Wednesday, May 20, 2015

MoneyScience News

MoneyScience News

Published / Preprint: Hidden Liquidity: Some New Light on Dark Trading

Posted: 20 May 2015 03:15 AM PDT

Using a laboratory market, we investigate how the ability to hide orders affects traders̢۪ strategies and market outcomes in a limit order book environment. We find that order strategies are greatly affected by allowing hidden liquidity, with traders substituting nondisplayed for displayed shares and changing the aggressiveness of their trading. As traders adapt their behavior to the different...

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Margin Call

Posted: 20 May 2015 01:07 AM PDT

If you have access to BBC iPlayer, you can currently watch 'Margin Call' - http://t.co/rk9KeM0LSO — Risk Management (@Risk_Mgmt) May 20, 2015

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Published / Preprint: A pricing formula for delayed claims: Appreciating the past to value the future. (arXiv:1505.04914v1 [q-fin.PR])

Posted: 19 May 2015 05:37 PM PDT

We consider the valuation of contingent claims with delayed dynamics in a Black \& Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how the valuation of future cashflows cannot abstract away from the contribution of the past. As a practical application, we provide an...

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Published / Preprint: Optimal control of predictive mean-field equations and applications to finance. (arXiv:1505.04921v1 [math.OC])

Posted: 19 May 2015 05:37 PM PDT

We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process $X(t)$ and a \emph{predictive mean-field} backward SDE (BSDE) in the unknowns $Y(t), Z(t), K(t,\cdot)$. The driver of the BSDE at time $t$ may depend not just upon the unknown processes...

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Published / Preprint: American Options with Asymmetric Information and Reflected BSDE. (arXiv:1505.05046v1 [q-fin.PR])

Posted: 19 May 2015 05:37 PM PDT

We consider an American contingent claim on a financial market where the buyer has additional information. Both agents (seller and buyer) observe the same prices, while the information available to them may differ due to some extra exogenous knowledge the buyer has. The buyer's information flow is modeled by an initial enlargement of the reference filtration. It seems natural to investigate the...

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Published / Preprint: CEI: a new indicator measuring City Commercial Credit Risk initiated in China. (arXiv:1505.05089v1 [q-fin.RM])

Posted: 19 May 2015 05:37 PM PDT

Aiming at quantifying and evaluating the regional commercial environment along with the level of economic development among cities in mainland China, the concept of China City Commercial Environment Credit Index(CEI) was first introduced and established in 2010. In this manuscript, a historical review and detailed introduction of CEI is included, followed by statistical studies. In particular, an...

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Making waves: breaking down barriers with ultrafast networks - The Trading Mesh's blog - The Trading Mesh

Posted: 19 May 2015 05:17 AM PDT

.@thetradingmesh on microwave coms & the development of new, ultrafast wireless networks http://t.co/eQlNQFUZoK — moneyscience (@moneyscience) May 19, 2015

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Protecting the Norms of Science in Economics | Paul Romer

Posted: 19 May 2015 05:17 AM PDT

"this process..should ultimately lead–to shunning the work of several prominent economists." http://t.co/SNWufymE3P http://pic.twitter.com/IBbDJnO2Bl — Justin…

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