MoneyScience News |
- Blog Post: TheFinancialServicesClub: Moore's Law for Banking Services (and any other)
- Published / Preprint: Investor Attention and Stock Market Volatility
- Published / Preprint: Weather-Induced Mood, Institutional Investors, and Stock Returns
- Published / Preprint: The Implicit Costs of Trade Credit Borrowing by Large Firms
- Published / Preprint: Shadow Banking and Bank Capital Regulation
- Published / Preprint: Securitization and the Fixed-Rate Mortgage
- Published / Preprint: Regression Discontinuity and the Price Effects of Stock Market Indexing
- Published / Preprint: Feedback Trading between Fundamental and Nonfundamental Information
- Published / Preprint: Optimal execution with nonlinear transient market impact. (arXiv:1412.4839v1 [q-fin.TR])
- Published / Preprint: Convenient liquidity measure for Financial markets. (arXiv:1412.5072v1 [q-fin.TR])
- Blog Post: ThePracticalQuant: Regulation and decentralization: Defending the blockchain
- Blog Post: iMFdirect: Moving On Up: The Growth Story of Frontier Economies
- Is C Still Relevant in the 21st Century? - Dice News
| Blog Post: TheFinancialServicesClub: Moore's Law for Banking Services (and any other) Posted: 17 Dec 2014 01:07 AM PST There’s the famous old law of computing observed by Gordon Moore fifty years ago that compute power will double every two years whilst the cost will halve. It’s stayed pretty much true, as evidenced by this chart:read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Investor Attention and Stock Market Volatility Posted: 16 Dec 2014 09:45 PM PST We investigate, in a theoretical framework, the joint role played by investors' attention to news and learning uncertainty in determining asset prices. The model provides two main predictions. First, stock return variance and risk premia increase with both attention and uncertainty. Second, this increasing relationship is quadratic. We empirically test these two predictions, and we show that the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Weather-Induced Mood, Institutional Investors, and Stock Returns Posted: 16 Dec 2014 09:45 PM PST This study shows that weather-based indicators of mood impact perceptions of mispricing and trading decisions of institutional investors. Using survey and disaggregated trade data, we show that relatively cloudier days increase perceived overpricing in individual stocks and the Dow Jones Industrial Index and increase selling propensities of institutions. We introduce stock-level measures of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Implicit Costs of Trade Credit Borrowing by Large Firms Posted: 16 Dec 2014 09:45 PM PST We examine a novel, but economically important, characterization of trade credit relationships in which large investment-grade buyers borrow from their smaller suppliers. Using a matched sample of large retail buyers and their much smaller suppliers, we find that slower payment terms by large retailers are associated with lower investment at the supplier level. The effects are sharpest during... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Shadow Banking and Bank Capital Regulation Posted: 16 Dec 2014 09:45 PM PST Banks are subject to capital requirements because their privately optimal leverage is higher than the socially optimal one. This is in turn because banks fail to internalize all costs that their insolvency creates for agents who use their money-like liabilities to settle transactions. If banks can bypass capital regulation in an opaque shadow banking sector, it may be optimal to relax capital... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Securitization and the Fixed-Rate Mortgage Posted: 16 Dec 2014 09:45 PM PST Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. We show that the FRM market share is sharply lower when mortgages are difficult to securitize, exploiting plausibly exogenous variation in access to liquid securitization markets generated by a regulatory cutoff and time variation in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Regression Discontinuity and the Price Effects of Stock Market Indexing Posted: 16 Dec 2014 09:45 PM PST The Russell 1000 and 2000 stock indexes comprise the first 1000 and next 2000 largest firms ranked by market capitalization. Small changes in the capitalizations of firms ranked near 1000 move them between these indexes. Because the indexes are value-weighted, more money tracks the largest stocks in the Russell 2000 than the smallest in the Russell 1000. Using this discontinuity, we find that... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Feedback Trading between Fundamental and Nonfundamental Information Posted: 16 Dec 2014 09:45 PM PST We develop a strategic trading model in which an insider exploits noise traders' overreaction. A feedback effect arises from the insider's trading on fundamental information (the expected growth rate of dividends) and nonfundamental information (insider's inventory or noise supply). We find that the stock price is not fully revealing; a faster mean-reverting noise supply leads to a more volatile... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Dec 2014 05:37 PM PST We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the expected execution cost. We find that the optimal solution is front loaded for concave impact and that its expected cost is significantly lower than that of... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Dec 2014 05:37 PM PST A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a time scaling mechanism. The link between LIX and the liquidity measure based on weighted average bid-ask spread is established. Using this liquidity measure, an elementary liquidity algebra is possible: from the... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Regulation and decentralization: Defending the blockchain Posted: 16 Dec 2014 10:17 AM PST [A version of this post appears on the O'Reilly Radar blog.]Editor's note: our O'Reilly Radar Summit: Bitcoin & the Blockchain will take place on January 17, 2015, at Fort Mason in San Francisco. Andreas Antonopoulos, Vitalik Buterin, Naval Ravikant, and Bill Janeway are but a few of the confirmed speakers for the event. Learn more about the event and reserve your ticket here.We recently... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Moving On Up: The Growth Story of Frontier Economies Posted: 16 Dec 2014 08:37 AM PST By Min Zhuread more... Visit MoneyScience for the Complete Article.    |
| Is C Still Relevant in the 21st Century? - Dice News Posted: 09 Dec 2014 04:14 AM PST Is C Still Relevant in the 21st Century? http://t.co/g54g3JJYUO — moneyscience (@moneyscience) December 9, 2014 Visit MoneyScience for the Complete Article.    |
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