MoneyScience News |
- Vendor News: Fidessa's Affirmation Management Service named Best New Post-trade Solution for the Buy-side
- Published / Preprint: Picking Winners? Investment Consultants' Recommendations of Fund Managers
- Published / Preprint: Profitability of contrarian strategies in the Chinese stock market. (arXiv:1505.00328v1 [q-fin.TR])
- Published / Preprint: Phase Transitions, Renormalization and Yang-Lee Zeros in Stock Markets. (arXiv:1505.00471v1 [q-fin.GN])
- Published / Preprint: A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems. (arXiv:1505.00597v1 [math.PR])
- Published / Preprint: On statistical indistinguishability of complete and incomplete discrete time market models. (arXiv:1505.00638v1 [q-fin.MF])
- Published / Preprint: Collective synchronization and high frequency systemic instabilities in financial markets. (arXiv:1505.00704v1 [q-fin.ST])
- Published / Preprint: Continuous-time trading and the emergence of probability. (arXiv:0904.4364v4 [math.PR] UPDATED)
- Blog Post: iMFdirect: How Much Finance Is Too Much: Stability, Growth & Emerging Markets
- Published / Preprint: Asymmetric Information about Collateral Values
- Blog Post: Luigi.Ballabio: QuantLib notebook: duration of a floating-rate bond
| Posted: 05 May 2015 01:06 AM PDT      |
| Published / Preprint: Picking Winners? Investment Consultants' Recommendations of Fund Managers Posted: 05 May 2015 12:58 AM PDT Investment consultants advise institutional investors on their choice of fund manager. Focusing on U.S. actively managed equity funds, we analyze the factors that drive consultants’ recommendations, what impact these recommendations have on flows, and how well the recommended funds perform. We find that investment consultants’ recommendations of funds are driven largely by soft factors,... Visit MoneyScience for the Complete Article.    |
| Posted: 04 May 2015 05:38 PM PDT This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contrarian profitability in the whole sample period when the estimation and holding... Visit MoneyScience for the Complete Article.    |
| Posted: 04 May 2015 05:38 PM PDT The present paper analyses the formal parallelism existing between the laws of thermodynamics and some economic principles. Based on previous works, we shall show how the existence in Economics of principles analogous to those in thermodynamics involves the occurrence of economic events that remind of well-known phenomenological thermodynamic paradigms (i.e., the magnetocaloric effect and... Visit MoneyScience for the Complete Article.    |
| Posted: 04 May 2015 05:38 PM PDT We provide a general Doob-Meyer decomposition for $g$-supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Meyer decomposition of Mertens (1972) for classical supermartingales, as well as Peng's (1999) version for right-continuous $g$-supermartingales. As examples of application, we prove an optional decomposition theorem for... Visit MoneyScience for the Complete Article.    |
| Posted: 04 May 2015 05:38 PM PDT We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper shows that market incompleteness is also non-robust. We show that, for any incomplete market from a... Visit MoneyScience for the Complete Article.    |
| Posted: 04 May 2015 05:37 PM PDT Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now trading exclusively using electronic platforms. The ultra fast speed of information processing, order placement, and cancelling generates new dynamics which... Visit MoneyScience for the Complete Article.    |
| Posted: 04 May 2015 05:37 PM PDT This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized financial security with continuous price path, without making any stochastic assumptions. It is shown that typical price paths possess quadratic variation, where "typical" is understood in... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: How Much Finance Is Too Much: Stability, Growth & Emerging Markets Posted: 04 May 2015 07:09 AM PDT By Ratna Sahay, Martin Čihák, and Papa N’Diaye read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Asymmetric Information about Collateral Values Posted: 04 May 2015 12:08 AM PDT I empirically analyze credit market outcomes when competing lenders are differentially informed about the expected return from making a loan. I study the residential mortgage market, where property developers often cooperate with vertically integrated mortgage lenders to offer financing to buyers of new homes. I show that these integrated lenders have superior information about the construction... Visit MoneyScience for the Complete Article.    |
| Blog Post: Luigi.Ballabio: QuantLib notebook: duration of a floating-rate bond Posted: 03 May 2015 10:36 PM PDT    |
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