MoneyScience News |
- Blog Post: WealthandCapitalMarketsBlog: Shotgun Wedding: What's really behind the Marriage of Northwestern Mutual and LearnVest?
- Blog Post: TheFinancialServicesClub: Corporate bankers '¦buy some extra pillows
- Blog Post: iMFdirect: What Advanced Economies Can Do to Rise Above the 'New Mediocreâ
- 4 ways Blockchain technology will change the world | VentureBeat | Business | by Josh Blatchford, BTC.sx
- 'Rigged' Markets: A Pointless Debate? :: TabbFORUM - Where Capital Markets Speak
- MIT's Rise to Prominence: Outline of a Collective Biography by Andrej Svorenčík :: SSRN
- Blog Post: Luigi.Ballabio: Chapter 7, part 3 of 6: binomial trees
- Published / Preprint: A Robust Statistics Approach to Minimum Variance Portfolio Optimization. (arXiv:1503.08013v1 [q-fin.PM])
- Published / Preprint: Observability of Market Daily Volatility. (arXiv:1503.08032v1 [q-fin.ST])
- Published / Preprint: Black-Scholes in a CEV random environment: a new approach to smile modelling. (arXiv:1503.08082v1 [q-fin.PR])
- Published / Preprint: About the decomposition of pricing formulas under stochastic volatility models. (arXiv:1503.08119v1 [q-fin.MF])
- Published / Preprint: Higher order elicitability and Osband's principle. (arXiv:1503.08123v1 [math.ST])
- Blog Post: ThePracticalQuant: Scikit-Learn 0.16
| Posted: 30 Mar 2015 11:57 AM PDT Last week’s acquisition of online financial planning firm LearnVest by Northwestern Mutual may be an inflection point in the development of the automated advice business, signaling the end of “free money” and the onset of industry consolidation. At the least, it points to the speed at which this business is hurtling to its next stage of development.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Corporate bankers '¦buy some extra pillows Posted: 30 Mar 2015 08:16 AM PDT So I blast the corporate banking world for being slow to change and believing their customers won’t change … and maybe they’re right. After chairing a panel of large corporates including Jaeger, Virgin Media, Illy and Hotel Booker BV, the view seemed to be that banks were doing a good enough job and that corporates aren’t looking for innovation or new technology capabilities from... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: What Advanced Economies Can Do to Rise Above the 'New Mediocreâ Posted: 30 Mar 2015 07:56 AM PDT By Era Dabla-Norris, Vikram Haksar, and Kalpana Kochharread more... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Mar 2015 03:51 AM PDT 4 ways Blockchain technology will change the world http://t.co/0mxRjMU02f — moneyscience (@moneyscience) March 30, 2015 Visit MoneyScience for the Complete Article.    |
| 'Rigged' Markets: A Pointless Debate? :: TabbFORUM - Where Capital Markets Speak Posted: 30 Mar 2015 03:24 AM PDT Really interesting piece by Steve Wunsch on Rigged Markets - Always interesting and controversial - http://t.co/WU031yzhJ0 — Larry Tabb (@ltabb) March 30,… Visit MoneyScience for the Complete Article.    |
| MIT's Rise to Prominence: Outline of a Collective Biography by Andrej Svorenčík :: SSRN Posted: 30 Mar 2015 03:24 AM PDT "MIT economics department's history" http://t.co/G0pvM6UDwo "why has MIT economics risen to prominence so quickly?" http://ift.tt/1DcOwhm — Arthur Charpentier… Visit MoneyScience for the Complete Article.    |
| Blog Post: Luigi.Ballabio: Chapter 7, part 3 of 6: binomial trees Posted: 29 Mar 2015 10:36 PM PDT    |
| Posted: 29 Mar 2015 05:36 PM PDT We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of available market returns is often of similar order to the number of assets, so that the sample covariance matrix performs poorly as a covariance estimator.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Observability of Market Daily Volatility. (arXiv:1503.08032v1 [q-fin.ST]) Posted: 29 Mar 2015 05:36 PM PDT We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 until 2014. We show that it is possible to define a Daily Market Volatility $\sigma(t)$ which is directly observable from data. This quantity is usually indirectly defined by $r(t)=\sigma(t) \omega(t)$ where the $r(t)$ are the daily returns of the market index and the $\omega(t)$ are i.i.d.... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Mar 2015 05:36 PM PDT Classical (It\^o diffusions) stochastic volatility models are not able to capture the steepness of small-maturity implied volatility smiles. Jumps, in particular exponential L\'evy and affine models, which exhibit small-maturity exploding smiles, have historically been proposed to remedy this (see Tankov for an overview). A recent breakthrough was made by Gatheral, Jaisson and Rosenbaum,... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Mar 2015 05:36 PM PDT We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used are non anticipative. In particular, we see also that equivalent results can be obtained using... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Mar 2015 05:36 PM PDT A statistical functional, such as the mean or the median, is called elicitable if there is a scoring function or loss function such that the correct forecast of the functional is the unique minimizer of the expected score. Such scoring functions are called strictly consistent for the functional. The elicitability of a functional opens the possibility to compare competing forecasts and to rank... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Scikit-Learn 0.16 Posted: 29 Mar 2015 09:17 AM PDT I'll be hosting a webcast featuring two of the key contributors to what is arguably one of the most popular machine learning tools today - scikit-learn:News from Scikit-Learn 0.16 and Soon-To-Be Gems for the Next Releasepresented by: Olivier Grisel, Andreas MuellerThis webcast will review Scikit-learn, a widely used open source machine learning library in python, and discuss some of the new... Visit MoneyScience for the Complete Article.    |
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