MoneyScience News |
- http://www.stat.columbia.edu/~gelman/research/published/yalecausal2.pdf
- City’s status as stolen-money haven a stain on UK, says ex-regulator MP
- MarketPsych Report
- A paper by Maggie Simpson and Edna Krabappel was accepted by two scientific journals
- Buoyant yet fragile?
- Data Science is real » Big Data needs Data Science but Data Science doesn’t need Big Data
- Blog Post: TheFinancialServicesClub: Why Apple Pay will win (Part 2)
- Published / Preprint: Reserve-Dependent Surrender. (arXiv:1412.1991v1 [q-fin.MF])
- Published / Preprint: Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games. (arXiv:1412.2053v1 [math.PR])
- Published / Preprint: Competition of Commodities for the Status of Money in an Agent-based Model. (arXiv:1412.2124v1 [q-fin.ST])
- Blog Post: Falkenblog: History of Low Volatility Investing
- Published / Preprint: 07Dec/December 2014 Quarterly Review: Buoyant yet fragile?
- Blog Post: WealthandCapitalMarketsBlog: Automated Investing 1.0
- Published / Preprint: Size Anomalies in U.S. Bank Stock Returns
- Published / Preprint: 05Dec/Assessment of Basel capital regulations in European Union concluded by the Basel Committee
- Published / Preprint: 05Dec/Assessment of Basel capital regulations in the United States concluded by the Basel Committee
- Published / Preprint: Spanning trees of the World Trade Web: real-world data and the gravity model of trade. (arXiv:1412.1618v1 [physics.soc-ph])
- Published / Preprint: Stess-testing the system: Financial shock contagion in the realm of uncertainty. (arXiv:1412.1679v1 [q-fin.RM])
| http://www.stat.columbia.edu/~gelman/research/published/yalecausal2.pdf Posted: 08 Dec 2014 01:10 AM PST "Experimental reasoning in social science" http://t.co/euDiyOBhm3 via http://t.co/5Uwx1YEtiv — Arthur Charpentier (@freakonometrics) December 8, 2014 Visit MoneyScience for the Complete Article.      |
| City’s status as stolen-money haven a stain on UK, says ex-regulator MP Posted: 08 Dec 2014 01:10 AM PST Money laundering is going to be something of a theme here at MoneyScience in the coming weeks. http://t.co/2rfbWaqTcw — moneyscience (@moneyscience) December… Visit MoneyScience for the Complete Article.    |
| Posted: 08 Dec 2014 01:10 AM PST MarketPsych Report: Leadership Psychology and Investing - Buy the Accused, Sell the Acclaimed http://t.co/hd1MavqNxy — MarketPsychData (@marketpsychdata)… Visit MoneyScience for the Complete Article.    |
| A paper by Maggie Simpson and Edna Krabappel was accepted by two scientific journals Posted: 08 Dec 2014 01:10 AM PST Paper by Maggie Simpson and Edna Krabappel accepted by two scientific journals. @voxdotcom http://t.co/N3ieB0Cw3F http://ift.tt/1vsWN85 — Shit Academics Say… Visit MoneyScience for the Complete Article.    |
| Posted: 08 Dec 2014 01:10 AM PST RT @BIS_org: Flip-flopping "risk-on risk-off" sentiment in financial markets suggests underlying fragility - http://t.co/HZBDncgMNo — D. Geromichalos ScD… Visit MoneyScience for the Complete Article.    |
| Data Science is real » Big Data needs Data Science but Data Science doesn’t need Big Data Posted: 08 Dec 2014 01:10 AM PST Data Science is real Big Data needs Data Science but Data Science doesnt need Big Data http://t.co/OhQOMyT3Ay #tech #innovation #ai — Alexander Beck… Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Why Apple Pay will win (Part 2) Posted: 08 Dec 2014 12:47 AM PST On Friday, I said that Apple Pay would be the mobile wallet of choice and here’s why, but it was a half-finished blog as it really just outlined the ecosystem and endorsements Apple Pay was receiving, rather than the vision of where it is or could be going. That’s why a few people tweeted to me that it wasn’t actually anything that new. That’s almost a case I agree with as,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Reserve-Dependent Surrender. (arXiv:1412.1991v1 [q-fin.MF]) Posted: 07 Dec 2014 05:38 PM PST We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder. We present a method that is based on differential equations and that can be used to approximate contract values when policyholders exhibit optimal behaviour.... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Dec 2014 05:38 PM PST We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle $L$ and the upper obstacle $U$ of the equation are completely separated, we construct a unique solution of the doubly reflected BSDE by pasting local solutions and show that the $Y-$component of the unique solution represents the value... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Dec 2014 05:38 PM PST In this model study of the commodity market, we present some evidence of competition of commodities for the status of money in the regime of parameters, where emergence of money is possible. The competition reveals itself as a rivalry of a few (typically two) dominant commodities, which take the status of money in turn. Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: History of Low Volatility Investing Posted: 07 Dec 2014 03:25 PM PST I saw this story in Bloomberg magazine a couple weeks ago, so I decided to speak with Ric Bratton again on the history of the low volatility effect. I wanted to speak more about other people's work, especially Ed Miller and Bob Haugen, but somehow we missed that (it's one take and he leads). In any case, here it is. The risk premium is central to Asset Pricing Theory, one of the main... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 07Dec/December 2014 Quarterly Review: Buoyant yet fragile? Posted: 07 Dec 2014 03:07 AM PST BIS Quarterly Review - 7 December 2014 (BIS Press Release) Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Automated Investing 1.0 Posted: 06 Dec 2014 08:47 AM PST My recent report, Disrupting the Disruptors: RIAs, Online Brokers, and the Challenge to the Automated Investment Advisors, looks at the accelerating cycle of disruption that characterizes wealth management today, in which traditional, advisor-centric providers are coming under pressure from technology-based market entrants, which in turn prove vulnerable to disintermediation themselves.read... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Size Anomalies in U.S. Bank Stock Returns Posted: 05 Dec 2014 03:16 AM PST The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has the right covariance with bank... Visit MoneyScience for the Complete Article.    |
| Posted: 05 Dec 2014 01:36 AM PST Press release about the Basel Committee concluding assessment of Basel capital regulations in European Union (5 December 2014) Visit MoneyScience for the Complete Article.    |
| Posted: 05 Dec 2014 01:36 AM PST Press release about the Basel Committee concluding assessment of Basel capital regulations in the United States (5 December 2014) Visit MoneyScience for the Complete Article.    |
| Posted: 04 Dec 2014 05:37 PM PST In this paper, we investigate the statistical features of the weighted international-trade network. By finding the maximum weight spanning trees for this network we make the extraction of the truly relevant connections forming the network's backbone. We discuss the role of large-sized countries (strongest economies) in the tree. Finally, we compare the topological properties of this backbone to... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Dec 2014 05:37 PM PST This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion algorithm on three ensembles of networks with increasing density, estimated from real-world banking data related to the largest 227 EU15 financial institutions... Visit MoneyScience for the Complete Article.    |
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