MoneyScience News |
- Published / Preprint: Club Convergence of House Prices: Evidence from China's Ten Key Cities. (arXiv:1503.05550v1 [q-fin.ST])
- Published / Preprint: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion. (arXiv:1503.05655v1 [q-fin.RM])
- Published / Preprint: Principal Components Analysis for Semi-Martingales and Stochastic PDE. (arXiv:1503.05909v1 [math.ST])
- Blog Post: TheFinancialServicesClub: Will Facebook and Apple Pay kill Visa and MasterCard?
- Anticipating Divine Protection? Reminders of God Can Increase Nonmoral Risk Taking
- Investors Raise Alarm Over Liquidity Shortage
- Dark Web’s ‘Evolution Market’ Vanishes — Krebs on Security
- 80% of bitcoin is exchanged for Chinese yuan
- Backtesting on historical option data
- Published / Preprint: Re-visiting the Distance Coefficient in Gravity Model. (arXiv:1503.05283v1 [q-fin.EC])
- Published / Preprint: The Principal-Agent Problem With Time Inconsistent Utility Functions. (arXiv:1503.05416v1 [math.OC])
- Published / Preprint: Almost-sure hedging with permanent price impact. (arXiv:1503.05475v1 [q-fin.PR])
- Blog Post: iMFdirect: Dams And Dikes For Public Finances
- Twitter puts trillions of tweets up for sale to data miners
- Published / Preprint: 18Mar/Revisions to implementation of margin requirements for non-centrally cleared derivatives issued by the Basel Committee and IOSCO
- ‘The Age of Cryptocurrency,’ by Paul Vigna and Michael J. Casey
- The ten richest Africans own as much as the poorest half of the continent
- Published / Preprint: 18Mar/March 2015 BIS Quarterly Review: A wave of further easing
- Published / Preprint: Asset Quality Misrepresentation by Financial Intermediaries: Evidence from the RMBS Market
- Published / Preprint: Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
- Published / Preprint: Transparency in the Financial System: Rollover Risk and Crises
- Published / Preprint: The Cost of Capital for Alternative Investments
- Published / Preprint: An Information-Based Theory of Time-Varying Liquidity
- How AI Can Calculate Our Oil Surplus...From Space | WIRED
- The Lion Wakes: A Modern History of HSBC by David Kynaston and Richard Roberts review – exhaustive and exhausting
- Blog Post: WealthandCapitalMarketsBlog: Evolution of Trading Technology for Exchanges in the Asia-Pacific
- Published / Preprint: From anti-conformism to extremism. (arXiv:1503.04799v1 [physics.soc-ph])
- Published / Preprint: Forest Fire Model as a Supercritical Dynamic Model in Financial Systems. (arXiv:1503.04841v1 [q-fin.GN])
- Published / Preprint: Randomizing bipartite networks: the case of the World Trade Web. (arXiv:1503.05098v1 [physics.soc-ph])
| Posted: 19 Mar 2015 05:37 PM PDT The latest global financial tsunami and its follow-up global economic recession has uncovered the crucial impact of housing markets on financial and economic systems. The Chinese stock market experienced a markedly fall during the global financial tsunami and China's economy has also slowed down by about 2\%-3\% when measured in GDP. Nevertheless, the housing markets in diverse Chinese... Visit MoneyScience for the Complete Article.      |
| Posted: 19 Mar 2015 05:37 PM PDT We show how the prices of options can be determined with the help of double-fractional differential equation in such a way that their admixture to a portfolio of stocks provides a more reliable hedge against dramatic price drops than the use of options whose prices were fixed by the Black-Scholes formula. Visit MoneyScience for the Complete Article.    |
| Posted: 19 Mar 2015 05:37 PM PDT In this work, we develop a novel principal component analysis (PCA) for semimartingales by introducing a suitable spectral analysis for the quadratic variation operator. Motivated by high-dimensional complex systems typically found in interest rate markets, we investigate correlation in high-dimensional high-frequency data generated by continuous semimartingales. In contrast to the traditional... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Will Facebook and Apple Pay kill Visa and MasterCard? Posted: 19 Mar 2015 01:46 AM PDT So Facebook announced clarification of plans to rollout Facebook Pay, an easy way to pay friends through Facebook using your debit card.read more... Visit MoneyScience for the Complete Article.    |
| Anticipating Divine Protection? Reminders of God Can Increase Nonmoral Risk Taking Posted: 19 Mar 2015 01:31 AM PDT "Anticipating Divine Protection? Reminders of God Can Increase Nonmoral Risk Taking" http://t.co/9JBBUnsOyt via http://t.co/Bjz5zUDix4 — Arthur Charpentier… Visit MoneyScience for the Complete Article.    |
| Investors Raise Alarm Over Liquidity Shortage Posted: 19 Mar 2015 01:30 AM PDT "future shocks could have more persistent and more widespread impacts across financial markets" http://t.co/Nc2LNNrba2 #splashcrash — Scott Patterson… Visit MoneyScience for the Complete Article.    |
| Dark Web’s ‘Evolution Market’ Vanishes — Krebs on Security Posted: 19 Mar 2015 01:13 AM PDT Dark Web's 'Evolution Market' Vanishes — along with $12 million of Bitcoin http://t.co/wPV6pmHJsH — moneyscience (@moneyscience) March 19, 2015 Visit MoneyScience for the Complete Article.    |
| 80% of bitcoin is exchanged for Chinese yuan Posted: 19 Mar 2015 01:13 AM PDT 80% of #Bitcoin is exchanged into and out of Chinese yuan http://t.co/44VmhCign4 via @Bitcoin — D. Geromichalos ScD (@dg_risk) March 19, 2015 Visit MoneyScience for the Complete Article.    |
| Backtesting on historical option data Posted: 19 Mar 2015 01:13 AM PDT Backtesting on historical option data http://t.co/SQQ7GXlbg9 via @StackQuant #options — D. Geromichalos ScD (@dg_risk) March 19, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2015 05:37 PM PDT This paper revisits the classic gravity model in international trade and reexamines the distance coefficient. As pointed out by Frankel (1997), this coefficient measures the relative unit transportation cost between short distance and long distance rather than the absolute level of average transportation cost. Our results confirm this point in the sense that the coefficient has been very stable... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2015 05:37 PM PDT In this paper we study a generalization of the continuous time Principal-Agent problem allowing for time inconsistent utility functions, for instance of mean-variance type. Using recent results on the Pontryagin maximum principle for FBSDEs we suggest a method of characterizing optimal contracts for such models. To illustrate this we consider a fully solved explicit example in the linear... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2015 05:37 PM PDT We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the derivation of a quasi-linear pricing equation. It holds in the sense of viscosity solutions. When it admits a smooth solution, it provides a perfect hedging... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Dams And Dikes For Public Finances Posted: 18 Mar 2015 01:06 PM PDT By Vitor Gaspar, Richard Hughes, and Laura Jaramilloread more... Visit MoneyScience for the Complete Article.    |
| Twitter puts trillions of tweets up for sale to data miners Posted: 18 Mar 2015 10:46 AM PDT Twitter puts trillions of tweets up for sale to data miners. http://t.co/0ep6MGfcmr — moneyscience (@moneyscience) March 18, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2015 07:08 AM PDT The Basel Committee on Banking Supervision and the International Organization of Securities Commissions (IOSCO) have revised the framework for margin requirements for non-centrally cleared derivatives. (Press release) Visit MoneyScience for the Complete Article.    |
| ‘The Age of Cryptocurrency,’ by Paul Vigna and Michael J. Casey Posted: 18 Mar 2015 06:37 AM PDT My review of 'The Age of Cryptocurrency,' by Paul Vigna and Michael J. Casey http://t.co/afPgklwM09 — Emanuel Derman (@EmanuelDerman) March 18, 2015 Visit MoneyScience for the Complete Article.    |
| The ten richest Africans own as much as the poorest half of the continent Posted: 18 Mar 2015 06:37 AM PDT "The ten richest Africans own as much as the poorest half of the continent" http://t.co/M0TJi9K3Jn via @freakonometrics — D. Geromichalos ScD (@dg_risk) March… Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 18Mar/March 2015 BIS Quarterly Review: A wave of further easing Posted: 18 Mar 2015 04:06 AM PDT BIS Quarterly Review - 18 March 2015 (BIS Press Release) Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2015 03:26 AM PDT We document that contractual disclosures by intermediaries during the sale of mortgages contained false information about the borrower's housing equity in 7â€"14% of loans. The rate of misrepresented loan default was 70% higher than for similar loans. These misrepresentations likely occurred late in the intermediation and exist among securities sold by all reputable intermediaries. Investors â€"... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2015 03:26 AM PDT We develop a pair of risk measures, health and mortality delta, for the universe of life and health insurance products. A life-cycle model of insurance choice simplifies to replicating the optimal health and mortality delta through a portfolio of insurance products. We estimate the model to explain the observed variation in health and mortality delta implied by the ownership of life insurance,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Transparency in the Financial System: Rollover Risk and Crises Posted: 18 Mar 2015 03:26 AM PDT We present a theory of optimal transparency when banks are exposed to rollover risk. Disclosing bank-specific information enhances the stability of the financial system during crises, but has a destabilizing effect in normal economic times. Thus, the regulator optimally increases transparency during crises. Under this policy, however, information disclosure signals a deterioration of economic... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Cost of Capital for Alternative Investments Posted: 18 Mar 2015 03:26 AM PDT Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996-2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put writing strategies. We show that the high excess returns to hedge funds and put writing are consistent with an equilibrium in which a small... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: An Information-Based Theory of Time-Varying Liquidity Posted: 18 Mar 2015 03:26 AM PDT We propose an information-based theory to explain time variation in liquidity and link it to a variety of patterns in asset markets. In “normal times,†the market is fully liquid and gains from trade are realized immediately. However, the equilibrium also involves periods during which liquidity “dries upâ€, which leads to endogenous liquidation costs. Traders correctly anticipate such... Visit MoneyScience for the Complete Article.    |
| How AI Can Calculate Our Oil Surplus...From Space | WIRED Posted: 18 Mar 2015 03:23 AM PDT How AI Can Calculate Our Oil Surplus...From Space http://t.co/Ae24U21Exh @GPUKNews — moneyscience (@moneyscience) March 18, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2015 03:23 AM PDT Book Review: The Lion Wakes: A Modern History of HSBC by David Kynaston and Richard Roberts http://t.co/FZSQoonElQ — moneyscience (@moneyscience) March 16,… Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2015 02:16 AM PDT Several Asian economies and capital markets have witnessed rapid growth in the last few years. This has led to an expansion in the market infrastructure and a string of notable investments by the leading regional exchanges in trading platform technology. The exchanges in Asia-Pacific have adopted varying strategies to meet their technology requirements. Some exchanges have used their in-house... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
| 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... Visit MoneyScience for the Complete Article.    |
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