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- Vendor News: Infosys to set up model âsmart cityâ to demonstrate advances in urban development
- Derivatives markets brace for Basel III margin crunch in 2015 » Banking Technology
- Explaining How Economists Explain
- Vendor News: January 14, 2015 - SS&C GlobeOp Hedge Fund Performance Index: December performance 0.11%; Capital Movement Index: January net flows decline 2.95%
- Blog Post: TheFinancialServicesClub: Europe's regulatory jumble is still a puzzle to unfold
- Blog Post: WealthandCapitalMarketsBlog: Automated Investing: Not Just Passive ETFs
- Published / Preprint: Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?. (arXiv:1501.02947v1 [q-fin.ST])
- Published / Preprint: Non-concave utility maximisation on the positive real axis in discrete time. (arXiv:1501.03123v1 [q-fin.MF])
- Waterloo and the world’s first high-speed trader | TheTally - comment and analysis from Financial News | efinancialnews.com
- Leave fossil fuels buried to prevent climate change, study urges
- The Surprising – and Blatantly Obvious – Risk of the Winklevoss Bitcoin ETF
- What David Cameron just proposed would endanger every Briton and destroy the IT industry
- Dark Pools and High Frequency Trading For Dummies with Jay Vaananen - MoneyScience's blog - MoneyScience
- Published / Preprint: The Golden Target: Analyzing the Tracking Performance of Gold Leveraged ETFs. (arXiv:1501.02276v1 [q-fin.ST])
- Published / Preprint: Robust Inference of Risks of Large Portfolios. (arXiv:1501.02382v1 [math.ST])
- Published / Preprint: The 20-60-20 Rule. (arXiv:1501.02513v1 [math.PR])
- Published / Preprint: Self-Financing Trading and the Ito-Doeblin Lemma. (arXiv:1501.02750v1 [q-fin.PR])
- Active Management in the World of Automated Investing - Wealth and Capital Markets Blog's blog - MoneyScience
- MoneyScience: MoneyScience's event: GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi
- Blog Post: iMFdirect: Inclusive Growth=Stability
- Published / Preprint: Shortfall Deviation Risk. (arXiv:1501.02007v1 [q-fin.RM])
- Published / Preprint: Analyses of Statistical Structures in Economic Indices. (arXiv:1501.02216v1 [q-fin.ST])
- Published / Preprint: Multiplicative Limit Order Markets with Transient Impact and Zero Spread. (arXiv:1501.01892v1 [math.OC])
- Published / Preprint: On financial applications of the two-parameter Poisson-Dirichlet distribution. (arXiv:1501.01954v1 [q-fin.MF])
- Published / Preprint: Strategic Investment and Industry Risk Dynamics
- Published / Preprint: Corporate Investment and Stock Market Listing: A Puzzle?
- Published / Preprint: Capital Supply Uncertainty, Cash Holdings, and Investment
- Published / Preprint: Are Mutual Funds Active Voters?
- Published / Preprint: Ownership Structure, Voting, and Risk
- Published / Preprint: Labor Protection and Leverage
| Posted: 14 Jan 2015 03:47 AM PST Infosys announced its commitment to investing and developing its Mysore campus as a ‘smart city’. The company will also lend its expertise in the areas of smart infrastructure planning and sustainable building technology to the Ministry of Urban Development. Visit MoneyScience for the Complete Article.      |
| Derivatives markets brace for Basel III margin crunch in 2015 » Banking Technology Posted: 14 Jan 2015 03:26 AM PST Derivatives markets brace for Basel III margin crunch in 2015 http://t.co/PrFzA2H5nd via @EurexGroup — D. Geromichalos ScD (@dg_risk) January 14, 2015 Visit MoneyScience for the Complete Article.    |
| Explaining How Economists Explain Posted: 14 Jan 2015 03:26 AM PST "Explaining How Economists Explain" http://t.co/3FYodNWAQt by @Mark__Buchanan — Arthur Charpentier (@freakonometrics) January 13, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2015 01:07 AM PST    |
| Blog Post: TheFinancialServicesClub: Europe's regulatory jumble is still a puzzle to unfold Posted: 14 Jan 2015 12:07 AM PST In our annual opening meeting at the Financial Services Club David Doyle, Policy Adviser on all matters to do with EU Regulations, gave us a swift canter through the key headlines in European financial markets focus for 2015.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Automated Investing: Not Just Passive ETFs Posted: 13 Jan 2015 07:20 PM PST An investment management firm launches an actively managed automated investments platform and calls it pioneering. Automated competitors call this a dangerous heresy: portfolio management by algorithm and active money management should not mix!read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Jan 2015 05:37 PM PST In this note, we investigate possible relationships between the bivariate Hurst exponent $H_{xy}$ and an average of the separate Hurst exponents $\frac{1}{2}(H_x+H_y)$. We show that two cases are well theoretically founded. These are the cases when $H_{xy}=\frac{1}{2}(H_x+H_y)$ and $H_{xy}<\frac{1}{2}(H_x+H_y)$. However, we show that the case of $H_{xy}>\frac{1}{2}(H_x+H_y)$... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Jan 2015 05:37 PM PST We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios. Visit MoneyScience for the Complete Article.    |
| Posted: 13 Jan 2015 06:24 AM PST Waterloo and the world's first high-speed trader http://t.co/MhtFthAMAB — Holly A. Bell (@HollyBell8) January 13, 2015 Visit MoneyScience for the Complete Article.    |
| Leave fossil fuels buried to prevent climate change, study urges Posted: 13 Jan 2015 05:28 AM PST This is going to be a major topic for 2015: Fossil Fuel Economics - http://t.co/FGp55TgkVS — Risk Management (@Risk_Mgmt) January 13, 2015 Visit MoneyScience for the Complete Article.    |
| The Surprising – and Blatantly Obvious – Risk of the Winklevoss Bitcoin ETF Posted: 13 Jan 2015 04:01 AM PST The Surprising – and Blatantly Obvious – Risk of the Winklevoss #Bitcoin ETF http://t.co/iUy0XqR6NN — moneyscience (@moneyscience) January 13, 2015 Visit MoneyScience for the Complete Article.    |
| What David Cameron just proposed would endanger every Briton and destroy the IT industry Posted: 13 Jan 2015 03:05 AM PST The great @doctorow efficiently making @David_Cameron look very silly over proposed crypto-ban http://t.co/L4eeYf1SHT http://ift.tt/1z4Koim — Mikey Smith… Visit MoneyScience for the Complete Article.    |
| Posted: 13 Jan 2015 02:13 AM PST My interview with @BankersUmbrella on his new book Dark Pools & High Frequency Trading For Dummies http://t.co/UQuuCiujUq @wiley_finance — Hedge Fund Focus… Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jan 2015 05:47 PM PST This paper studies the empirical tracking performance of gold leveraged ETFs, and their price relationships with gold spot and futures. For tracking the gold spot, we find that our optimized portfolios with short-term gold futures are highly effective in replicating prices. The market-traded gold ETF (GLD) also exhibits a similar tracking performance. However, we show that gold leveraged ETFs... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Robust Inference of Risks of Large Portfolios. (arXiv:1501.02382v1 [math.ST]) Posted: 12 Jan 2015 05:47 PM PST We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and quantile-based estimators, and can be viewed as a robust extension of the H-CLUB method (Fan et al., 2015). Such an extension allows us to handle possibly misspecified models and heavy-tailed data. Under mixing conditions,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The 20-60-20 Rule. (arXiv:1501.02513v1 [math.PR]) Posted: 12 Jan 2015 05:47 PM PST In this paper we provide a mathematical illustration to an empirical fuzzy phenomena known as 20-60-20 rule. In particular we show that if a random vector follows multivariate normal distribution and we split the whole population into three groups, then this fixed ratio leads to a global equilibrium state. Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jan 2015 05:47 PM PST The objective of the note is to remind readers on how self-financing works in Quantitative Finance. The authors have observed continuing uncertainty on this issue which may be because it lies exactly at the intersection of stochastic calculus and finance. The concept of a self-financing trading strategy was originally, and carefully, introduced in (Harrison and Kreps 1979) and expanded very... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jan 2015 11:00 AM PST .@Celent_Research - Active Management in the World of Automated Investing http://t.co/SQMD9vK9gm — moneyscience (@moneyscience) January 9, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jan 2015 11:00 AM PST GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi - MoneyScience training course Feb 25-27 London http://t.co/BpU4TpDWpe — moneyscience… Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Inclusive Growth=Stability Posted: 12 Jan 2015 08:08 AM PST By iMFdirectread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Shortfall Deviation Risk. (arXiv:1501.02007v1 [q-fin.RM]) Posted: 11 Jan 2015 05:37 PM PST We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occur with certain probability penalized by the dispersion of results worse than such expectation. The SDR combines the Expected Shortfall (ES) and the Shortfall Deviation (SD), which we also introduce, contemplating the two fundamental pillars of the risk concept, the probability of adverse... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jan 2015 05:37 PM PST The complex, time-dependent statistical structures observed in the Dow Jones Industrial Average on a typical trading day are modeled with Lorentzian functions. The resonant-like structures are characterized by the values of the basic ratio: the average lifetime of the individual states associated with a given structural form divided by the average interval between adjacent states. Values of the... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Jan 2015 05:38 PM PST We study a multiplicative limit order book model for an illiquid market, where price impact by large orders is multiplicative in relation to the current price, transient over time, and non-linear in volume (market) impact. Order book shapes are specified by general density functions with respect to relative price perturbations. Market impact is mean reverting with possibly non-linear resilience.... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Jan 2015 05:38 PM PST Capital distribution curve is defined as log-log plot of normalized stock capitalizations ranked in descending order. The curve displays remarkable stability over periods of time. read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Strategic Investment and Industry Risk Dynamics Posted: 08 Jan 2015 05:16 PM PST This paper characterizes how firms' strategic interaction in product markets affects the industry dynamics of investment and expected returns. In imperfectly competitive industries, a firm's exposure to systematic risk is affected by both its own investment strategy and the investment strategies of its peers, so that the dynamics of its expected returns depend on the intraindustry value spread.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Corporate Investment and Stock Market Listing: A Puzzle? Posted: 08 Jan 2015 05:15 PM PST We investigate whether short-termism distorts the investment decisions of stock market-listed firms. To do so, we compare the investment behavior of observably similar public and private firms, using a new data source on private U.S. firms and assuming for identification that closely held private firms are subject to fewer short-termist pressures. Our results show that compared with private... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Capital Supply Uncertainty, Cash Holdings, and Investment Posted: 08 Jan 2015 05:15 PM PST We develop a dynamic model of investment, financing, and cash management decisions in which investment is lumpy and firms face capital supply uncertainty. We characterize optimal policies explicitly, demonstrate that smooth-pasting conditions may not guarantee optimality, and show that firms may not follow standard single barrier policies. In the model, firms with high investment costs differ in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Are Mutual Funds Active Voters? Posted: 08 Jan 2015 05:15 PM PST Mutual funds vary greatly in their reliance on proxy advisory recommendations. Over 25% of funds rely almost entirely on Institutional Shareholder Services (ISS) recommendations, while other funds place little weight on them. Funds with higher benefits and lower costs of researching the items up for vote are less likely to rely on ISS. These actively voting funds are less likely to vote in a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Ownership Structure, Voting, and Risk Posted: 08 Jan 2015 05:15 PM PST We analyze the determinants of a firm's ownership structure when decisions over risk are taken by majority vote of risk-averse shareholders. We show that when a fraction of small, diversified shareholders abstains from voting, mid-sized blockholders may emerge to mitigate the conflict of interests between one large shareholder, who prefers less risky investments, and these small, non-voting... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Labor Protection and Leverage Posted: 08 Jan 2015 05:15 PM PST This paper exploits intertemporal variations in employment protection across countries and finds that rigidities in labor markets are an important determinant of firms' capital structure decisions. Over the 1985–2007 period, we find that reforms increasing employment protection are associated with a 187 basis point reduction in leverage. We interpret this finding to suggest that employment... Visit MoneyScience for the Complete Article.    |
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