MoneyScience News

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• Blog Post: TheFinancialServicesClub: Predictions for 2015
• Published / Preprint: Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets. (arXiv:1501.00818v1 [q-fin.TR])
• Published / Preprint: Signs of dependence and heavy tails in non-life insurance data. (arXiv:1501.00833v1 [q-fin.RM])
• Published / Preprint: On a class of generalized Takagi functions with linear pathwise quadratic variation. (arXiv:1501.00837v1 [math.PR])
• Published / Preprint: A law of large numbers for limit order books. (arXiv:1501.00843v1 [q-fin.MF])
• Published / Preprint: Observing Each Other's Observations in the Electronic Mail Game. (arXiv:1501.00882v1 [q-fin.EC])
• 25 Interesting Observations About How Academics Use Twitter | The Acclaim Blog
• Vendor News: Infosys Prize celebrates the best in research across sciences and humanities
• The 2014 Algorithms Solving 2015's Problems
• Piketty: Bill Gates Told Me He Doesn't Want To Pay More In Taxes
• The worst argument against Thomas Piketty yet
• Stiglitz Blocked From SEC Panel After Faulting High-Speed Trades
• Bank of England minutes to lift lid on global financial crisis
• Published / Preprint: Optimal Selling Time of a Stock under Capital Gains Taxes. (arXiv:1501.00026v1 [q-fin.PM])
• Published / Preprint: A note on the spot-forward no-arbitrage relations in an investment-production model for commodities. (arXiv:1501.00273v1 [q-fin.MF])
• Published / Preprint: Minimizing the Probability of Ruin in Retirement. (arXiv:1501.00419v1 [q-fin.GN])
• Published / Preprint: Monetary Policy and Dark Corners in a stylized Agent-Based Model. (arXiv:1501.00434v1 [q-fin.EC])
• Vendor News: Okasan Securities selects Fidessa Smart Order Routing (SOR)
• How the Friendship Paradox Makes Your Friends Better Than You Are | MIT Technology Review
• [1411.1924] On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets
• Thomas Piketty rejects France award
• More bang for your buck
• Blog Post: PatrickBurns: US market portrait year 2014
• Blog Post: ThePracticalQuant: Apache Spark's journey from academia to industry
• Blog Post: iMFdirect: The Top Ten Blogs of 2014
• Published / Preprint: Towards a formalization of a two traders market with information exchange. (arXiv:1412.8725v1 [q-fin.MF])
• Published / Preprint: Derivatives pricing in energy markets: an infinite dimensional approach. (arXiv:1412.7943v1 [q-fin.MF])
• Published / Preprint: Adaptive Market Efficiency of Agricultural Commodity Futures Contracts. (arXiv:1412.8017v1 [q-fin.ST])
• Published / Preprint: Accounting for Earnings Announcements in the Pricing of Equity Options. (arXiv:1412.8414v1 [q-fin.PR])
• Published / Preprint: A new perspective on the fundamental theorem of asset pricing for large financial markets. (arXiv:1412.7562v1 [q-fin.MF])

Blog Post: TheFinancialServicesClub: Predictions for 2015 Posted: 06 Jan 2015 03:28 AM PST I always like to start the New Year by making a bunch of predictions, but have been beaten to it this year by the Financial Times.  Therefore, I will make some specific banking and technology predictions this week but, as I like to look at the economic and social changes in the year, the easier way to begin this is to use the FT’s columnists’ views and share my own opinions... Visit MoneyScience for the Complete Article.

Published / Preprint: Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets. (arXiv:1501.00818v1 [q-fin.TR]) Posted: 05 Jan 2015 05:37 PM PST In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market we employ econometric models to incorporate the EXAA price and compare them... Visit MoneyScience for the Complete Article.

Published / Preprint: Signs of dependence and heavy tails in non-life insurance data. (arXiv:1501.00833v1 [q-fin.RM]) Posted: 05 Jan 2015 05:37 PM PST In this paper we study data from the yearly reports the four major Swedish non-life insurers have sent to the Swedish Financial Supervisory Authority (FSA). We aim at finding marginal distributions of, and dependence between, losses on the five largest lines of business (LoBs) in order to create models for Solvency Capital Requirement (SCR) calculation. We try to use data in an optimal way by... Visit MoneyScience for the Complete Article.

Published / Preprint: On a class of generalized Takagi functions with linear pathwise quadratic variation. (arXiv:1501.00837v1 [math.PR]) Posted: 05 Jan 2015 05:37 PM PST We consider a class $\mathscr{X}$ of continuous functions on $[0,1]$ that is of interest from two different perspectives. First, it is closely related to sets of functions that have been studied as generalizations of the Takagi function. Second, each function in $\mathscr{X}$ admits a linear pathwise quadratic variation and can thus serve as an integrator in F\"ollmer's... Visit MoneyScience for the Complete Article.

Published / Preprint: A law of large numbers for limit order books. (arXiv:1501.00843v1 [q-fin.MF]) Posted: 05 Jan 2015 05:37 PM PST We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a simple scaling of the discreteness parameters, that keeps the expected volume rate over the considered price interval invariant, we prove a limit theorem. The limit theorem states that, given regularity... Visit MoneyScience for the Complete Article.

Published / Preprint: Observing Each Other's Observations in the Electronic Mail Game. (arXiv:1501.00882v1 [q-fin.EC]) Posted: 05 Jan 2015 05:37 PM PST We study a Bayesian coordination game where agents receive private information on the game's payoff structure. In addition, agents receive private signals on each other's private information. We show that once agents possess these different types of information, there exists a coordination game in the evaluation of this information. And even though the precisions of both signal types is... Visit MoneyScience for the Complete Article.

25 Interesting Observations About How Academics Use Twitter | The Acclaim Blog Posted: 05 Jan 2015 08:58 AM PST "25 Interesting Observations About How Academics Use Twitter" http://t.co/aqQvHyCq7o by @alisag1728 — Arthur Charpentier (@freakonometrics) January 5, 2015 Visit MoneyScience for the Complete Article.

Vendor News: Infosys Prize celebrates the best in research across sciences and humanities Posted: 05 Jan 2015 05:57 AM PST The Infosys Science Foundation (ISF) honors six of the finest scientists and researchers for their stellar contributions to science and research. The chief guest â€" Nobel laureate and Thomas W. Lamont University Professor at Harvard University, Prof. Amartya Sen, felicitated the winners across six prize categories including Engineering and Computer Science, Humanities, Life Sciences,... Visit MoneyScience for the Complete Article.

The 2014 Algorithms Solving 2015's Problems Posted: 05 Jan 2015 04:36 AM PST The 2014 Algorithms Solving 2015's Problems http://t.co/hlS80uS7Xe via @motherboard — Jean-François Puget (@JFPuget) January 5, 2015 Visit MoneyScience for the Complete Article.

Piketty: Bill Gates Told Me He Doesn't Want To Pay More In Taxes Posted: 05 Jan 2015 03:44 AM PST #Piketty: #BillGates Told Me He Doesn't Want To Pay More In Taxes http://t.co/ncOyxNHqT7 via @HuffPostBiz — Ruben Simon Oduber (@RubenOduber) January 5, 2015 Visit MoneyScience for the Complete Article.

The worst argument against Thomas Piketty yet Posted: 05 Jan 2015 03:44 AM PST Oof. If you're going to argue against Piketty, this is not the way to do it: http://t.co/9Dbkbvdk5t — Ezra Klein (@ezraklein) January 2, 2015 Visit MoneyScience for the Complete Article.

Stiglitz Blocked From SEC Panel After Faulting High-Speed Trades Posted: 05 Jan 2015 02:58 AM PST Stiglitz Blocked From SEC Panel After Faulting High-Speed Trades http://t.co/yYP2bnD7n3 — John Lothian (@JohnLothian) January 5, 2015 Visit MoneyScience for the Complete Article.

Bank of England minutes to lift lid on global financial crisis Posted: 05 Jan 2015 01:09 AM PST This should be interesting... Bank of England minutes to lift lid on global financial crisis http://t.co/1VK1AH5ZPu — moneyscience (@moneyscience) January 5,… Visit MoneyScience for the Complete Article.

Published / Preprint: Optimal Selling Time of a Stock under Capital Gains Taxes. (arXiv:1501.00026v1 [q-fin.PM]) Posted: 04 Jan 2015 05:41 PM PST We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from which she assumes that it has a lower expected return than the riskless bank account and determine the optimal stopping time at which she sells the stock to invest the proceeds in the bank account up to the maturity... Visit MoneyScience for the Complete Article.

Published / Preprint: A note on the spot-forward no-arbitrage relations in an investment-production model for commodities. (arXiv:1501.00273v1 [q-fin.MF]) Posted: 04 Jan 2015 05:41 PM PST Because of storability constraints, standard no-arbitrage arguments cannot be safely applied in markets of commodities such as energy. In this paper, we propose an alternative approach to justify the convergence of forward towards spot prices as time-to-maturity goes to zero. We show that the classical no-arbitrage relationship between spot and forward prices holds through the well-posedness of... Visit MoneyScience for the Complete Article.

Published / Preprint: Minimizing the Probability of Ruin in Retirement. (arXiv:1501.00419v1 [q-fin.GN]) Posted: 04 Jan 2015 05:41 PM PST Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into invest-and-harvest decumulation strategies has been conducted, but recommendations differ markedly. This has likely been a source of concern and confusion for the... Visit MoneyScience for the Complete Article.

Published / Preprint: Monetary Policy and Dark Corners in a stylized Agent-Based Model. (arXiv:1501.00434v1 [q-fin.EC]) Posted: 04 Jan 2015 05:41 PM PST We generalise the stylised macroeconomic Agent-Based model introduced in "Tipping Points in Macroeconomic Agent Based Models" [JEDC 50, 29-61 (2015)], with the aim of investigating the role and efficacy of monetary policy of a 'Central Bank', that sets the interest rate such as to steer the economy towards a prescribed inflation and unemployment level. Our major finding is that provided its... Visit MoneyScience for the Complete Article.

Vendor News: Okasan Securities selects Fidessa Smart Order Routing (SOR) Posted: 04 Jan 2015 05:06 PM PST

How the Friendship Paradox Makes Your Friends Better Than You Are | MIT Technology Review Posted: 03 Jan 2015 09:06 AM PST How the Friendship Paradox Makes Your Friends Better Than You Are http://t.co/i8Z7xVvz3m — moneyscience (@moneyscience) January 3, 2015 Visit MoneyScience for the Complete Article.

[1411.1924] On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets Posted: 03 Jan 2015 09:06 AM PST On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets http://t.co/ZQaWVWaWid via @moneyscience #Bitcoin #MarketRisk — D. Geromichalos… Visit MoneyScience for the Complete Article.

Thomas Piketty rejects France award Posted: 02 Jan 2015 04:09 AM PST Thomas Piketty rejects Legion D'Honneur http://t.co/Eq3jPKpgRt "I do not think it is the government's role to decide who is honourable" — Risk Management… Visit MoneyScience for the Complete Article.

More bang for your buck Posted: 02 Jan 2015 01:35 AM PST Prostitution and the internet - data and tech cast new light on old profession http://t.co/xOA26gLHRU — moneyscience (@moneyscience) January 2, 2015 Visit MoneyScience for the Complete Article.

Blog Post: PatrickBurns: US market portrait year 2014 Posted: 01 Jan 2015 03:18 AM PST US large cap market returns.read more... Visit MoneyScience for the Complete Article.

Blog Post: ThePracticalQuant: Apache Spark's journey from academia to industry Posted: 31 Dec 2014 09:06 AM PST Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.

Blog Post: iMFdirect: The Top Ten Blogs of 2014 Posted: 31 Dec 2014 07:47 AM PST by iMFdirectread more... Visit MoneyScience for the Complete Article.

Published / Preprint: Towards a formalization of a two traders market with information exchange. (arXiv:1412.8725v1 [q-fin.MF]) Posted: 30 Dec 2014 05:38 PM PST This paper shows that Hamiltonians and operators can also be put to good use even in contexts which are not purely physics based. Consider the world of finance. The work presented here {models a two traders system with information exchange with the help of four fundamental operators: cash and share operators; a portfolio operator and an operator reflecting the loss of information. An information... Visit MoneyScience for the Complete Article.

Published / Preprint: Derivatives pricing in energy markets: an infinite dimensional approach. (arXiv:1412.7943v1 [q-fin.MF]) Posted: 29 Dec 2014 05:49 PM PST Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to propose stochastic models. Forward prices can be represented as linear functions on a Hilbert space, and options can thus be viewed as derivatives on the whole... Visit MoneyScience for the Complete Article.

Published / Preprint: Adaptive Market Efficiency of Agricultural Commodity Futures Contracts. (arXiv:1412.8017v1 [q-fin.ST]) Posted: 29 Dec 2014 05:49 PM PST In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the moments in which the nonlinear serial dependence, and therefore adaptive market... Visit MoneyScience for the Complete Article.

Published / Preprint: Accounting for Earnings Announcements in the Pricing of Equity Options. (arXiv:1412.8414v1 [q-fin.PR]) Posted: 29 Dec 2014 05:49 PM PST We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On the announcement date, we incorporate a random jump to the stock price to represent the shock due to earnings. We consider different distributions of the scheduled earnings jump as well as different underlying... Visit MoneyScience for the Complete Article.

Published / Preprint: A new perspective on the fundamental theorem of asset pricing for large financial markets. (arXiv:1412.7562v1 [q-fin.MF]) Posted: 24 Dec 2014 05:38 PM PST In the context of large financial markets we formulate the notion of "no asymptotic free lunch with vanishing risk" (NAFLVR), under which we can prove a version of the fundamental theorem of asset pricing (FTAP) in markets with an (even uncountably) infinite number of assets, as it is for instance the case in bond markets. We work in the general setting of admissible portfolio wealth processes as... Visit MoneyScience for the Complete Article.

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