MoneyScience News |
- In financial reporting, less is more
- From Science Fiction to Reality: The Evolution of Artificial Intelligence | WIRED
- The Guardian view on statistics in politics: over-counting
- Blog Post: TheFinancialServicesClub: The 50 most innovative FinTech firms, 2015
- Published / Preprint: Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk. (arXiv:1501.07297v1 [q-fin.RM])
- Published / Preprint: Valuation Algorithms for Structural Models of Financial Interconnectedness. (arXiv:1501.07402v1 [q-fin.CP])
- Published / Preprint: Information in stock prices and some consequences. (arXiv:1501.07473v1 [q-fin.GN])
- Published / Preprint: Portfolio Optimization under Shortfall Risk Constraint. (arXiv:1501.07480v1 [q-fin.MF])
- Published / Preprint: Adaptive Filter Design for Stock Market Prediction Using a Correlation-based Criterion. (arXiv:1501.07504v1 [stat.AP])
- The Sound and Fury of Fixed-Income Trading - Rob Daly's blog - MoneyScience
- Maths and morals, economics and greed - Magic, Maths and Money's blog - MoneyScience
- MathFinance | Frankfurt MathFinance Conference 2015
- Building and deploying large-scale machine learning pipelines - The Practical Quant's blog - MoneyScience
- Blog Post: ThePracticalQuant: The evolution of GraphLab
- Vendor News: January 29, 2015 - Albert Fried & Company Selects SS&C to Support its Prime Brokerage Business
- Blog Post: WealthandCapitalMarketsBlog: Toward a New Definition of Discretionary
- Published / Preprint: Short-time at-the-money skew and rough fractional volatility. (arXiv:1501.06980v1 [q-fin.MF])
- Published / Preprint: Optimal strategies of investment in a linear stochastic model of market. (arXiv:1501.07124v1 [q-fin.PM])
- Blog Post: rob_daly: The Sound and Fury of Fixed-Income Trading
- Blog Post: iMFdirect: A Big Step Forward for Bolstering Financial Inclusion
- Published / Preprint: 28Jan/Revised Pillar 3 requirements issued by the Basel Committee
- Computer Chess Created In 487 Bytes, Breaks 32-Year-Old Record - Slashdot
- The new scientific revolution: Reproducibility at last
| In financial reporting, less is more Posted: 30 Jan 2015 07:05 AM PST There's a happy medium between not enough disclosure and TMI via @retheauditors http://t.co/ViGvCpMlLC — Booth Capital Ideas (@BoothCapIdeas) January 30, 2015 Visit MoneyScience for the Complete Article.      |
| From Science Fiction to Reality: The Evolution of Artificial Intelligence | WIRED Posted: 30 Jan 2015 06:48 AM PST The Evolution of Artificial Intelligence http://t.co/ocbnveZqSh via @dg_risk — moneyscience (@moneyscience) January 30, 2015 Visit MoneyScience for the Complete Article.    |
| The Guardian view on statistics in politics: over-counting Posted: 30 Jan 2015 06:48 AM PST "Big data doesn't settle the big arguments" "@guardian: The Guardian view on statistics in politics: over-counting http://t.co/3VEskAlRQc" — Emanuel Derman… Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The 50 most innovative FinTech firms, 2015 Posted: 30 Jan 2015 02:18 AM PST So the FinTech50 were announced last night. These are the 50 most innovative fintech start-ups, as voted for by a panel that included yours truly. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2015 05:37 PM PST In this paper, we address the aggregation of dependent stop loss reinsurance risks where the dependence among the ceding insurer(s) risks is governed by the Sarmanov distribution and each individual risk belongs to the class of Erlang mixtures. We investigate the e?ects of the ceding insurer(s) risk dependencies on the reinsurer risk profile by deriving a closed formula for the... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2015 05:37 PM PST Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural models of interconnected financial systems. However, beyond contagion research, these topics are also essential for risk-neutral pricing. In this article, we... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2015 05:37 PM PST Stock prices will rarely follow the assumed model but, when stock's transaction times are dense in the interval $[t_0,T),$ they determine risk neutral probability (-ies) ${\cal P}^*$ for the stock price at time $T.$ The remaining available risk neutral probabilities at $T$ correspond to stock prices with different jumps-variability. The findings indicate that ${\cal P}^*$ may be a... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2015 05:37 PM PST This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild conditions on the asymptotic elasticity of the utility function and the loss function, we find an optimal wealth process for the constrained problem and characterize the bi-dual relation between the respective value... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2015 05:37 PM PST This paper presents a novel adaptive-filter approach for predicting assets on the stock markets. Concepts are introduced here, which allow understanding this method and computing of the corresponding forecast. This approach is applied, as an example, through the prediction over the actual valuation of the PETR3 shares (Petrobras ON) traded in the Brazilian Stock Market. The first-rate choices of... Visit MoneyScience for the Complete Article.    |
| The Sound and Fury of Fixed-Income Trading - Rob Daly's blog - MoneyScience Posted: 29 Jan 2015 11:48 AM PST .@rob_daly -The Sound and Fury of Fixed-Income Trading http://t.co/5uo8P2bwIn — moneyscience (@moneyscience) January 29, 2015 Visit MoneyScience for the Complete Article.    |
| Maths and morals, economics and greed - Magic, Maths and Money's blog - MoneyScience Posted: 29 Jan 2015 11:48 AM PST Maths and morals, economics and greed - Magic, Maths and Money's blog - MoneyScience http://t.co/37390zk46v @moneyscience — ABDON LUQUE (@ABLUMAM) January 28,… Visit MoneyScience for the Complete Article.    |
| MathFinance | Frankfurt MathFinance Conference 2015 Posted: 29 Jan 2015 11:48 AM PST Frankfurt MathFinance Conference, 23 - 24 March 2015 - http://t.co/Agkv2OXjZz @MathFinance — moneyscience (@moneyscience) January 26, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2015 11:48 AM PST The Practical #Quant: Building and deploying large-scale machine learning pipelines http://t.co/ovCOeap04J — moneyscience (@moneyscience) January 22, 2015 Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: The evolution of GraphLab Posted: 29 Jan 2015 07:48 AM PST Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2015 06:08 AM PST    |
| Blog Post: WealthandCapitalMarketsBlog: Toward a New Definition of Discretionary Posted: 28 Jan 2015 07:56 PM PST The Unified Managed Account (UMA) has served since inception as a lightning rod for conflict between the sponsor firm and the advisor. Nowhere is the tension between customization and scale more acute. While the advisor may seek to customize a portfolio to justify his fee, the interests of the UMA sponsor typically are skewed towards scale.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Jan 2015 05:36 PM PST The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power law. The volatility process of the model is driven by a fractional Brownian motion with Hurst parameter less than half. The fractional Brownian motion is... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Jan 2015 05:36 PM PST We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_\gamma$ featuring the expected earnings yield of portfolio minus a penalty term proportional with a coefficient $\gamma$ to the variance when we keep the value of... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: The Sound and Fury of Fixed-Income Trading Posted: 28 Jan 2015 01:38 PM PST The Sound and Fury of Fixed-Income Tradingread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: A Big Step Forward for Bolstering Financial Inclusion Posted: 28 Jan 2015 06:07 AM PST By David Marston, Era Dabla-Norris, and D. Filiz Unsalread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 28Jan/Revised Pillar 3 requirements issued by the Basel Committee Posted: 28 Jan 2015 03:37 AM PST Press release about the Basel Committee issuing revised Pillar 3 requirements (28 January 2015). Visit MoneyScience for the Complete Article.    |
| Computer Chess Created In 487 Bytes, Breaks 32-Year-Old Record - Slashdot Posted: 28 Jan 2015 01:05 AM PST "a fully-playable version of chess called BootChess in just 487 bytes" http://t.co/EKLvYmJJO0 — moneyscience (@moneyscience) January 28, 2015 Visit MoneyScience for the Complete Article.    |
| The new scientific revolution: Reproducibility at last Posted: 28 Jan 2015 01:05 AM PST "The new scientific revolution: Reproducibility at last" http://t.co/PoggKvSNaV by @JoelAchenbach — Arthur Charpentier (@freakonometrics) January 28, 2015 Visit MoneyScience for the Complete Article.    |
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