MoneyScience News |
- Published / Preprint: A weak law of large numbers for a limit order book model with fully state dependent order dynamics. (arXiv:1502.04359v1 [q-fin.MF])
- Published / Preprint: Hawkes processes in finance. (arXiv:1502.04592v1 [q-fin.TR])
- Published / Preprint: Editorial: Cosmetic Surgery in the Academic Review Process
- Published / Preprint: Investor Information, Long-Run Risk, and the Term Structure of Equity
- Published / Preprint: Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
- Published / Preprint: Cognitive Limitation and Investment Performance: Evidence from Limit Order Clustering
- Published / Preprint: Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust
- Published / Preprint: Erratum
- Blog Post: WealthandCapitalMarketsBlog: Newfound Financial Freedom ' Pension Reform in the UK
- Hackers steal $1bn in series of online bank thefts says report
- Blog Post: TheFinancialServicesClub: Can you have decentralised exchange without centralised control?
- Vendor News: Infosys to hold an investor call to discuss Panaya Acquisition
- Blog Post: Luigi.Ballabio: A quick look at the 1.5 release
- Published / Preprint: Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion. (arXiv:1502.03840v1 [q-fin.EC])
- Published / Preprint: Stationary distribution of the volume at the best quote in a Poisson order book model. (arXiv:1502.03871v1 [q-fin.TR])
- Published / Preprint: Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing. (arXiv:1502.03901v1 [q-fin.MF])
- Published / Preprint: Non Parametric Estimates of Option Prices Using Superhedging. (arXiv:1502.03978v1 [q-fin.GN])
| Posted: 16 Feb 2015 05:36 PM PST This paper studies a one-sided limit order book (LOB) model, in which the order dynamics depend on both, the current best bid price and the current volume density function. For the joint dynamics of the best bid price and the standing buy volume density we derive a weak law of large numbers, which states that the LOB model converges to a continuous-time limit when the size of an individual order... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Hawkes processes in finance. (arXiv:1502.04592v1 [q-fin.TR]) Posted: 16 Feb 2015 05:36 PM PST In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular in empirical high frequency finance this last decade. After a reminder of the main definitions and properties that characterize Hawkes processes, we review... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Editorial: Cosmetic Surgery in the Academic Review Process Posted: 16 Feb 2015 05:45 AM PST Has the academic review process become excessive? In a setting where editors cannot distinguish significant flaws from mere blemishes, reviewers recommend the repair of blemishes in order to acquire reputations for high skill. In equilibrium, editors accede to reviewer insistence upon such cosmetic surgery. If blemishes are sometimes unremovable, demands for repair sometimes block good papers... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Investor Information, Long-Run Risk, and the Term Structure of Equity Posted: 16 Feb 2015 05:45 AM PST We study the role of information in asset-pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In general, the short- and long-run components are unidentified. We propose a sparsity-based bounded... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Investor Sentiment Aligned: A Powerful Predictor of Stock Returns Posted: 16 Feb 2015 05:45 AM PST We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices have both in and out of sample, and the predictability becomes both statistically and economically significant. In addition, it outperforms... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2015 05:45 AM PST We hypothesize that cognitive limitation may be manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts. Using detailed limit order data in the Taiwan Futures Exchange, we find that investors with lower cognitive abilities, defined as higher limit order submission ratios at round numbers, suffer greater... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2015 05:45 AM PST This study evaluates the effectiveness of geographic diversification in reducing housing investment risk. To characterize diversification potential, we estimate spatial correlation and integration among 401 U.S. metropolitan housing markets. The 2000s boom brought a marked uptrend in housing market integration associated with eased residential lending standards and rapid growth in private... Visit MoneyScience for the Complete Article.    |
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| Blog Post: WealthandCapitalMarketsBlog: Newfound Financial Freedom ' Pension Reform in the UK Posted: 16 Feb 2015 03:18 AM PST The UK pension industry will undergo significant regulatory changes in less than two months time. From 6th April, millions of savers aged 55 years old will be permitted to take the cash from their pensions and will no longer be herded into buying annuity products. Historically, savers had the freedom to take 25% of their pension in a tax-free lump sum, then were encouraged to buy an... Visit MoneyScience for the Complete Article.    |
| Hackers steal $1bn in series of online bank thefts says report Posted: 16 Feb 2015 02:42 AM PST "... one of the biggest banking breaches known..." http://t.co/vsVo9py87Q — Financial Technology (@fin_tech) February 16, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2015 01:46 AM PST I often have these debates with the bitcoin community about whether you can really have money without government. Let’s not call it money without government even, let’s just focus upon the question of whether you can have value exchanges that are unregulated.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys to hold an investor call to discuss Panaya Acquisition Posted: 16 Feb 2015 01:18 AM PST Infosys (NYSE: INFY), a global leader in consulting, technology and next generation services, today announced a definitive agreement to fully acquire Panaya, Inc., a leading provider of automation technology for large scale enterprise software management, in cash, for an enterprise value of USD 200 million. Visit MoneyScience for the Complete Article.    |
| Blog Post: Luigi.Ballabio: A quick look at the 1.5 release Posted: 15 Feb 2015 11:26 PM PST    |
| Posted: 15 Feb 2015 05:37 PM PST The diffusion of electric vehicles (EVs) is studied in a two-sided market framework consisting of EVs on the one side and EV charging stations (EVCSs) on the other. A sequential game is introduced as a model for the interactions between an EVCS investor and EV consumers. A consumer chooses to purchase an EV or a conventional gasoline alternative based on the upfront costs of purchase, the future... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2015 05:37 PM PST In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new value, either by a new limit order submitted inside the spread or by a market order that removes the first limit. Using applied probability results on killing... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2015 05:37 PM PST We unify and extend a number of approaches related to constructing multivariate Variance-Gamma (V.G.) models for option pricing. An overarching model is derived by subordinating multivariate Brownian motion to a subordinator from the Thorin (1977) class of generalised Gamma convolution subordinators. A class of models due to Grigelionis (2007), which contains the well-known Madan-Seneta V.G.... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2015 05:36 PM PST We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove some optimal statistical properties of our estimates. As an application we first test the methodology on a simulated sample of option prices and then on the... Visit MoneyScience for the Complete Article.    |
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