MoneyScience News |
- Blog Post: rob_daly: Tweaking FPGAs for Better Trading
- Blog Post: iMFdirect: Investment in the Euro Area: Why Has It Been So Weak?
- Blog Post: TheFinancialServicesClub: How much profit does a bank make from your bank account?
- Blog Post: WealthandCapitalMarketsBlog: Are Record Profits a Harbinger of Trouble at Fidelity?
- Published / Preprint: One-Shot Bargaining Mechanisms. (arXiv:1502.05238v1 [q-fin.EC])
- Published / Preprint: How predictable is technological progress?. (arXiv:1502.05274v1 [q-fin.EC])
- Published / Preprint: Detecting weaks signals with record statistics. (arXiv:1502.05367v1 [stat.ME])
- Vendor News: ABN AMRO Selects Infosys as One of the Strategic Partners to Drive its Business Transformation Program
- Published / Preprint: Identification of Atlas models. (arXiv:1502.04909v1 [q-fin.MF])
- 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
- Hackers steal $1bn in series of online bank thefts says report
- 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])
- Yanis Varoufakis: ‘If I weren’t scared, I’d be dangerous’
- Blog Post: ThePracticalQuant: Forecasting events, from disease outbreaks to sales to cancer research
- Vendor News: POSIT Alert Hits New International Trading Records
- Company history | HSBC Private Bank
- HSBC 'helped clients dodge tax'
- Blog Post: emotionalfinance: Interview on Share Radio
| Blog Post: rob_daly: Tweaking FPGAs for Better Trading Posted: 19 Feb 2015 09:26 AM PST Tweaking FPGAs for Better Tradingread more... Visit MoneyScience for the Complete Article.      |
| Blog Post: iMFdirect: Investment in the Euro Area: Why Has It Been So Weak? Posted: 19 Feb 2015 07:06 AM PST By Bergljot Bjørnson Barkbu, S. Pelin Berkmen, and Hanni Schölermannread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: How much profit does a bank make from your bank account? Posted: 19 Feb 2015 04:57 AM PST How much profit does a bank make per annum on a typical retail bank deposit account?read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Are Record Profits a Harbinger of Trouble at Fidelity? Posted: 18 Feb 2015 07:07 PM PST I’ve taken a few shots at Charles Schwab on this blog, so perhaps it is only fair that Fidelity should fall into the cross hairs.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: One-Shot Bargaining Mechanisms. (arXiv:1502.05238v1 [q-fin.EC]) Posted: 18 Feb 2015 05:36 PM PST We consider the situation that two players have cardinal preferences over a finite set of alternatives. These preferences are common knowledge to the players, and they engage in bargaining to choose an alternative. In this they are assisted by an arbitrator (a mechanism) who does not know the preferences. read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: How predictable is technological progress?. (arXiv:1502.05274v1 [q-fin.EC]) Posted: 18 Feb 2015 05:36 PM PST Recently it has become clear that many technologies follow a generalized version of Moore's law, i.e. costs tend to drop exponentially, at different rates that depend on the technology. Here we formulate Moore's law as a time series model and apply it to historical data on 53 technologies. Under the simple assumption of a correlated geometric random walk we derive a closed form expression... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Detecting weaks signals with record statistics. (arXiv:1502.05367v1 [stat.ME]) Posted: 18 Feb 2015 05:36 PM PST Counting the number of local extrema of the cumulative sum of data points yields the R-test, a new single-sample non-parametric test. Numeric simulations indicate that the R-test is more powerful than Student's t-test for semi-heavy and heavy-tailed distributions, equivalent for Gaussian variables and slightly worse for uniformly distributed variables. Finally the R-test has a greater power than... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Feb 2015 11:16 PM PST Infosys today announced a multi-year, multimillion-dollar partnership with ABN AMRO, a leading retail and commercial bank, to provide IT services for the bank’s operations. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Identification of Atlas models. (arXiv:1502.04909v1 [q-fin.MF]) Posted: 17 Feb 2015 05:36 PM PST Atlas models are systems of Ito processes with parameters that depend on rank. We show that the parameters of a simple Atlas model can be identified by measuring the variance of the top-ranked process for different sampling intervals. Visit MoneyScience for the Complete Article.    |
| 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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| 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.    |
| 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.    |
| Yanis Varoufakis: ‘If I weren’t scared, I’d be dangerous’ Posted: 13 Feb 2015 02:08 PM PST Greek finance minister Yanis Varoufakis: 'If I weren't scared, I'd be awfully dangerous' http://t.co/0LTi3l6cgi — moneyscience (@moneyscience) February 13,… Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Forecasting events, from disease outbreaks to sales to cancer research Posted: 12 Feb 2015 12:36 PM PST Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: POSIT Alert Hits New International Trading Records Posted: 11 Feb 2015 09:26 AM PST January 2015 Record Value Traded in Europe, Asia Pacific, Canada, Latin America NEW YORK, Feb. 11, 2015 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG) a leading execution and research broker, today announced that POSIT Alert® hit new records in January 2015 for value traded in Europe, Asia Pacific, Canada and Latin America. Global POSIT Alert crossed block equity trades with total notional value of... Visit MoneyScience for the Complete Article.    |
| Company history | HSBC Private Bank Posted: 09 Feb 2015 02:22 AM PST #hsbc acquires Rep NY Corp & Safra Rep Hldings '99;Name change to HSBC Private Bank '04; files cover period:'05-'07 http://t.co/nYaLfCrZCW — moneyscience… Visit MoneyScience for the Complete Article.    |
| HSBC 'helped clients dodge tax' Posted: 09 Feb 2015 02:22 AM PST The #HSBC story is going to run (http://t.co/jp3ZYOmBUJ) and run (http://t.co/s7mrBbmibo) and run (http://t.co/eOQL6sdgTv) — moneyscience (@moneyscience)… Visit MoneyScience for the Complete Article.    |
| Blog Post: emotionalfinance: Interview on Share Radio Posted: 07 Feb 2015 04:37 AM PST Visit MoneyScience for the Complete Article.    |
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