Sunday, March 22, 2015

MoneyScience News

MoneyScience News


Blog Post: TheFinancialServicesClub: Why the mobile ecosystem just became easy

Posted: 20 Mar 2015 01:39 AM PDT

I have a good chat about the mobile financial ecosystem today.  Maybe a good example of that ecosystem is represented below:read more...

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Published / Preprint: Club Convergence of House Prices: Evidence from China's Ten Key Cities. (arXiv:1503.05550v1 [q-fin.ST])

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...

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Published / Preprint: Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion. (arXiv:1503.05655v1 [q-fin.RM])

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.

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Published / Preprint: Principal Components Analysis for Semi-Martingales and Stochastic PDE. (arXiv:1503.05909v1 [math.ST])

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...

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