MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 3rd March 2015
- Published / Preprint: Error analysis in Fourier methods for option pricing. (arXiv:1503.00019v1 [q-fin.PR])
- Published / Preprint: Metabolic paths in world economy and crude oil price. (arXiv:1503.00127v1 [physics.soc-ph])
- Published / Preprint: State and group dynamics of world stock market by principal component analysis. (arXiv:1503.00421v1 [physics.soc-ph])
- Published / Preprint: Diversity waves in collapse-driven population dynamics. (arXiv:1503.00529v1 [q-bio.PE])
- Published / Preprint: Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example. (arXiv:1503.00556v1 [q-fin.ST])
- Published / Preprint: Leveraging the network: a stress-test framework based on DebtRank. (arXiv:1503.00621v1 [q-fin.RM])
- Interview with Thammarak Moenjak author of Central Banking: Theory and Practice in Sustaining Monetary and Financial Stability
- Blog Post: iMFdirect: Down But Not Out
- Blog Post: WealthandCapitalMarketsBlog: Data and Transformations in the European Fixed Income Markets
- Warren Buffett's Letter Is Out
| Blog Post: TheFinancialServicesClub: Things worth reading: 3rd March 2015 Posted: 02 Mar 2015 09:56 PM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Posted: 02 Mar 2015 05:46 PM PST We provide a bound for the error committed when using a Fourier method to price European options when the underlying follows an exponential \levy dynamic. The price of the option is described by a partial integro-differential equation (PIDE). Applying a Fourier transformation to the PIDE yields an ordinary differential equation that can be solved analytically in terms of the characteristic... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Mar 2015 05:46 PM PST In 1983 Hamilton demonstrated the correlation between the price of oil and gross national product for the U.S. economy. A prolific literature followed exploring the potential correlation of oil prices with other important indices like inflation, industrial production, and food prices, using increasingly refined tools. Our work sheds new light on the role of oil prices in shaping the world economy... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Mar 2015 05:46 PM PST We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations between principal components (PCs) and each asset, known as PC coefficients. A change in market state is identified as a change in the first PC coefficients.... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Mar 2015 05:46 PM PST Populations of species in ecosystems are constrained by the availability of resources within their environment. In effect this means that a growth of one population, needs to be balanced by the reduction in size of others. In neutral models of biodiversity all populations are assumed to change incrementally due to stochastic births and deaths of individuals. Here we propose and model another... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Mar 2015 05:46 PM PST We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure. We identify the dominating variable and extract its explicit stochastic model. This allows us to establish a connection between its time evolution and known... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Mar 2015 05:46 PM PST We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of distress propagation. The main features are as follows. First, the framework allows to estimate and disentangle not only first-round effects (i.e. shock on... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Mar 2015 12:17 PM PST read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Down But Not Out Posted: 02 Mar 2015 08:57 AM PST By Jeff Haydenread more... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Mar 2015 08:36 AM PST The 2015 AFME European Market Liquidity Conference saw two important Keynote speakers with Martin Wheatley and Andrew Hauser but for me the most interesting discussions were around the common leveraging of data to provide greater liquidity to the Fixed Income (FI) Markets and to analyse and optimise Transaction Cost Analysis (TCA). The ongoing discussion for the requirement for E-Trading... Visit MoneyScience for the Complete Article.    |
| Warren Buffett's Letter Is Out Posted: 02 Mar 2015 03:31 AM PST Warren Buffett's Letter Is Out http://t.co/mEiOkvIXms — John Lothian (@JohnLothian) March 2, 2015 Visit MoneyScience for the Complete Article.    |
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