MoneyScience News |
- Blog Post: TheFinancialServicesClub: The Banking Paradox: even bankers want to move to fintech
- Published / Preprint: Equilibrium in risk-sharing games. (arXiv:1412.4208v1 [q-fin.RM])
- Published / Preprint: Nonparametric Stochastic Discount Factor Decomposition. (arXiv:1412.4428v1 [stat.ME])
- Published / Preprint: On Pareto theory of circulation of elites. (arXiv:1412.4695v1 [q-fin.GN])
- Published / Preprint: Conditional Analysis and a Principal-Agent problem. (arXiv:1412.4698v1 [q-fin.MF])
- Blog Post: ThePracticalQuant: Bitcoin and the Future of Money
- Blog Post: iMFdirect: Turkey's Recipe to Escape the Middle-Income Trap
- Published / Preprint: OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
- meet-the-secs-brainy-new-crime-fighters-1418601581
- Open-Source Algorithmic Trading Platform
- Published / Preprint: THE NUMÃRAIRE PROPERTY AND LONGâTERM GROWTH OPTIMALITY FOR DRAWDOWNâCONSTRAINED INVESTMENTS
- Published / Preprint: ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONGâRUN INVESTMENTS
- Published / Preprint: LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES
- Published / Preprint: ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIMEâHOMOGENEOUS DIFFUSIONS
- Published / Preprint: MODELâINDEPENDENT LOWER BOUND ON VARIANCE SWAPS
- Published / Preprint: EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING
- Blog Post: Luigi.Ballabio: Odds and ends: indexes
- Published / Preprint: Coupling news sentiment with web browsing data predicts intra-day stock prices. (arXiv:1412.3948v1 [q-fin.ST])
- Published / Preprint: Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$. (arXiv:1412.4045v1 [q-fin.CP])
- Blog Post: TheAlephBlog: On Financial Risk Statements, Part 1
- Vendor News: Fidessa scoops Sell-Side Trading System of the Year at the FOW International awards
- Published / Preprint: Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model. (arXiv:1412.3623v1 [q-fin.CP])
- Blog Post: Falkenblog: Requisite Assumptions for the Persistence of the Low Volatility Anomaly
- Published / Preprint: 11Dec/Criteria for identifying "simple, transparent and comparable" securitisations: consultative document issued by the Basel Committee and IOSCO
- Published / Preprint: 11Dec/Revisions to the securitisation framework
- Vendor News: December 11, 2014 - SS&C GlobeOp Hedge Fund Performance Index: November performance 1.13%; Capital Movement Index: December net flows advance 0.43%
- Published / Preprint: Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets. (arXiv:1412.3126v1 [q-fin.ST])
- Published / Preprint: Multilevel approximation of backward stochastic differential equations. (arXiv:1412.3140v1 [math.PR])
- The Problem With Sentiment Analysis
- HP Will Release a “Revolutionary” New Operating System in 2015 | MIT Technology Review
| Blog Post: TheFinancialServicesClub: The Banking Paradox: even bankers want to move to fintech Posted: 16 Dec 2014 01:08 AM PST This post is stolen from Philippe Gelis's (CEO of Kantox) blog on LinkedIn, as it adds more insight to my similar post last week:read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Equilibrium in risk-sharing games. (arXiv:1412.4208v1 [q-fin.RM]) Posted: 15 Dec 2014 05:38 PM PST The paper studies equilibrium sharing of risk among limited number of strategically-behaved agents. We propose a Nash game where agents' strategic sets consist of all possible sharing securities and pricing kernels that are consistent with Arrow-Debreu sharing rules. First, it is shown that the best response problem of each agent admits a unique solution. The risk-sharing Nash equilibrium admits... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Dec 2014 05:38 PM PST We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the stochastic discount factor (SDF) in dynamic Markov environments. The approach is nonparametric in that it does not impose parametric restrictions on the law of motion of the state process. We propose sieve estimators of the eigenvalue-eigenfunction pair which are used... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On Pareto theory of circulation of elites. (arXiv:1412.4695v1 [q-fin.GN]) Posted: 15 Dec 2014 05:38 PM PST We prove that Pareto theory of circulation of elites results from our wealth evolution model, Kelly criterion for optimal betting and Keynes' observation of "animal spirits" that drive the economy and cause that human financial decisions are prone to excess risk-taking. Visit MoneyScience for the Complete Article.    |
| Posted: 15 Dec 2014 05:38 PM PST We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization. Applying tools from Conditional Analysis to the case of linear contracts we show that most results known in the literature for very specific instances of the problem carry over to translation invariant and time-consistent utility functions in very general... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Bitcoin and the Future of Money Posted: 15 Dec 2014 03:06 PM PST I'll be a hosting a free webcast featuring Andreas Antonopoulos this Wednesday. Author of the new book Mastering Bitcoin, Andreas has emerged as one of the most popular & eloquent proponents of cryptocurrencies and related technologies:Bitcoin technology is taking the world of finance by storm. Bitcoin and the blockchain technology that is at its core can be used to quickly build secure... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Turkey's Recipe to Escape the Middle-Income Trap Posted: 15 Dec 2014 08:16 AM PST By Gregorio Impavido and Uffe Mikkelsenread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT Posted: 15 Dec 2014 04:07 AM PST We consider an optimal investment problem with intermediate consumption and random endowment, in an incomplete semimartingale model of the financial market. We establish the key assertions of the utility maximization theory, assuming that both primal and dual value functions are finite in the interiors of their domains and that the random endowment at maturity can be dominated by the terminal... Visit MoneyScience for the Complete Article.    |
| meet-the-secs-brainy-new-crime-fighters-1418601581 Posted: 15 Dec 2014 03:04 AM PST Long outgunned by Wall Street's legions of Ph.D.s, the SEC is arming itself with quants http://t.co/Ex9MdBuQ8i @WSJmarkets — Scott Patterson (@pattersonscott)… Visit MoneyScience for the Complete Article.    |
| Open-Source Algorithmic Trading Platform Posted: 15 Dec 2014 03:04 AM PST Open-sourcing the QuantConnect algorithmic trading engine - https://t.co/FZeSjuPWDv #opensource #algorithmic #quant — QuantConnect (@QuantConnect) December 14,… Visit MoneyScience for the Complete Article.    |
| Posted: 15 Dec 2014 02:58 AM PST We consider the portfolio choice problem for a longâ€run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude toward risk, encoded by a linear drawdown constraint imposed on admissible wealth processes. We define the constrained numéraire property through the notion of expected relative... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONGâRUN INVESTMENTS Posted: 15 Dec 2014 01:58 AM PST When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitrageâ€free, frictionless, semimartingale model. As a consequence, optimal portfolios are robust to the perturbations in preferences induced by... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES Posted: 15 Dec 2014 01:37 AM PST In some options markets (e.g., commodities), options are listed with only a single maturity for each underlying. In others (e.g., equities, currencies), options are listed with multiple maturities. In this paper, we analyze a special class of pure jump Markov martingale models and provide an algorithm for calibrating such models to match the market prices of European options with multiple strikes... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Dec 2014 01:37 AM PST Lions and Musiela give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert and Mijatović and Urusov give necessary and sufficient conditions in the case of perfect correlation (). For financial applications, such as checking the martingale property of the stock price process in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: MODELâINDEPENDENT LOWER BOUND ON VARIANCE SWAPS Posted: 15 Dec 2014 01:37 AM PST It is well known that, under a continuity assumption on the price of a stock S, the realized variance of S for maturity T can be replicated by a portfolio of calls and puts maturing at T. This paper assumes that call prices on S maturing at T are known for all strikes but makes no continuity assumptions on S. We derive semiexplicit expressions for the supremum lower bound on the hedged payoff,... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Dec 2014 01:25 AM PST We develop two novel approaches to solving for the Laplace transform of a timeâ€changed stochastic process. We discard the standard assumption that the background process () is Lévy. Maintaining the assumption that the business clock () and the background process are independent, we develop two different series solutions for the Laplace transform of the timeâ€changed process . In fact, our... Visit MoneyScience for the Complete Article.    |
| Blog Post: Luigi.Ballabio: Odds and ends: indexes Posted: 14 Dec 2014 10:06 PM PST    |
| Posted: 14 Dec 2014 05:38 PM PST The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, information can be very heterogeneous in the importance, relevance, and surprise it conveys, affecting severely the predictive power of semantic and statistical methods. Here we show that the aggregation of web users'... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Dec 2014 05:37 PM PST In this paper a novel modification of the multilevel Monte Carlo approach, allowing for further significant complexity reduction, is proposed. The idea of the modification is to use the method of control variates to reduce variance at level zero. We show that, under a proper choice of control variates, one can reduce the complexity order of the modified MLMC algorithm down... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Financial Risk Statements, Part 1 Posted: 13 Dec 2014 04:56 AM PST Photo Credit: Chris Piascikread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Fidessa scoops Sell-Side Trading System of the Year at the FOW International awards Posted: 12 Dec 2014 12:56 AM PST    |
| Posted: 11 Dec 2014 05:30 PM PST Valuation of Credit Valuation Adjustment (CVA) has become an important field as its calculation is required in Basel III, issued in 2010, in the wake of the credit crisis. Exposure, which is defined as the potential future loss of a default event without any recovery, is one of the key elementsfor pricing CVA. This paper provides a backward dynamics framework for assessing exposure profiles of... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Requisite Assumptions for the Persistence of the Low Volatility Anomaly Posted: 11 Dec 2014 02:36 PM PST My new paper was motivated by Frazzini and Pedersen's model of the low volatility anomaly. Though I think it's profoundly wrong, I think it was done well in good faith. Wrong mainly because it still implies people think there's a positive Security Market Line, even though at best it's flat, and wrong also because high vol assets like puts lose just as much money as calls (ie, not linear in beta).... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Dec 2014 03:08 AM PST Press release about the Basel Committee releasing criteria for identifying "simple, transparent and comparable" securitisations (11 December 2014). Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 11Dec/Revisions to the securitisation framework Posted: 11 Dec 2014 03:08 AM PST Press release about the Basel Committee issuing revisions to the securitisation framework (11 December 2014). Visit MoneyScience for the Complete Article.    |
| Posted: 11 Dec 2014 01:06 AM PST    |
| Posted: 10 Dec 2014 05:37 PM PST We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study is 1997-2011. The stylized facts are related mostly to the probability distribution func- tion and the autocorrelation function (e.g. fat tails,... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Dec 2014 05:37 PM PST We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs sequential martingale control variates along a sequence of refining time-grids to reduce statistical approximation errors in an adaptive and generic way. We provide an error analysis with explicit and non-asymptotic... Visit MoneyScience for the Complete Article.    |
| The Problem With Sentiment Analysis Posted: 10 Dec 2014 03:20 AM PST Sobering article on how wrong some are getting it with sentiment analysis. http://t.co/13isssNq1h #bigdata #datascience #socialmedia — machine.yearning… Visit MoneyScience for the Complete Article.    |
| HP Will Release a “Revolutionary” New Operating System in 2015 | MIT Technology Review Posted: 10 Dec 2014 12:57 AM PST HP Will Release a "Revolutionary" New Operating System based on Memrister Tech in 2015 http://t.co/dJ743L4IiE — moneyscience (@moneyscience) December 10, 2014 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 | |