MoneyScience News |
- Vendor News: Investments in Digital by Insurance Industry Requires Greater Focus on Customers, Reveals Infosys Survey
- US nuclear fears block Intel China supercomputer update
- The Narrative Fallacy: Why You Shouldn’t Copy Steve Jobs
- Black-Scholes equation. (arXiv:1504.03074v1 [q-fin.PR]) - Quantitative Finance at arXiv's blog - MoneyScience
- Computing trading strategies based on financial sentiment data using evolutionary optimization. (arXiv:1504.02972v1 [q-fin.PM]) - Quantitative Finance at arXiv's blog - MoneyScience
- Blog Post: TheFinancialServicesClub: Things worth reading: 14th April 2015
- Published / Preprint: Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis. (arXiv:1504.02896v1 [q-fin.RM])
- Published / Preprint: Liquidity crises on different time scales. (arXiv:1504.02956v1 [q-fin.TR])
- Published / Preprint: Topics in Stochastic Portfolio Theory. (arXiv:1504.02988v1 [q-fin.MF])
- Published / Preprint: Explicit solution to dynamic portfolio choice problem : The continuous-time detour. (arXiv:1504.03079v1 [q-fin.CP])
- Published / Preprint: Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (arXiv:1504.03100v1 [math.PR])
- Published / Preprint: Forward performance processes in incomplete markets and ill-posed HJB equations. (arXiv:1504.03209v1 [q-fin.MF])
- Published / Preprint: Economic inequality and mobility in kinetic models for social sciences. (arXiv:1504.03232v1 [q-fin.EC])
- Published / Preprint: Polynomial term structure models. (arXiv:1504.03238v1 [q-fin.MF])
- Vendor News: April 13, 2015 - Trustee Executors to Provide Enhanced Reporting with SS&C
- Open Source Finance 1. QuantLib - An Interview with Luigi Ballabio - MoneyScience's blog - MoneyScience
| Posted: 14 Apr 2015 02:05 AM PDT Insurance companies in the US, the UK, and Germany are well on their way to making the most of digital strategies in their business. However, for many, the success of digital initiatives is threatened by a lack of focus on the customer experience according to a survey commissioned by Infosys. Visit MoneyScience for the Complete Article.      |
| US nuclear fears block Intel China supercomputer update Posted: 14 Apr 2015 01:38 AM PDT The US government has refused to let Intel help China update the world's biggest supercomputer. http://t.co/Qo8bWly10v — moneyscience (@moneyscience) April 14,… Visit MoneyScience for the Complete Article.    |
| The Narrative Fallacy: Why You Shouldn’t Copy Steve Jobs Posted: 14 Apr 2015 01:18 AM PDT RT @BoldRocket: The Narrative Fallacy: Why You Shouldn't Copy Steve Jobs http://t.co/zYTcWRpKC2 http://ift.tt/1CDS5Jw — D. Geromichalos ScD (@dg_risk) April… Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2015 01:18 AM PDT Research: Black-Scholes equation. (arXiv:1504.03074v1 [q-fin.PR]) http://t.co/wM0nXXIX9i — moneyscience (@moneyscience) April 14, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2015 10:20 PM PDT Research: Computing trading strategies based on financial sentiment data using evolutionary optimization. (arX... http://t.co/RqxHq9ba7n — moneyscience… Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading: 14th April 2015 Posted: 13 Apr 2015 09:59 PM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2015 05:38 PM PDT We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of increasing complexity. We compare QMC vs standard Monte Carlo (MC) results in great detail, using high-dimensional Sobol' low discrepancy sequences, different discretization methods, and specific analyses of convergence,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Liquidity crises on different time scales. (arXiv:1504.02956v1 [q-fin.TR]) Posted: 13 Apr 2015 05:38 PM PDT We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are connected to the failure of the subtle mechanism of compensation between the flows of market and limit orders: in other words, the missed revelation of the latent... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Topics in Stochastic Portfolio Theory. (arXiv:1504.02988v1 [q-fin.MF]) Posted: 13 Apr 2015 05:38 PM PDT This is an overview of the area of Stochastic Portfolio Theory, and can be seen as an updated and extended version of the survey paper by Fernholz and Karatzas (Handbook of Numerical Analysis Vol.15:89-167, 2009). Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2015 05:38 PM PDT This paper solves the dynamic portfolio choice problem. Using an explicit solution with a power utility, we construct a bridge between a continuous and discrete VAR model to assess portfolio sensitivities. We find, from a well analyzed example that the optimal allocation to stocks is particularly sensitive to Sharpe ratio. Our quantitative analysis highlights that this sensitivity increases when... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2015 05:38 PM PDT We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has $L^1$ norm close to one and power law tail of the form $x^{-(1+\alpha)}$, with $\alpha\in(0,1)$. We in particular prove that when $\alpha\in(1/2,1)$, after suitable rescaling, their law converges to that of a kind of integrated fractional Cox-Ingersoll-Ross process,... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2015 05:38 PM PDT We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend on a pair of stochastic factors, namely, a slow factor (e.g. a macroeconomic indicator) and a fast factor (e.g. stochastic volatility). We analyze the associated forward performance SPDE and provide explicit formulae... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2015 05:38 PM PDT Statistical evaluations of the economic mobility of a society are more difficult than measurements of the income distribution, because they require to follow the evolution of the individuals' income for at least one or two generations. In micro-to-macro theoretical models of economic exchanges based on kinetic equations, the income distribution depends only on the asymptotic equilibrium... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Polynomial term structure models. (arXiv:1504.03238v1 [q-fin.MF]) Posted: 13 Apr 2015 05:38 PM PDT In this article, we explore a class of tractable interest rate models that have the property that the prices of zero-coupon bonds can be expressed as polynomials of a state diffusion process. These models are, in a sense, generalisations of exponential polynomial models. Our main result is a classification of such models in the spirit of Filipovic's maximal degree theorem for exponential... Visit MoneyScience for the Complete Article.    |
| Vendor News: April 13, 2015 - Trustee Executors to Provide Enhanced Reporting with SS&C Posted: 13 Apr 2015 04:08 PM PDT    |
| Posted: 13 Apr 2015 07:08 AM PDT Our Interview with @lballabio on the history of #QuantLib & our upcoming training course http://t.co/JSkBSItcTb #finance #quant — Risk Management (@Risk_Mgmt)… Visit MoneyScience for the Complete Article.    |
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