TheFinancialServicesClub: The friction of the old versus new models of finance
- Vendor News: Infosys Helps Fayetteville Public Works Commission Improve Customer Experience and Become Smart Grid Ready
- Published / Preprint: Risk measures with the CxLS property. (arXiv:1411.0426v1 [q-fin.RM])
- Published / Preprint: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales. (arXiv:1411.0496v1 [q-fin.ST])
- Published / Preprint: Incorporating Views on Marginal Distributions in the Calibration of Risk Models. (arXiv:1411.0570v1 [q-fin.ST])
- When does the stock market listen to economic news? New evidence from copulas and news wires. (arXiv:1410.8427v1 [q-fin.EC]) - Quantitative Finance at arXiv's blog - MoneyScience
- Book Review: Berkshire Beyond Buffett - The Aleph Blog's blog - MoneyScience
- Published / Preprint: Global convergence and stability of a convolution method for numerical solution of BSDEs. (arXiv:1410.8595v1 [q-fin.CP])
- Published / Preprint: Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy. (arXiv:1410.8609v1 [q-fin.PR])
- Published / Preprint: Systemic risk in a large claims insurance market with bipartite graph structure. (arXiv:1410.8671v1 [q-fin.RM])
- Blog Post: TheAlephBlog: Back to RT Boom/Bust
- Published / Preprint: 31Oct/Second GPFI/BIS conference explores implications of rapid progress on digital financial inclusion
- Published / Preprint: 31Oct/Net Stable Funding Ratio finalised by the Basel Committee
- Published / Preprint: Pricing and Hedging Long-Term Options. (arXiv:1410.8160v1 [q-fin.MF])
- Published / Preprint: Efficient price dynamics in a limit order market: an utility indifference approach. (arXiv:1410.8224v1 [q-fin.PR])
- Published / Preprint: Optimal Allocation of Trend Following Strategies. (arXiv:1410.8409v1 [q-fin.PM])
- Published / Preprint: When does the stock market listen to economic news? New evidence from copulas and news wires. (arXiv:1410.8427v1 [q-fin.EC])
- Published / Preprint: The Model Confidence Set package for R. (arXiv:1410.8504v1 [stat.CO])
- Phys.Org Mobile: 255 Terabits/s: Researchers demonstrate record data transmission over new type of fiber
- A closer look at the economics of Ebola
- The top 100 papers
- 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: iMFdirect: A Downturn Without Layoffs? Reconciling Growth And Labor Markets In Latin America
- Automated Investments Platforms: Build or Buy? - Wealth and Capital Markets Blog's blog - MoneyScience
- Blog Post: WealthandCapitalMarketsBlog: Automated Investments Platforms: Build or Buy?
- Published / Preprint: Pricing and Hedging GMWB Riders in a Binomial Framework. (arXiv:1410.7453v1 [q-fin.PR])
| Blog Post: TheFinancialServicesClub: The friction of the old versus new models of finance Posted: 04 Nov 2014 01:20 AM PST Everything is moving from C2C via B2B to P2P. I hate all those TLAs, but it puts the context of what’s occurring in our world quite nicely. The core of this change is articulated best by the bitcoin community who believe we do not need a trusted third party to exchange value these days. The technology is that trusted third party. In code we trust.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 03 Nov 2014 10:46 PM PST Infosys announced today that it is helping Fayetteville Public Works Commission (FPWC) become more customer-centric, operationally efficient, agile, and smart grid ready. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risk measures with the CxLS property. (arXiv:1411.0426v1 [q-fin.RM]) Posted: 03 Nov 2014 05:47 PM PST In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of generalized shortfall risk measures. As a direct consequence, we are able to extend the results in Ziegel (2014) and Bellini and Bignozzi (2014) on... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Nov 2014 05:47 PM PST We propose a novel framework combining detrended fluctuation analysis with standard regression methodology. The method is built on detrended variances and covariances and it is designed to estimate regression parameters at different scales and under potential non-stationarity and power-law correlations. Selected examples from physics, finance and environmental sciences illustrate usefulness of... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Nov 2014 05:47 PM PST Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure that minimizes relative entropy with respect to a specified measure while satisfying constraints on moments of associated random variables. These moments may... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Nov 2014 09:55 AM PST Research: When does the stock market listen to economic news? New evidence from copulas and news wires. (arXiv... http://t.co/ENWa0cdeHm — moneyscience… Visit MoneyScience for the Complete Article.    |
| Book Review: Berkshire Beyond Buffett - The Aleph Blog's blog - MoneyScience Posted: 03 Nov 2014 09:55 AM PST .@AlephBlog - Book Review: Berkshire Beyond Buffett http://t.co/QbtGJfAHkT — moneyscience (@moneyscience) October 29, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 02 Nov 2014 05:37 PM PST The implementation of the convolution method for the numerical solution of backward stochastic differential equations (BSDEs) presented in Hyndman and Oyono Ngou (arXiv:1304.1783, 2013) uses a uniform space grid. Locally, this approach produces a truncation error, a space discretization error and an additional extrapolation error. Even if the extrapolation error is convergent in time, the... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Nov 2014 05:37 PM PST A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with GMWB becomes an optimal stochastic... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Nov 2014 05:37 PM PST We model business relationships exemplified for a (re)insurance market by a bipartite graph which determines the sharing of severe losses. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional Tail Expectation. We show that the dependence on the network structure plays a fundamental role in their asymptotic behaviour.... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Back to RT Boom/Bust Posted: 01 Nov 2014 12:58 AM PDT On Thursday, November 23rd, I was recorded to be on RT Boom/Bust. The first half of it played that day, and the video of it is below:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Oct 2014 07:51 AM PDT Press release about the second GPFI/BIS conference exploring implications of rapid progress on digital financial inclusion(31 October 2014) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 31Oct/Net Stable Funding Ratio finalised by the Basel Committee Posted: 31 Oct 2014 03:05 AM PDT Press release about the Basel Committee finalising the Net Stable Funding Ratio (31 October 2014) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Pricing and Hedging Long-Term Options. (arXiv:1410.8160v1 [q-fin.MF]) Posted: 30 Oct 2014 05:34 PM PDT In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by this property. To see this, we use the martingale extraction method through which a pricing operator is transformed into a semigroup operator, which is easier... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Oct 2014 05:34 PM PDT We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the efficient price, that is, the asset price when a representative liquidity demander follows an optimal strategy. We show that a Pareto efficient allocation is... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Oct 2014 05:34 PM PDT We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strategies, we derive analytical formulas for the mean and variance of the portfolio return. We construct then the optimal portfolio that maximizes risk-adjusted return by accounting for inter-asset correlations. The dynamic... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Oct 2014 05:34 PM PDT We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on the indexing of news wires. We find the impact of economic news on equity returns to be nonlinear and asymmetric. In particular, controlling for economic conditions and surprises associated with releases of economic data, we find that... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Model Confidence Set package for R. (arXiv:1410.8504v1 [stat.CO]) Posted: 30 Oct 2014 05:34 PM PDT This paper presents the R package MCS which implements the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of 'superior' models, where the null hypothesis of Equal Predictive Ability (EPA) is not rejected at a certain confidence level. The EPA statistic tests is calculated for... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Oct 2014 09:33 AM PDT 255 Terabits/s: Researchers demonstrate record data transmission over new type of fiber http://t.co/m8y0ssyujC — moneyscience (@moneyscience) October 28, 2014 Visit MoneyScience for the Complete Article.    |
| A closer look at the economics of Ebola Posted: 30 Oct 2014 02:41 AM PDT "A closer look at the economics of Ebola" http://t.co/5gU6R79BkT — Arthur Charpentier (@freakonometrics) October 30, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 30 Oct 2014 01:38 AM PDT The top 100 most highly cited scientific papers of all time: http://t.co/vohP6Pw43Y — moneyscience (@moneyscience) October 30, 2014 Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| Vendor News: October 29, 2014 - SS&C Technologies Reports Q3 2014 Results Posted: 29 Oct 2014 01:08 PM PDT    |
| Posted: 29 Oct 2014 12:08 PM PDT By Bertrand Gruss read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Oct 2014 03:04 AM PDT .@Celent_Research - Automated Investments Platforms: Build or Buy? http://t.co/fVso6nQHxx — moneyscience (@moneyscience) October 29, 2014 Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Automated Investments Platforms: Build or Buy? Posted: 28 Oct 2014 06:59 PM PDT I recently wrote about the entrance of broker custodian Charles Schwab into the automated investments business. Here I examine Schwab’s decision to build a platform on its own, rather than buy a start-up (or partner with one, as Fidelity has done with Betterment). In case you hadn’t seen the news, Schwab has named its zero-cost platform “Schwab Intelligent Investor†and has put up a... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Oct 2014 05:38 PM PDT We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded using only periodic fee income. We consider the separate perspectives of the insurer and policyholder and introduce a unifying relationship. Decompositions of... Visit MoneyScience for the Complete Article.    |
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