Wednesday, March 18, 2015

MoneyScience News

MoneyScience News


Published / Preprint: From anti-conformism to extremism. (arXiv:1503.04799v1 [physics.soc-ph])

Posted: 17 Mar 2015 05:36 PM PDT

We here present a model of the dynamics of extremism based on opinion dynamics in order to understand the circumstances which favour its emergence and development in large fractions of the general public. Our model is based on the bounded confidence hypothesis and on the evolution of initially anti-conformist agents to extreme positions. read more...

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Published / Preprint: Forest Fire Model as a Supercritical Dynamic Model in Financial Systems. (arXiv:1503.04841v1 [q-fin.GN])

Posted: 17 Mar 2015 05:36 PM PDT

Recently, large-scale cascading failures in complex systems have garnered substantial attention. Such extreme events have been treated as an integral part of the self-organized criticality (SOC). Recent empirical work has suggested that some extreme events systematically deviate from the SOC paradigm, requiring a different theoretical framework. We shed additional theoretical light on this...

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Published / Preprint: Randomizing bipartite networks: the case of the World Trade Web. (arXiv:1503.05098v1 [physics.soc-ph])

Posted: 17 Mar 2015 05:36 PM PDT

Within the last fifteen years, network theory has been successfully applied both to natural sciences and to socioeconomic disciplines. In particular, bipartite networks have been recognized to provide a particularly insightful representation of many systems, ranging from mutualistic networks in ecology to trade networks in economy, whence the need of a pattern detection-oriented analysis in order...

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Published / Preprint: Tornadoes and related damage costs: statistical modeling with a semi-Markov approach. (arXiv:1503.05127v1 [physics.ao-ph])

Posted: 17 Mar 2015 05:36 PM PDT

We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita scale divides tornadoes intensity into six states, it is possible to model the tornadoes intensity by...

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Published / Preprint: Pricing of Warrants with Stock Price Dependent Threshold Conditions. (arXiv:1503.05139v1 [q-fin.PR])

Posted: 17 Mar 2015 05:36 PM PDT

Warrants with stock price dependent threshold conditions give the right to buy specially issued stocks, if the performance of the stock price satisfies some requirements. Existence of these derivatives changes the price process of the underlying. We show that in the presence of such warrants one cannot assume that the stock market is arbitrage free and that the stock is tradeable at every time...

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How Scary Is the Bond Market?

Posted: 17 Mar 2015 08:14 AM PDT

How Scary Is the Bond Market? by Robert J. Shiller - Project Syndicate http://t.co/E5KJbIcLG6 — moneyscience (@moneyscience) March 17, 2015

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Blog Post: ThePracticalQuant: Let's build open source tensor libraries for data science

Posted: 17 Mar 2015 05:47 AM PDT

[A version of this post appears on the O'Reilly Radar blog.]Tensor methods for machine learning are fast, accurate, and scalable, but we'll need well-developed libraries.Data scientists frequently find themselves dealing with high-dimensional feature spaces. As an example, text mining usually involves vocabularies comprised of 10,000+ different words. Many analytic problems involve linear...

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A framework for banking structural reform | VOX, CEPR’s Policy Portal

Posted: 17 Mar 2015 02:43 AM PDT

When is risk "appropriately priced"? Addressing a fudged issue in a framework for banking structural reform @voxeu http://t.co/8HEbASKXpg — David McKibbin…

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A tricky business

Posted: 17 Mar 2015 02:28 AM PDT

The Economist | Risk and data: A tricky business http://t.co/4U9VXB1w8t — Greg B Davies (@GregBDavies) March 17, 2015

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Blog Post: WealthandCapitalMarketsBlog: The latest report from WM: Effectively Serving the Mass Affluent

Posted: 17 Mar 2015 02:26 AM PDT

Wealth managers today face the question of how to effectively capture and retain the next generation clients, who are, for the most part, in the mass market (MM) or mass affluent (MA) investor segments and part of Generation X and Y.read more...

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Phys.Org Mobile: Wealth and power may have played a stronger role than 'survival of the fittest'

Posted: 17 Mar 2015 02:12 AM PDT

Wealth and power may have played a stronger role than 'survival of the fittest' http://t.co/2XhTRvO5je — moneyscience (@moneyscience) March 17, 2015

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Legal Solutions Blog The Commercial Future of the Dark Web

Posted: 17 Mar 2015 02:12 AM PDT

The Commercial Future of the #DarkWeb http://t.co/fi1lLd33vR via @Bitcoin — D. Geromichalos ScD (@dg_risk) March 17, 2015

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The cloudy future of peer-to-peer lending

Posted: 17 Mar 2015 02:12 AM PDT

The cloudy future of peer-to-peer lending - Cecchetti & Schoenholtz http://t.co/hKNjhWEfbb — Mark Thoma (@MarkThoma) March 17, 2015

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Seinfeld, Big Data and measuring the Internet’s emotional landscape | Storybench

Posted: 17 Mar 2015 02:12 AM PDT

"Seinfeld, Big Data and measuring the Internet's emotional landscape" http://t.co/aFKxLNmj3W http://ift.tt/1wUlRwv — Arthur Charpentier (@freakonometrics)…

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The Murdering Hitler Portfolio

Posted: 17 Mar 2015 02:12 AM PDT

@financequant a post loosely based on some of your blog posts and tweets -> The Murdering Hitler Portfolio http://t.co/bERrxcp2KY — John Orford (@mmport80)…

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Blog Post: TheFinancialServicesClub: It's about behaviours, not technology

Posted: 17 Mar 2015 01:26 AM PDT

So I visit a tradeshow last week focused upon the future of payments, and everyone is presenting their latest mobile apps and designs.  "That's not the future of money", I fume silently at the back.  Then we had a mention of bitcoin and my ears pricked up.  Oh, it's a bitcoin mobile app.read more...

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Published / Preprint: Optimal risk allocation in a market with non-convex preferences. (arXiv:1503.04460v1 [q-fin.RM])

Posted: 16 Mar 2015 05:36 PM PDT

The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions for the existence of optimal and asymptotic optimal allocations. We will show that, similar to a market with convex preferences, in a non-convex framework with...

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Published / Preprint: A dynamic game on Green Supply Chain Management. (arXiv:1503.04772v1 [math.OC])

Posted: 16 Mar 2015 05:36 PM PDT

In this paper, we establish a dynamic game to allocate CSR (Corporate Social Responsibility) to the members of a supply chain. We propose a model of three-tier supply chain in decentralized state that is including supplier, manufacturer and retailer. For analyzing supply chain performance in decentralized state and the relationships between the members of supply chain, we use Stackelberg game and...

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