MoneyScience News |
- Sometimes outliers are real data
- PayPal’s Bitcoin Integration And The Future Of Digital Currency Adoption
- Blog Post: TheAlephBlog: Two Notes: Crude Oil & Bonds
- Published / Preprint: Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality
- Blog Post: TheFinancialServicesClub: The criticality of humanity in banking digitally
- Published / Preprint: Information Diversity and Complementarities in Trading and Information Acquisition
- Published / Preprint: Misspecified Recovery. (arXiv:1412.0042v1 [q-fin.MF])
- Published / Preprint: Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia. (arXiv:1412.0064v1 [q-fin.RM])
- Published / Preprint: A biased view of a few possible components when reflecting on the present decade financial and economic crisis. (arXiv:1412.0127v1 [q-fin.GN])
- Published / Preprint: A fully consistent, minimal model for non-linear market impact. (arXiv:1412.0141v1 [q-fin.TR])
- Published / Preprint: The impact of startup costs and the grid operator on the power price equilibrium. (arXiv:1412.0148v1 [q-fin.PR])
- Published / Preprint: Market impacts and the life cycle of investors orders. (arXiv:1412.0217v1 [q-fin.TR])
- Published / Preprint: Budget Imbalance Criteria for Auctions: A Formalized Theorem. (arXiv:1412.0542v1 [q-fin.MF])
- Published / Preprint: Why is order flow so persistent?. (arXiv:1108.1632v2 [q-fin.TR] UPDATED)
- Vendor News: December 1, 2014 - SS&C Expands Investment Management Software and Services Offerings by Acquiring DST Global Solutions
- Vendor News: Infosys Finacle eBanking Rated âBest-in-Classâ for Customer Experience, Design & Security and Enterprise Support
- Published / Preprint: An Evolutionary Optimization Approach to Risk Parity Portfolio Selection. (arXiv:1411.7494v1 [q-fin.PM])
- Published / Preprint: Hydrodynamic limit of order book dynamics. (arXiv:1411.7502v1 [q-fin.TR])
- Published / Preprint: Indirect Influences in International Trade. (arXiv:1411.7593v1 [cs.SI])
- Published / Preprint: Asymptotic behaviour of the fractional Heston model. (arXiv:1411.7653v1 [q-fin.MF])
- Published / Preprint: Capital Investment and Liquidity Management with collateralized debt. (arXiv:1411.7670v1 [q-fin.PM])
- Published / Preprint: Improving predictability of time series using maximum entropy methods. (arXiv:1411.7805v1 [q-fin.RM])
- Published / Preprint: Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data. (arXiv:1411.7880v1 [physics.soc-ph])
- Published / Preprint: Existence of Steady States for Over-the-Counter Market Models with Several Assets. (arXiv:1411.7991v1 [q-fin.MF])
| Sometimes outliers are real data Posted: 02 Dec 2014 03:11 AM PST Sometimes outliers are real data: http://t.co/UIay8D6O5t — Big Data Science (@analyticbridge) December 2, 2014 Visit MoneyScience for the Complete Article.      |
| PayPal’s Bitcoin Integration And The Future Of Digital Currency Adoption Posted: 02 Dec 2014 03:10 AM PST #PayPal's #Bitcoin Integration And The Future Of Digital Currency Adoption http://t.co/WGZphFXFeG via @Bank_Risk — D. Geromichalos ScD (@dg_risk) December 2,… Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Two Notes: Crude Oil & Bonds Posted: 02 Dec 2014 02:46 AM PST Photo Credit: S@Zread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality Posted: 02 Dec 2014 01:19 AM PST Facing increased competition over the last decade, many stock exchanges changed their trading fees to maker-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and suppliers matters. Posted quotes adjust... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The criticality of humanity in banking digitally Posted: 02 Dec 2014 12:57 AM PST One of the big challenges in discussing digital is how to get there. It's a big leap for many banks hamstring by heritage and the question is can they get there? Should they start again? Should they launch digital as a separately branded bank, rather than trying to evolve the current organisation?read more... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Dec 2014 12:56 AM PST We analyze a model in which different traders are informed of different fundamentalsthat affect the security value. We identify a source for strategic complementarities intrading and information acquisition: aggressive trading on information about one fundamentalreduces uncertainty in trading on information about the other fundamental,encouraging more trading and information acquisition on that... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Misspecified Recovery. (arXiv:1412.0042v1 [q-fin.MF]) Posted: 01 Dec 2014 05:47 PM PST Asset prices contain information about the probability distribution of future states and the stochastic discounting of these states. Without additional assumptions, probabilities and stochastic discounting cannot be separately identified. To understand this identification challenge, we extract a positive martingale component from the stochastic discount factor process using Perron-Frobenius... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Dec 2014 05:47 PM PST The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk implements an asymptotic single risk factor (ASRF) model. Measurements from the ASRF model of the prevailing state of Australia's economy and the level of capitalisation of its banking sector find general agreement with macroeconomic indicators, financial statistics and external credit ratings. However, given... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Dec 2014 05:47 PM PST Is the present economic and financial crisis similar to some previous one? It would be so nice to prove that universality laws exist for predicting such rare events under a minimum set of realistic hypotheses. First, I briefly recall whether patterns, like business cycles, are indeed found, and can be modeled within a statistical physics, or econophysics, framework. I point to a simulation model... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Dec 2014 05:47 PM PST We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framework allows one to compute the average price trajectory in the presence of a meta-order, that consistently generalizes previously proposed propagator models. We account for the universally observed square-root impact law,... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Dec 2014 05:47 PM PST In this paper we propose a quadratic programming model that can be used for calculating the term structure of electricity prices while explicitly modeling startup costs of power plants. In contrast to other approaches presented in the literature, we incorporate the startup costs in a mathematically rigorous manner without relying on ad hoc heuristics. Moreover, we propose a tractable approach for... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Dec 2014 05:47 PM PST In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Dec 2014 05:47 PM PST We present an original theorem in auction theory: it specifies general conditions under which the sum of the payments of all bidders is necessarily not identically zero, and more generally not constant. Moreover, it explicitly supplies a construction for a finite minimal set of possible bids on which such a sum is not constant. In particular, this theorem applies to the important case of a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Why is order flow so persistent?. (arXiv:1108.1632v2 [q-fin.TR] UPDATED) Posted: 01 Dec 2014 05:47 PM PST Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Dec 2014 01:08 PM PST    |
| Posted: 01 Dec 2014 02:17 AM PST Infosys announces that CEB TowerGroup analysts have rated Infosys Finacle e-Banking a best-in-class solution for customer experience, design and security, and enterprise support. Visit MoneyScience for the Complete Article.    |
| Posted: 30 Nov 2014 05:50 PM PST In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the optimization problem becomes non-trivial in the long-short case. To solve this problem, we propose a genetic algorithm as well as a local search heuristic. This... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Hydrodynamic limit of order book dynamics. (arXiv:1411.7502v1 [q-fin.TR]) Posted: 30 Nov 2014 05:50 PM PST Motivated by optimal trade execution, this paper studies the temporal evolution of the shape of a limit order book over a time horizon that is large compared with the length of time between order book events, with the aim of approximating the transient distribution of the shape. Relying on the stochastic order book model in Cont et al. (2010), we show that when the tick size approaches zero, a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Indirect Influences in International Trade. (arXiv:1411.7593v1 [cs.SI]) Posted: 30 Nov 2014 05:50 PM PST We address the problem of gauging the influence exerted by a given country on the global trade market from the viewpoint of complex networks. In particular, we apply the PWP method for computing indirect influences on the world trade network. Visit MoneyScience for the Complete Article.    |
| Posted: 30 Nov 2014 05:50 PM PST We consider here the fractional version of the Heston model originally proposed by Comte, Coutin and Renault. Inspired by some recent ground-breaking work by Gatheral, Jaisson and Rosenbaum, who showed that fractional Brownian motion with short memory allows for a better calibration of the volatility surface (as opposed to the classical econometric approach of long memory of volatility), we... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Nov 2014 05:49 PM PST This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in productive assets resulting in a performance sensitive interest rate on debt. We formulate this problem as a bi-dimensional singular control problem and use both... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Nov 2014 05:49 PM PST We discuss how maximum entropy methods may be applied to the reconstruction of Markov processes underlying empirical time series and compare this approach to usual frequency sampling. It is shown that, at least in low dimension, there exists a subset of the space of stochastic matrices for which the MaxEnt method is more efficient than sampling, in the sense that shorter historical samples have... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Nov 2014 05:49 PM PST This paper discusses the size distribution, - in economic terms - of the Italian municipalities over the period 2007-2011. Yearly data are rather well fitted by a modified Lavalette law, while Zipf-Mandelbrot-Pareto law seems to fail in this doing. The analysis is performed either at a national as well as at a local (regional and provincial) level. Deviations are discussed as originating in so... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Nov 2014 05:49 PM PST We introduce and study three classes of over-the-counter markets specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie-G\^{a}rleanu-Pedersen, Over-the-Counter markets, Econometrica, 73 (2005). The key innovation is allowing for multiple assets. We compute the steady states for these ODE's. 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 | |