Saturday, February 21, 2015

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Forget FinTech - welcome to the ValueWeb

Posted: 20 Feb 2015 04:27 AM PST

As mentioned earlier in the week, we are now in the Net 6.0 phase of life, where we are digitising money.  We digitised commerce some time ago and now eBay, TripAdvisor, Amazon, Alibaba, Kayak and more rule the world.  These are both intermediaries and infomediaries for commerce, but the bit they were lacking is a digital currency.read more...

Visit MoneyScience for the Complete Article.

Published / Preprint: Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models. (arXiv:1502.05442v1 [q-fin.MF])

Posted: 19 Feb 2015 05:36 PM PST

We consider a stochastic volatility stock price model in which the volatility is a non-centered continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the integrated variance, and using sharp estimates of the density of a general second-chaos variable, we derive asymptotics for the stock price density and implied volatility...

Visit MoneyScience for the Complete Article.

Published / Preprint: Stock market comovements: nonlinear approach for 48 countries. (arXiv:1502.05603v1 [q-fin.ST])

Posted: 19 Feb 2015 05:36 PM PST

This paper examines the stock market comovements using basically three different approaches. Firstly, we used the most common linear analysis, based on cointegration and Granger causality tests; secondly we applied a nonlinear approach, using mutual information to analyze nonlinear dependence. Since underlying data sets are affected by non-stationarities, we also applied MF-DFA and MF-DXA in...

Visit MoneyScience for the Complete Article.