MoneyScience News |
- Vendor News: Dr. Vishal Sikka Appointed University Advisory Professor at East China Normal University
- The Crazy-Tiny Next Generation of Computers
- Dennis Cox on The Handbook of Anti-Money Laundering - MoneyScience's blog - MoneyScience
- Paul Darbyshire and David Hampton on Hedge Fund Modelling and Analysis - MoneyScience's blog - MoneyScience
- Vendor News: Fidessa named Trading Platform of the Year at Asian Banker awards
- Blog Post: TheAlephBlog: On Being A Forced Seller in a Panic
- Published / Preprint: The Equilibrium Statistical Model of Economic Systems using Concepts and Theorems of Statistical Physics. (arXiv:1504.04102v1 [q-fin.GN])
- Published / Preprint: Profitability of simple technical trading rules of Chinese stock exchange indexes. (arXiv:1504.04254v1 [q-fin.TR])
- Published / Preprint: Estimating the Algorithmic Complexity of Stock Markets. (arXiv:1504.04296v1 [q-fin.CP])
- Published / Preprint: The Long Memory of Order Flow in the Foreign Exchange Spot Market. (arXiv:1504.04354v1 [q-fin.TR])
- Published / Preprint: Switching-GAS Copula Models for Systemic Risk Assessment. (arXiv:1504.03733v1 [stat.ME])
- Published / Preprint: Graph representation of balance sheets: from exogenous to endogenous money. (arXiv:1504.03895v1 [q-fin.EC])
- Published / Preprint: Forecasting trends with asset prices. (arXiv:1504.03934v1 [q-fin.ST])
- Blog Post: iMFdirect: Oil Prices and Public Finances: A Double-Edged Sword
- Vendor News: April 15, 2015 - ARMOUR Capital Management selects SS&Câs CAMRA for Investment Accounting and Reporting
- Blog Post: NumericalAlgorithmsGroup: Introducing the team: Craig Lucas, Senior Technical Consultant
- Published / Preprint: Systemic trade-risk of critical resources. (arXiv:1504.03508v1 [q-fin.EC])
- Published / Preprint: Random Time Forward Starting Options. (arXiv:1504.03552v1 [q-fin.PR])
- Published / Preprint: Pathwise super-replication via Vovk's outer measure. (arXiv:1504.03644v1 [q-fin.MF])
- Paul Darbyshire and David Hampton on Hedge Fund Modelling and Analysis
- 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
- 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])
| Posted: 17 Apr 2015 03:08 AM PDT Dr. Vishal Sikka, Chief Executive Officer of Infosys, has been appointed as an Advisory Professor by the East China Normal University (ECNU). He was conferred the Advisory Professorship at a ceremony on March 24, 2015, held at the ECNU campus. Visit MoneyScience for the Complete Article.      |
| The Crazy-Tiny Next Generation of Computers Posted: 17 Apr 2015 02:29 AM PDT "Smart dust," long heralded in research papers and sci-fi, is now a reality. Just don't sneeze. http://t.co/CrhKbChXvU — moneyscience (@moneyscience) April… Visit MoneyScience for the Complete Article.    |
| Dennis Cox on The Handbook of Anti-Money Laundering - MoneyScience's blog - MoneyScience Posted: 17 Apr 2015 02:29 AM PDT MoneyScience Interview - Dennis Cox on The Handbook of Anti-Money Laundering - get 30% off your copy from Wiley http://t.co/zDyzg6UCMI — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2015 02:29 AM PDT Paul Darbyshire and David Hampton on Hedge Fund Modelling and Analysis http://t.co/PJ2BcubkOS — moneyscience (@moneyscience) April 15, 2015 Visit MoneyScience for the Complete Article.    |
| Vendor News: Fidessa named Trading Platform of the Year at Asian Banker awards Posted: 17 Apr 2015 02:16 AM PDT    |
| Blog Post: TheAlephBlog: On Being A Forced Seller in a Panic Posted: 17 Apr 2015 01:46 AM PDT Photo Credit: wackystuffread more... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Apr 2015 05:39 PM PDT Economic systems are similar with physic systems for their large number of individuals and the exist of equilibrium. In this paper, we present a model applying the equilibrium statistical model in economic systems. Consistent with statistical physics, we define a series of concepts, such as economic temperature, economic pressure, economic potential, wealth and population. Moreover, we suggest... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Apr 2015 05:39 PM PDT Although technical trading rules have been widely used by practitioners in financial markets, their profitability still remains controversial. We here investigate the profitability of moving average (MA) and trading range break (TRB) rules by using the Shanghai Stock Exchange Composite Index (SHCI) from May 21, 1992 through December 31, 2013 and Shenzhen Stock Exchange Composite Index (SZCI) from... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Apr 2015 05:39 PM PDT Randomness and regularities in Finance are usually treated in probabilistic terms. In this paper, we develop a completely different approach in using a non-probabilistic framework based on the algorithmic information theory initially developed by Kolmogorov (1965). We present some elements of this theory and show why it is particularly relevant to Finance, and potentially to other sub-fields of... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Apr 2015 05:39 PM PDT We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in contrast to existing empirical studies of other markets, our data enables us to perform statistically stable estimation without needing to aggregate data from... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Apr 2015 06:29 PM PDT Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market. The ability of econometric models to predict extreme events strongly relies on their flexibility to account for the highly nonlinear and asymmetric dependence observed in financial returns. We develop a new class of... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Apr 2015 06:29 PM PDT A graph representation of the financial relations in a given monetary structure is proposed. It is argued that the graph of debt-liability relations is naturally organized and simplified into a tree structure, around banks and a central bank. Indeed, this optimal graph allows to perform payments very easily as it amounts to the suppression of loops introduced by pending payments. Using this... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Forecasting trends with asset prices. (arXiv:1504.03934v1 [q-fin.ST]) Posted: 15 Apr 2015 06:29 PM PDT In this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filtering. Expectedly, the choice of the parameters is crucial to put it into practice. For this purpose, we obtain the likelihood in closed form, and provide two on-line computations of this function. Then, we investigate the... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Oil Prices and Public Finances: A Double-Edged Sword Posted: 15 Apr 2015 02:40 PM PDT By Benedict Clements and Marta Ruiz-Arranz read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Apr 2015 06:09 AM PDT    |
| Blog Post: NumericalAlgorithmsGroup: Introducing the team: Craig Lucas, Senior Technical Consultant Posted: 15 Apr 2015 02:27 AM PDT Craig, describe your role at NAG? I am a Senior Technical Consultant based in NAG’s Manchester Office. Here I manage part of NAG’s High Performance Computing group. I come from a numerical linear algebra background. For my MSc dissertation I looked at nearest correlation matrix problems, something I still work on today, and this year I have an MSc student looking at more new... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Systemic trade-risk of critical resources. (arXiv:1504.03508v1 [q-fin.EC]) Posted: 14 Apr 2015 05:39 PM PDT In the wake of the 2008 financial crisis the role of strongly interconnected markets in fostering systemic instability has been increasingly acknowledged. Trade networks of commodities are susceptible to deleterious cascades of supply shocks that increase systemic trade-risks and pose a threat to geopolitical stability. On a global and a regional level we show that supply risk, scarcity, and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Random Time Forward Starting Options. (arXiv:1504.03552v1 [q-fin.PR]) Posted: 14 Apr 2015 05:39 PM PDT We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or not. We will call these options {\bf Random Time Forward Starting (RTFS)}. We... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2015 05:39 PM PDT Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. read more... Visit MoneyScience for the Complete Article.    |
| Paul Darbyshire and David Hampton on Hedge Fund Modelling and Analysis Posted: 14 Apr 2015 05:35 AM PDT Paul Darbyshire and David Hampton discuss their trilogy of books written for Wiley Finance.read more... 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.    |
| 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.    |
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