MoneyScience News |
- Vendor News: Guotai Junan Securities (Hong Kong) Limited goes live with Fidessa
- Published / Preprint: Market Making Contracts, Firm Value, and the IPO Decision
- Blog Post: WealthandCapitalMarketsBlog: Using Automation to Ignite Delivery of De-Accumulation Services
- Published / Preprint: Structure of global buyer-supplier networks and its implications for conflict minerals regulations. (arXiv:1505.02274v1 [physics.soc-ph])
- Published / Preprint: Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm. (arXiv:1505.02281v1 [q-fin.RM])
- Published / Preprint: Wrong-Way Bounds in Counterparty Credit Risk Management. (arXiv:1505.02292v1 [q-fin.RM])
- Published / Preprint: The Intrafirm Complexity of Systemically Important Financial Institutions. (arXiv:1505.02305v1 [q-fin.GN])
- Published / Preprint: Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. (arXiv:1505.02416v1 [q-fin.MF])
- Published / Preprint: Approximate hedging problem with transaction costs in stochastic volatility markets. (arXiv:1505.02546v1 [q-fin.MF])
- Published / Preprint: Applications of the "Unconscious Statistician" Theorem to profit maximization of a company that sells an arbitrary numbers of products. (arXiv:1505.02644v1 [q-fin.GN])
- Published / Preprint: Effects of polynomial trends on detrending moving average analysis. (arXiv:1505.02750v1 [physics.data-an])
- Published / Preprint: Ben Bernanke
- Published / Preprint: CALL FOR PAPERS
- Published / Preprint: 11May/Economic Consultative Committee statement on FX market best practices
| Vendor News: Guotai Junan Securities (Hong Kong) Limited goes live with Fidessa Posted: 12 May 2015 01:36 AM PDT      |
| Published / Preprint: Market Making Contracts, Firm Value, and the IPO Decision Posted: 12 May 2015 12:48 AM PDT We examine the effects of secondary market liquidity on firm value and the IPO decision. Competitive aftermarket liquidity provision is associated with reduced welfare and a discounted secondary market price that can dissuade IPOs. The competitive market fails in particular for firms or at times when uncertainty regarding fundamental value and asymmetric information are large in combination. In... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 09:07 PM PDT In my latest report, Gold at the End of the Rainbow: Using Automation to Profitably Serve the De-Accumulating Investor, I explore the degree and form to which automated forms of delivery can be used to profitably serve the de accumulation needs of retirement investors.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 05:37 PM PDT We investigate the structure of global inter-firm linkages using a dataset that contains information on business partners for about 400,000 firms worldwide, including all the firms listed on the major stock exchanges. Among the firms, we examine three networks, which are based on customer-supplier, licensee-licensor, and strategic alliance relationships. First, we show that these networks all... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 05:37 PM PDT Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and words of warning concerning their implementation are raised. Furthermore, both conceptual and computational improvements to the Rearrangement Algorithm for approximating worst Value-at-Risk for portfolios with arbitrary marginal loss distributions are provided. In particular,... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 05:37 PM PDT We study the problem of ?finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a nonlinear loss function. We show that when the risk measure is CVaR, and the distributions are discretized, the problem can be conveniently solved using linear programming technique. The method has applications to any situation where marginals are provided, and... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 05:37 PM PDT In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 "systemically important financial institutions" (SIFIs). This designation reflects a concern that the failure of any one of them could have dramatic negative consequences for the global economy and is based on "their size, complexity, and systemic interconnectedness".... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 05:37 PM PDT While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free way, if proportional transaction costs are taken into account. In this paper, we show, for a class of price processes which are not necessarily semimartingales, the existence of an optimal trading strategy for utility... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 05:37 PM PDT This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm \cite{Leland}. We prove several limit theorems for the normalized replication error of Leland's strategy, as well as that of the strategy suggested by L\'epinette. The asymptotic results obtained... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 05:37 PM PDT One of the problems faced by a firm that sells certain goods is to determine which is the number of products that must supply to maximize profits. In this article, we give an answer to this problem of economic interest. To solve it we use the theorem "unconscious statistician". The proposed problem is a generalization of the results obtained by Stirzaker and Kupferman where the authors do not... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2015 05:37 PM PDT The detrending moving average (DMA) algorithm is one of the best performing methods to quantify the long-term correlations in nonstationary time series. Many long-term correlated time series in real systems contain various trends. We investigate the effects of polynomial trends on the scaling behaviors and the performances of three widely used DMA methods including backward algorithm (BDMA),... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Ben Bernanke Posted: 11 May 2015 12:17 PM PDT    |
| Published / Preprint: CALL FOR PAPERS Posted: 11 May 2015 12:17 PM PDT    |
| Published / Preprint: 11May/Economic Consultative Committee statement on FX market best practices Posted: 11 May 2015 04:55 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.    |
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