MoneyScience News |
- Blog Post: TheAlephBlog: 2000 More Points To Go; Look Elsewhere!
- Blog Post: ThePracticalQuant: Coming full circle with Bigtable and HBase
- Blog Post: WealthandCapitalMarketsBlog: Climbing the Advice Value Chain: Why the Orion-Jemstep Tie-Up Makes Sense
- Published / Preprint: Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses. (arXiv:1504.06031v1 [q-fin.PM])
- Published / Preprint: Reflected BSDEs when the obstacle is not right-continuous and optimal stopping. (arXiv:1504.06094v1 [math.PR])
- Published / Preprint: Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process. (arXiv:1504.06235v1 [q-fin.ST])
- Vendor News: April 23, 2015 - SS&C Technologies Holdings, Inc. Receives Request for Additional Information From DOJ
- Blog Post: iMFdirect: Spring Meetings Redux!
- Vendor News: Fidessa Named Best Sell-Side Front-Office Execution Platform
- Published / Preprint: Noise Robust Online Inference for Linear Dynamic Systems. (arXiv:1504.05723v1 [stat.CO])
- Published / Preprint: Agent-based mapping of credit risk for sustainable microfinance. (arXiv:1504.05737v1 [q-fin.RM])
- Published / Preprint: SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (arXiv:1504.05806v1 [q-fin.CP])
- Published / Preprint: A Study of Correlations in the Stock Market. (arXiv:1504.05844v1 [q-fin.ST])
- Guy Trading at Home Caused the Flash Crash
- UK 'flash crash' trader appears in court - BBC News
- Economist's View: 'Spoofing in an Algorithmic Ecosystem'
- UK financial trader arrested over 2010 global markets 'flash crash'
- How Sarao 'spoofed, layered' his way to $1-mln flash crash gain
- Published / Preprint: Introduction to Stochastic Differential Equations (SDEs) for Finance. (arXiv:1504.05309v1 [q-fin.MF])
- 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
- 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])
- Blog Post: Luigi.Ballabio: Chapter 7, part 5 of 6: tree-based lattices
| Blog Post: TheAlephBlog: 2000 More Points To Go; Look Elsewhere! Posted: 24 Apr 2015 12:07 AM PDT 15 years is a long time to wait for a 1%/yr returnread more... Visit MoneyScience for the Complete Article.      |
| Blog Post: ThePracticalQuant: Coming full circle with Bigtable and HBase Posted: 23 Apr 2015 06:46 PM PDT Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2015 06:18 PM PDT In my last post I talked about the blending of real life and automated advice, and the benefits a hybridized model offer the advisor. Here I discuss the synergies that inform the partnership between portfolio reporting system provider Orion Advisor Services and automated investments advisor Jemstep.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2015 05:37 PM PDT We study optimal buying and selling strategies in target zone models. In these models the price is modeled by a diffusion process which is reflected at one or more barriers. Such models arise for example when a currency exchange rate is kept above a certain threshold due to central bank intervention. We consider the optimal portfolio liquidation problem for an investor for whom prices are optimal... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2015 05:37 PM PDT In the first part of the paper, we study reflected backward stochastic differential equations (RBSDEs) with lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous. We prove existence and uniqueness of the solutions to such RBSDEs in appropriate Banach spaces. The result is established by using some tools from the general theory of processes such as... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2015 05:37 PM PDT The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different financial underlyings is developed in this paper. Computing the differences of the relative positions of relevant local extrema of two charts, i.e., the local phase... Visit MoneyScience for the Complete Article.    |
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| Blog Post: iMFdirect: Spring Meetings Redux! Posted: 23 Apr 2015 07:07 AM PDT By Sabina Bhatiaread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Fidessa Named Best Sell-Side Front-Office Execution Platform Posted: 23 Apr 2015 01:47 AM PDT    |
| Posted: 22 Apr 2015 05:38 PM PDT We revisit the Bayesian online inference problems for the linear dynamic systems (LDS) under non- Gaussian environment. The noises can naturally be non-Gaussian (skewed and/or heavy tailed) or to accommodate spurious observations, noises can be modeled as heavy tailed. However, at the cost of such noise robustness, the performance may degrade when such spurious observations are absent. Therefore,... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2015 05:38 PM PDT Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the sustainability of lenders outreaching to the poor. Specifically, using the elements of network theory, we constructed an agent-based model that obeys the stylised rules... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2015 05:38 PM PDT In this paper we consider classes of models that have been recently developed for quantitative finance that involve modelling a highly complex multivariate, multi-attribute stochastic process known as the Limit Order Book (LOB). The LOB is the primary data structure recorded each day intra-daily for all assets on every electronic exchange in the world in which trading takes place. As such, it... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Study of Correlations in the Stock Market. (arXiv:1504.05844v1 [q-fin.ST]) Posted: 22 Apr 2015 05:37 PM PDT We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the sectorial indices movement and the correlations among them. Our analysis shows significant auto correlation among the individual sectors and also... Visit MoneyScience for the Complete Article.    |
| Guy Trading at Home Caused the Flash Crash Posted: 22 Apr 2015 08:10 AM PDT Nice in depth analysis on Sarao and the #flashcrash at Bloomberg http://t.co/afsbx8sCwr — moneyscience (@moneyscience) April 22, 2015 Visit MoneyScience for the Complete Article.    |
| UK 'flash crash' trader appears in court - BBC News Posted: 22 Apr 2015 07:54 AM PDT Sarao in court: http://t.co/aua9xYDPvH Is blaming him for the #flashcrash like blaming a butterfly in China for a hurricane in the US? — moneyscience… Visit MoneyScience for the Complete Article.    |
| Economist's View: 'Spoofing in an Algorithmic Ecosystem' Posted: 22 Apr 2015 07:22 AM PDT 'Spoofing in an Algorithmic Ecosystem' http://t.co/R9l60EPyDv — Mark Thoma (@MarkThoma) April 22, 2015 Visit MoneyScience for the Complete Article.    |
| UK financial trader arrested over 2010 global markets 'flash crash' Posted: 22 Apr 2015 04:28 AM PDT UK financial trader arrested over 2010 global markets 'flash crash' http://t.co/NZmJ2Fbc7w — moneyscience (@moneyscience) April 21, 2015 Visit MoneyScience for the Complete Article.    |
| How Sarao 'spoofed, layered' his way to $1-mln flash crash gain Posted: 22 Apr 2015 01:33 AM PDT How Sarao 'spoofed, layered' his way to $1-mln flash crash gain http://t.co/r5qb2EliNQ via @FXS_Finance_EN #FlashCrash #2010 — D. Geromichalos ScD (@dg_risk)… Visit MoneyScience for the Complete Article.    |
| Posted: 21 Apr 2015 05:38 PM PDT These are course notes on the application of SDEs to options pricing. The author being partially supported by NSF grant DMS-0739195. Visit MoneyScience for the Complete Article.    |
| 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.    |
| 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.    |
| Blog Post: Luigi.Ballabio: Chapter 7, part 5 of 6: tree-based lattices Posted: 19 Apr 2015 10:36 PM PDT    |
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