MoneyScience News |
- Vendor News: Infosys, East China Normal University and Renmin University of China Establish New Data Science Joint Lab
- Published / Preprint: 21Apr/Basel Committee removes selected national discretions and replies to frequently asked question on funding valuation adjustment
- UK supermarkets dupe shoppers out of hundreds of millions, says Which?
- Does Variety Fuel Happiness at Work and in Life? It Depends - Knowledge@Wharton
- http://www.quora.com/Has-the-quant-finance-space-been-saturated/answer/Robert-J-Frey?share=1
- Post-Doctoral Researcher in Energy Economics and Applied Econometrics job opening in Zürich, Switzerland - INOMICS | Economics Jobs
- Blog Post: TheAlephBlog: On Negative Interest Rates
- Hedge Fund
- Published / Preprint: Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs. (arXiv:1504.04682v1 [q-fin.TR])
- Published / Preprint: Time-consistency of risk measures with GARCH volatilities and their estimation. (arXiv:1504.04774v1 [q-fin.RM])
- Published / Preprint: Forecasting the term structure of crude oil futures prices with neural networks. (arXiv:1504.04819v1 [q-fin.GN])
- Vendor News: April 20, 2015 - SS&C Celebrates 10 Years Since Acquisition of Financial Models Company
| Posted: 21 Apr 2015 03:07 AM PDT Infosys, in collaboration with East China Normal University (ECNU) and Renmin University of China (RUC), announced the establishment of a Data Science Joint Lab. The lab will be located in the East China Normal University campus in Shanghai, and will be open to students majoring in computer science. Visit MoneyScience for the Complete Article.      |
| Posted: 21 Apr 2015 02:05 AM PDT Press release about the Basel Committee removing selected national discretions and replying to frequently asked question on funding valuation adjustment (21 April 2015) Visit MoneyScience for the Complete Article.    |
| UK supermarkets dupe shoppers out of hundreds of millions, says Which? Posted: 21 Apr 2015 12:55 AM PDT UK Consumer Group lands 'super-complaint' on supermarkets over pricing tactics http://t.co/Q6Imzyq7Sd related tricks: http://t.co/TtMeSkGtJy — moneyscience… Visit MoneyScience for the Complete Article.    |
| Does Variety Fuel Happiness at Work and in Life? It Depends - Knowledge@Wharton Posted: 21 Apr 2015 12:55 AM PDT Variety vs. Multitasking: One Is the Spice of Life -- and the Other Will Stress You Out: http://t.co/OlArU0Shkg http://ift.tt/1K19Yqt — Knowledge @ Wharton… Visit MoneyScience for the Complete Article.    |
| http://www.quora.com/Has-the-quant-finance-space-been-saturated/answer/Robert-J-Frey?share=1 Posted: 21 Apr 2015 12:55 AM PDT My @Quora answer to Has the quant finance space been saturated? http://t.co/ixOdJ9eZLN — Robert J Frey ن (@financequant) April 21, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 21 Apr 2015 12:55 AM PDT Post-Doctoral Researcher in Energy Economics and Applied Econometrics in Zürich, Switzerland: https://t.co/dGEIV35s4Z — Dave Giles (@DEAGiles) April 20, 2015 Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Negative Interest Rates Posted: 21 Apr 2015 12:48 AM PDT Photo Credit: Alcino || What is the sound of negative one hand clapping?read more... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Apr 2015 12:32 AM PDT There are many dumb ideas in Hedge Fund land. Single purpose funds? Hedge funds are a long term investment http://t.co/vYKi5xCpZy — Veryan Allen (@HedgeFund)… Visit MoneyScience for the Complete Article.    |
| Posted: 20 Apr 2015 05:38 PM PDT This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal times to enter and subsequently exit the market, when prices are driven by an exponential Ornstein-Uhlenbeck process. In addition, we analyze a related optimal switching problem that involves an infinite sequence of... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Apr 2015 05:38 PM PDT In this paper we study time-consistent risk measures for returns that are given by a GARCH$(1,1)$ model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study in detail our construction for the risk measures Value-at-Risk (VaR) and Average Value-at-Risk (AVaR). While in the VaR case we can derive an analytical... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Apr 2015 05:38 PM PDT The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed framework is empirically tested on 24 years of crude oil futures prices covering several important recessions... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Apr 2015 06:58 AM PDT    |
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