MoneyScience News |
- Blog Post: TheFinancialServicesClub: Crime-as-a-Service: pay-as-you-blow with #bitcoin
- Blog Post: iMFdirect: Building A Monetary Union in Africa
- Machine Learning Done Wrong
- Published / Preprint: Influence network in Chinese stock market. (arXiv:1503.00823v1 [physics.soc-ph])
- Published / Preprint: Affine LIBOR models driven by real-valued affine processes. (arXiv:1503.00864v1 [q-fin.PR])
- Published / Preprint: Understanding Financial Market States Using Artificial Double Auction Market. (arXiv:1503.00913v1 [q-fin.TR])
- Published / Preprint: Optimally Investing to Reach a Bequest Goal. (arXiv:1503.00961v1 [q-fin.MF])
- Published / Preprint: 03Mar/Basel III monitoring results published by the Basel Committee
- 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: WealthandCapitalMarketsBlog: Data and Transformations in the European Fixed Income Markets
- Warren Buffett's Letter Is Out
- Vendor News: Infosys to Support Strategic IT Transformation at TNT
- Blog Post: Luigi.Ballabio: QuantLib notebook: numerical Greeks calculation
- Published / Preprint: Measures of Systemic Risk. (arXiv:1502.07961v1 [q-fin.RM])
- Meet the man who could own Aviva France | FT Alphaville
- Published / Preprint: Comparing systemic risk in European government bonds and national indices. (arXiv:1502.07367v1 [q-fin.ST])
- Published / Preprint: Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. (arXiv:1502.07397v1 [q-fin.MF])
- Published / Preprint: Dynamics of quasi-stationary systems: Finance as an example. (arXiv:1502.07522v1 [q-fin.ST])
- Published / Preprint: Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity. (arXiv:1502.07622v1 [q-fin.MF])
- Published / Preprint: Developing Knowledge States: Technology and the Enhancement of National Statistical Capacity. (arXiv:1502.07625v1 [q-fin.GN])
- Blog Post: ThePracticalQuant: Topic Models: Past, Present, Future
- Published / Preprint: 26Feb/Quantitative disclosure standards for central counterparties issued by CPMI and IOSCO
- Published / Preprint: 26Feb/Implementation monitoring of the PFMI: Level 2 assessments for central counterparties and trade repositories in the European Union, Japan and the United States
- Blog Post: emotionalfinance: 'The heart has its reasonsâ: emotions and cognition in the world of finance
| Blog Post: TheFinancialServicesClub: Crime-as-a-Service: pay-as-you-blow with #bitcoin Posted: 05 Mar 2015 12:50 AM PST So I’ve talked about Banking-as-a-Service for some time, but what about Crime-as-a-Service? It does exist on a pay-as-you-blow basis.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: iMFdirect: Building A Monetary Union in Africa Posted: 04 Mar 2015 06:46 AM PST By iMFdirectread more... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Mar 2015 06:22 AM PST "Machine Learning Done Wrong" http://t.co/gzFwZhhODO ht @rasbt @freakonometrics — D. Geromichalos ScD (@dg_risk) March 4, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 03 Mar 2015 05:36 PM PST In a stock market, the price fluctuations are interactive, that is, one listed company can influence others. In this paper, we seek to study the influence relationships among listed companies by constructing a directed network on the basis of Chinese stock market. This influence network shows distinct topological properties, particularly, a few large companies that can lead the tendency of stock... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Mar 2015 05:36 PM PST The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and caplet and swaption prices can be calculated analytically. In order to guarantee nonnegative interest rates affine LIBOR models are driven by nonnegative affine processes, a restriction, which makes it hard to produce... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Mar 2015 05:36 PM PST The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidences from the fields of finance, mathematics, and even physics to explain states observed in the real financial... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimally Investing to Reach a Bequest Goal. (arXiv:1503.00961v1 [q-fin.MF]) Posted: 03 Mar 2015 05:36 PM PST We determine the optimal strategy for investing in a Black-Scholes market in order to maximize the probability that wealth at death meets a bequest goal $b$. We, thereby, make more objective the goal of maximizing expected utility of death, first considered in a continuous-time framework by Merton (1969). Specifically, instead of requiring the individual to choose a utility function, we only... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 03Mar/Basel III monitoring results published by the Basel Committee Posted: 03 Mar 2015 01:09 AM PST Press release about the Basel Committee publishing Basel III monitoring results (3 March 2015). 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.    |
| 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.    |
| Vendor News: Infosys to Support Strategic IT Transformation at TNT Posted: 01 Mar 2015 11:05 PM PST Infosys (NYSE: INFY), a global leader in consulting, technology, outsourcing and next-generation services, today announced it has signed a five-year agreement with the leading global express delivery company TNT, to help TNT simplify and transform its technology applications. Visit MoneyScience for the Complete Article.    |
| Blog Post: Luigi.Ballabio: QuantLib notebook: numerical Greeks calculation Posted: 01 Mar 2015 10:35 PM PST    |
| Published / Preprint: Measures of Systemic Risk. (arXiv:1502.07961v1 [q-fin.RM]) Posted: 01 Mar 2015 05:36 PM PST Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of this type of risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions. The current paper proposes a novel approach to measuring systemic risk. read more... Visit MoneyScience for the Complete Article.    |
| Meet the man who could own Aviva France | FT Alphaville Posted: 27 Feb 2015 02:34 PM PST Max-Hervé George has a contract. It lets him turn back the clock, to invest with perfect hindsight week after week http://t.co/ismunK6sWJ — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2015 05:36 PM PST It has been shown, that the systemic risk contained in financial markets can be indicated by the change of cross-correlation between different indices and stocks. This change is tracked by using principle component analysis (PCA). We use this technique to investigate the systemic risk contained in European economy by comparing government long term bonds and indices. Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2015 05:36 PM PST We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient to match market data with accuracy. We elucidate the relationship between the models developed and calibrated under a risk-neutral measure Q and... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2015 05:36 PM PST We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example, stock market data are analyzed for which the dynamical stability as well as transitions between different stable states are found. This combined method also allows to set up new criteria for merging clusters to simplify... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2015 05:36 PM PST We consider an integro-differential equation derived from a system of coupled parabolic PDE and an ODE which describes an European option pricing with liquidity shocks. We study the well-posedness and prove comparison principle for the corresponding initial value problem. Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2015 05:36 PM PST National statistical systems are the enterprises tasked with collecting, validating and reporting societal attributes. These data serve many purposes - they allow governments to improve services, economic actors to traverse markets, and academics to assess social theories. National statistical systems vary in quality, especially in developing countries. This study examines determinants of... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Topic Models: Past, Present, Future Posted: 26 Feb 2015 07:57 AM PST Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2015 07:05 AM PST Press release about CPMI and IOSCO issuing Quantitative disclosure standards for central counterparties (26 February 2015) Visit MoneyScience for the Complete Article.    |
| Posted: 26 Feb 2015 07:05 AM PST Press release about CPMI and IOSCO issuing the Implementation monitoring of the PFMI: Level 2 assessments for central counterparties and trade repositories in the European Union, Japan and the United States Visit MoneyScience for the Complete Article.    |
| Posted: 24 Feb 2015 03:45 AM PST Visit MoneyScience for the Complete Article.    |
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