MoneyScience News |
- Blog Post: TheFinancialServicesClub: Watch the future unfold (the best future vids on YouTube)
- Published / Preprint: Toward robust early-warning models: A horse race, ensembles and model uncertainty. (arXiv:1501.04682v1 [q-fin.ST])
- Published / Preprint: Consumption investment optimization with Epstein-Zin utility in incomplete markets. (arXiv:1501.04747v1 [math.PR])
- Blog Post: WealthandCapitalMarketsBlog: Issues with Multiple Utility Services in KYC
- Vendor News: Finacle Islamic Banking Solution to power UAEâs Emirates Islamic Bank
- Blog Post: iMFdirect: Global Economy Faces Strong and Complex Cross Currents
- Published / Preprint: Data manipulation detection via permutation information theory quantifiers. (arXiv:1501.04123v1 [q-fin.ST])
- Published / Preprint: Optional Decomposition for continuous semimartingales under arbitrary filtrations. (arXiv:1501.04274v1 [math.PR])
- Published / Preprint: Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures. (arXiv:1501.04548v1 [q-fin.MF])
- Published / Preprint: An optimal trading problem in intraday electricity markets. (arXiv:1501.04575v1 [q-fin.TR])
- Blog Post: Luigi.Ballabio: Quants Hub workshop available
- Blog Post: PatrickBurns: US market portrait 2015 week 3
- MoneyScience: MoneyScience's event: 5th Annual Conference Behavioural Models & Sentiment Analysis Applied to Finance
- A brief look at data science’s past and future - The Practical Quant's blog - MoneyScience
- Book Published and a Competition
- 5th Annual Conference Behavioural Models & Sentiment Analysis Applied to Finance - 15% discount with our code
- MathFinance | Frankfurt MathFinance Conference 2015
- Published / Preprint: A New Approach to Model Free Option Pricing. (arXiv:1501.03701v1 [q-fin.PR])
- Published / Preprint: On the martingale-fair index of return for investment funds. (arXiv:1501.03768v1 [q-fin.PM])
- Blog Post: ThePracticalQuant: A brief look at data science's past and future
- The Black Box Society by Frank Pasquale
- Bitcoin price plunge sparks new crash fears
- Published / Preprint: Google matrix analysis of the multiproduct world trade network. (arXiv:1501.03371v1 [q-fin.ST])
- Published / Preprint: The asymptotic smile of a multiscaling stochastic volatility model. (arXiv:1501.03387v1 [math.PR])
- How Google "Translates" Pictures into Words Using Vector Space Mathematics | MIT Technology Review
| Blog Post: TheFinancialServicesClub: Watch the future unfold (the best future vids on YouTube) Posted: 21 Jan 2015 12:30 AM PST I often scan the net for videos portraying visions of the future. To be honest, most of them look the same now. For example, in my last set, I posted visions from Corning, Micrsoft and more. Having done this three times - one, two, three - I guess I can start a series, so this is the fourth.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 20 Jan 2015 05:37 PM PST This paper presents first steps toward robust early-warning models. We conduct a horse race of conventional statistical methods and more recent machine learning methods. As early-warning models based upon one approach are oftentimes built in isolation of other methods, the exercise is of high relevance for assessing the relative performance of a wide variety of methods. Further, we test various... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jan 2015 05:37 PM PST In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both the risk aversion and the elasticity of intertemporal substitution are in excess of one, we characterize optimal consumption and investment strategies via backward stochastic... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Issues with Multiple Utility Services in KYC Posted: 20 Jan 2015 09:17 AM PST In a recent blog post we discussed about the emergence of utility model in the KYC, on-boarding space in the capital market. When one thinks of a utility model in KYC, one envisions a situation where a single utility will cater to the needs of the whole industry. That would be the optimal arrangement for a utility service, not just in KYC, but for any functions.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Finacle Islamic Banking Solution to power UAEâs Emirates Islamic Bank Posted: 20 Jan 2015 12:47 AM PST Emirates Islamic Bank (EI), a leading Sharia-compliant banking institution in the Middle East, has selected Infosys Finacle Islamic Banking Solution to power its operations and to support its vision of making Dubai the center of global Islamic banking. Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Global Economy Faces Strong and Complex Cross Currents Posted: 19 Jan 2015 07:18 PM PST By Olivier Blanchardread more... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Jan 2015 05:51 PM PST Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim to find an objective method in order to detect departures in the LIBOR rate that from the expected behavior. We analyze several interest rates time series and we detect an anomalous behavior in LIBOR, specially during... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Jan 2015 05:51 PM PST We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s). Visit MoneyScience for the Complete Article.    |
| Posted: 19 Jan 2015 05:51 PM PST In this article, we look at the effect of volatility clustering on the risk indifference price of options described by Sircar and Sturm in their paper (Sircar, R., & Sturm, S. (2012). From smile asymptotics to market risk measures. Mathematical Finance. Advance online publication. doi:10.1111/mafi.12015). The indifference price in their article is obtained by using dynamic convex risk... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Jan 2015 05:51 PM PST We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the clients minus the production from renewable energy. For a simple linear price impact model and a quadratic criterion, we explicitly obtain approximate optimal... Visit MoneyScience for the Complete Article.    |
| Blog Post: Luigi.Ballabio: Quants Hub workshop available Posted: 18 Jan 2015 10:22 PM PST    |
| Blog Post: PatrickBurns: US market portrait 2015 week 3 Posted: 17 Jan 2015 04:05 AM PST US large cap market returns. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Jan 2015 07:18 AM PST 5th Annual Conf. Behavioural Models & Sentiment Analysis Applied to Finance - 15% off with our code http://t.co/i307dIe3C4 @UNICOMSeminars — moneyscience… Visit MoneyScience for the Complete Article.    |
| A brief look at data science’s past and future - The Practical Quant's blog - MoneyScience Posted: 16 Jan 2015 07:18 AM PST The Practical #Quant: A brief look at data science's past and future http://t.co/9JzYpnKjD8 — moneyscience (@moneyscience) January 15, 2015 Visit MoneyScience for the Complete Article.    |
| Book Published and a Competition Posted: 16 Jan 2015 07:18 AM PST Win a copy of @BankersUmbrella's book Dark Pools & High Frequency Trading For Dummies over on his blog http://t.co/3EjnGtX5yB @wiley_finance — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 16 Jan 2015 06:00 AM PST July 15th-16th 2015read more... Visit MoneyScience for the Complete Article.    |
| MathFinance | Frankfurt MathFinance Conference 2015 Posted: 16 Jan 2015 03:22 AM PST Frankfurt MathFinance Conference, 23 - 24 March 2015 - http://t.co/D9eV1ou537 @MathFinance — Risk Management (@Risk_Mgmt) January 16, 2015 Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A New Approach to Model Free Option Pricing. (arXiv:1501.03701v1 [q-fin.PR]) Posted: 15 Jan 2015 05:37 PM PST In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of model-free option pricing can be formulated in the new framework. We then introduce a model to solve the problem numerically when the only information provided is... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2015 05:37 PM PST A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is derived and several properties of this index are shown. In particular, it is proven to be martingale-fair, i.e. be a martingale provided the prices of assets on... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: A brief look at data science's past and future Posted: 15 Jan 2015 09:20 AM PST Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.    |
| The Black Box Society by Frank Pasquale Posted: 15 Jan 2015 06:30 AM PST The Black Box Society by Frank Pasquale http://t.co/x1uhU853L0 — Cathy O'Neil (@mathbabedotorg) January 15, 2015 Visit MoneyScience for the Complete Article.    |
| Bitcoin price plunge sparks new crash fears Posted: 14 Jan 2015 10:45 PM PST Companies that borrowed real money to buy servers for mining #bitcoin may be selling reserves to repay loans http://t.co/8nKbpg4VTT — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2015 05:37 PM PST Using the United Nations COMTRADE database \cite{comtrade} we construct the Google matrix $G$ of multiproduct world trade between the UN countries and analyze the properties of trade flows on this network for years 1962 - 2010. This construction, based on Markov chains, treats all countries on equal democratic grounds independently of their richness and at the same time it considers the... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Jan 2015 05:37 PM PST We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multiscaling of moments. Using large deviations techniques, we determine the asymptotic shape of the implied volatility surface in any regime of small maturity $t \to 0$ or extreme log-strike $|\kappa| \to \infty$ (with bounded maturity). Even if the price... Visit MoneyScience for the Complete Article.    |
| How Google "Translates" Pictures into Words Using Vector Space Mathematics | MIT Technology Review Posted: 14 Jan 2015 08:34 AM PST "How Google "Translates" Pictures into Words Using Vector Space Mathematics" http://t.co/bIicjiqNWb ht @DiegoKuonen impressive! — Arthur Charpentier… Visit MoneyScience for the Complete Article.    |
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