Thursday, May 21, 2015

MoneyScience News

MoneyScience News

Blog Post: NumericalAlgorithmsGroup: Introducing the team: Gail Austin, Customer Support Coordinator, Team Leader

Posted: 21 May 2015 03:35 AM PDT

Gail, describe your role at NAG? I manage the Technical Support Service, the Sales Operations Team, NAG Oxford Reception and I am website editor for the marketing area of the website. Can you give examples of the customer problems you help solve via NAG Technical Support? Rather than solve users technical issues my role is connected to the direction of incoming support queries and the...

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Published / Preprint: News Trading and Speed

Posted: 21 May 2015 03:17 AM PDT

We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is “fast”), versus when he cannot (is “slow”). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with short-run price changes. Nevertheless, he realizes a large fraction of his profits from trading on...

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Vendor News: May 21, 2015 - SS&C GlobeOp Forward Redemption Indicator: May notifications 4.68%

Posted: 21 May 2015 01:06 AM PDT

Published / Preprint: Market Fragility, Systemic Risk, and Ricci Curvature. (arXiv:1505.05182v1 [q-fin.RM])

Posted: 20 May 2015 05:37 PM PDT

Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that representing such systems as a weighted graph characterizing the complex web of interacting agents over some information flow (e.g., debt, stock returns, shareholder...

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Published / Preprint: Small-time asymptotics for Gaussian self-similar stochastic volatility models. (arXiv:1505.05256v1 [q-fin.MF])

Posted: 20 May 2015 05:37 PM PDT

We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the call and put pricing functions, and the implied volatilities. Unlike the well-known model-free behavior for extreme-strike asymptotics, small-time behaviors of the above depend heavily on the model, and require a control...

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Published / Preprint: Portfolio Optimization. (arXiv:1505.05491v1 [q-fin.PM])

Posted: 20 May 2015 05:37 PM PDT

In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a portfolio is chosen on the efficient frontier were calculated. In addition, the...

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Blog Post: iMFdirect: Flash Crashes and Swiss Francs: Market Liquidity Takes a Holiday

Posted: 20 May 2015 06:37 AM PDT

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Dennis Cox on The Handbook of Anti-Money Laundering - MoneyScience's blog - MoneyScience

Posted: 20 May 2015 04:02 AM PDT

We interview Dennis Cox on is book 'The Handbook of Anti-Money Laundering' http://t.co/zDyzg7cebi - @wiley_finance — moneyscience (@moneyscience) May 20, 2015

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