MoneyScience News |
- Blog Post: PatrickBurns: US market portrait 2014 week 51
- Published / Preprint: 19Dec/Review of the trading book: consultative document on remaining issues published by the Basel Committee
- Video - Marco Avellaneda: "The Era Of The Pure Quant Is Over" - MoneyScience's blog - MoneyScience
- Victor Ricciardi talks about his book Investor Behavior: The Psychology of Financial Planning and Investing - MoneyScience's blog - MoneyScience
- Interview with Cyril Demaria, author of Introduction to Private Equity: Venture, Growth, LBO and Turn-Around Capital, 2nd Edition - MoneyScience's blog - MoneyScience
- MoneyScience interviews Ciby Joseph, author of Advanced Credit Risk Analysis and Management - MoneyScience's blog - MoneyScience
- http://t.co/iFLpKXLmcJ
- Season's Greetings from the Team at MoneyScience
- Blog Post: TheFinancialServicesClub: Things worth reading: 19th December 2014
- Vendor News: December 19, 2014 - SS&C GlobeOp Forward Redemption Indicator: December notifications 5.87%
- Published / Preprint: Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method. (arXiv:1412.6064v1 [cs.CE])
- Blog Post: ThePracticalQuant: Clustering bitcoin accounts using heuristics
- Published / Preprint: TUGâOFâWAR, MARKET MANIPULATION, AND OPTION PRICING
- Published / Preprint: NOâARBITRAGE IN A NUMÃRAIREâINDEPENDENT MODELING FRAMEWORK
- Published / Preprint: REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Why Are Commodity Prices Falling?
- Move over Monopoly: Market Meltdown game is the hit with Chelsea bankers
- Bankers See $1 Trillion of Investments Stranded in the Oil Fields
- Economists Say Newest AI Technology Destroys More Jobs Than It Creates - Slashdot
- Corning Bets It Can Reinvent Glass Again | MIT Technology Review
- Published / Preprint: Efficient XVA Management: Computation, Hedging, and Attribution using Trade-Level Regression and Global Conditioning. (arXiv:1412.5332v1 [q-fin.CP])
- Published / Preprint: A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models. (arXiv:1412.5351v1 [stat.AP])
- Published / Preprint: Comprehensive Time-Series Regression Models Using GRETL---U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013. (arXiv:1412.5397v1 [q-fin.EC])
- Published / Preprint: Aggregation operators for the measurement of systemic risk. (arXiv:1412.5452v1 [q-fin.GN])
- Published / Preprint: Backtest of Trading Systems on Candle Charts. (arXiv:1412.5558v1 [q-fin.TR])
| Blog Post: PatrickBurns: US market portrait 2014 week 51 Posted: 20 Dec 2014 03:35 AM PST US large cap market returns. read more... Visit MoneyScience for the Complete Article.      |
| Posted: 19 Dec 2014 05:26 AM PST Press release about the Basel Committee issuing consultative document on remaining issues related to its review of the trading book (19 December 2014). Visit MoneyScience for the Complete Article.    |
| Video - Marco Avellaneda: "The Era Of The Pure Quant Is Over" - MoneyScience's blog - MoneyScience Posted: 19 Dec 2014 05:03 AM PST Popular MoneyScience 2014: Video - Marco Avellaneda: "The Era Of The Pure #Quant Is Over" http://t.co/K6kdjZqUWD — moneyscience (@moneyscience) December 19,… Visit MoneyScience for the Complete Article.    |
| Posted: 19 Dec 2014 04:30 AM PST Popular MoneyScience 2014: Victor Ricciardi on Investor Behavior: The Psychology of Financial Planning and Investing -http://t.co/Er4jv4v5rV — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 19 Dec 2014 04:30 AM PST Popular MoneyScience 2014: Cyril Demaria on Private Equity: Venture, Growth, LBO and Turn-Around Capital - http://t.co/MGJUtAkdvj — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 19 Dec 2014 04:30 AM PST Popular MoneyScience 2014: Ciby Joseph on Advanced Credit #Risk Analysis and Management - http://t.co/rxChHKsFbT — moneyscience (@moneyscience) December 19,… Visit MoneyScience for the Complete Article.    |
| Posted: 19 Dec 2014 04:29 AM PST Popular MoneyScience 2014: Jon Gregory on Central Counterparties & OTC #Derivatives http://t.co/iFLpKXLmcJ — moneyscience (@moneyscience) December 19, 2014 Visit MoneyScience for the Complete Article.    |
| Season's Greetings from the Team at MoneyScience Posted: 19 Dec 2014 03:40 AM PST Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading: 19th December 2014 Posted: 19 Dec 2014 02:37 AM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Dec 2014 01:31 AM PST    |
| Posted: 18 Dec 2014 05:37 PM PST The most recent update of financial option models is American options under stochastic volatility models with jumps in returns (SVJ) and stochastic volatility models with jumps in returns and volatility (SVCJ). To evaluate these options, mesh-based methods are applied in a number of papers but it is well-known that these methods depend strongly on the mesh properties which is the major... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Clustering bitcoin accounts using heuristics Posted: 18 Dec 2014 03:07 PM PST Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: TUGâOFâWAR, MARKET MANIPULATION, AND OPTION PRICING Posted: 18 Dec 2014 12:37 PM PST We develop an option pricing model based on a tugâ€ofâ€war game. This twoâ€player zeroâ€sum stochastic differential game is formulated in the context of a multidimensional financial market. The issuer and the holder try to manipulate asset price processes in order to minimize and maximize the expected discounted reward. We prove that the game has a value and that the value function is the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: NOâARBITRAGE IN A NUMÃRAIREâINDEPENDENT MODELING FRAMEWORK Posted: 18 Dec 2014 12:37 PM PST The classic approach to modeling financial markets consists of four steps. First, one fixes a currency unit. Second, one describes in that unit the evolution of financial assets by a stochastic process. Third, one chooses in that unit a numéraire, usually the price process of a positive asset. Fourth, one divides the original price process by the numéraire and considers the class of admissible... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING Posted: 18 Dec 2014 12:37 PM PST In this paper, we examine irreversible investment decisions in duopoly games with a variable economic climate. Integrating timing flexibility, competition, and changes in the economic environment in the form of a cash flow process with regime switching, the problem is formulated as a stoppingâ€time game under Stackelberg leaderâ€follower competition, in which both players determine their... Visit MoneyScience for the Complete Article.    |
| Why Are Commodity Prices Falling? Posted: 18 Dec 2014 09:07 AM PST Why Are Commodity Prices Falling? by Jeffrey Frankel - @prosyn http://t.co/c1H36bvuF8 — moneyscience (@moneyscience) December 18, 2014 Visit MoneyScience for the Complete Article.    |
| Move over Monopoly: Market Meltdown game is the hit with Chelsea bankers Posted: 18 Dec 2014 05:39 AM PST John Lewis reports strong sales of 'Market Meltdown' Board Game in which players start rich & try to stay solvent http://t.co/SUEUEeqtI8 — moneyscience… Visit MoneyScience for the Complete Article.    |
| Bankers See $1 Trillion of Investments Stranded in the Oil Fields Posted: 18 Dec 2014 02:44 AM PST Goldman Sachs estimates almost $1 trillion in investments in future #oil projects at risk http://t.co/bAoGOoFm85 — Pedro da Costa (@pdacosta) December 18,… Visit MoneyScience for the Complete Article.    |
| Economists Say Newest AI Technology Destroys More Jobs Than It Creates - Slashdot Posted: 18 Dec 2014 02:28 AM PST Economists Say Newest AI Technology Destroys More Jobs Than It Creates http://t.co/zmiofwhzdP — moneyscience (@moneyscience) December 18, 2014 Visit MoneyScience for the Complete Article.    |
| Corning Bets It Can Reinvent Glass Again | MIT Technology Review Posted: 18 Dec 2014 02:13 AM PST Founded in 1851, Glassmaker Corning spends about 8% of its sales on R&D & they have some interesting apps in dev http://t.co/goaym5waVF — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 17 Dec 2014 05:37 PM PST Banks must manage the lifetime costs of XVA, i.e. credit (CVA), funding (including funding of initial margins, FVA and MVA), capital (KVA) and tax (TVA). Management includes hedging (requiring first- and second-order sensitivities), attribution (and re-attribution), and incremental changes together with their interactions. Incremental management is required throughout the trading day for multiple... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Dec 2014 05:37 PM PST This paper presents a cross-country comparison of significant predictors of small business failure between Italy and the UK. Financial measures of profitability, leverage, coverage, liquidity, scale and non-financial information are explored, some commonalities and differences are highlighted. Several models are considered, starting with the logis- tic regression which is a standard approach in... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Dec 2014 05:37 PM PST Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time series of GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013. The... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Dec 2014 05:37 PM PST The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of financial supervisors. The model builds on the decomposition of systemic risk into a number of interconnected segments, for which the level of vulnerability is... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Backtest of Trading Systems on Candle Charts. (arXiv:1412.5558v1 [q-fin.TR]) Posted: 17 Dec 2014 05:37 PM PST In this paper we try to design the necessary calculation needed for backtesting trading systems when only candle chart data are available. We lay particular emphasis on situations which are not or not uniquely decidable and give possible strategies to handle such situations. Visit MoneyScience for the Complete Article.    |
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