MoneyScience News |
- Blog Post: TheAlephBlog: On Partnership Investing
- Published / Preprint: On the precision of public information and mutual fund performance
- Published / Preprint: Return-based classification of absolute return funds
- Published / Preprint: The efficiency of target-date funds
- Published / Preprint: Kinetic models of immediate exchange. (arXiv:1505.01274v1 [q-fin.GN])
- Published / Preprint: A robust and efficient estimator of Sharpe ratios based on price records. (arXiv:1505.01333v1 [q-fin.ST])
- Blog Post: iMFdirect: Latin America and the Fiscal Stimulus: A Mild Hangover, Not Yet an Addiction
- Slashdot
- Samsung may adopt Bitcoin\'s blockchain technology
- MMP108: Behavioural Finance: Beeswax and Ropes
- Published / Preprint: Inference on the Sharpe ratio via the upsilon distribution. (arXiv:1505.00829v1 [q-fin.PM])
- Published / Preprint: An Introduction to Multilevel Monte Carlo for Option Valuation. (arXiv:1505.00965v1 [math.NA])
- Published / Preprint: Non-Arbitrage Under Additional Information for Thin Semimartingale Models. (arXiv:1505.00997v1 [q-fin.MF])
- Did Libor rigging help Deutsche Bank avoid a bailout? @Euromoney
- 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)
- Published / Preprint: Asymmetric Information about Collateral Values
- Blog Post: Luigi.Ballabio: QuantLib notebook: duration of a floating-rate bond
- Former Goldman Sachs programmer convicted of stealing code in second trial
- Blog Post: PatrickBurns: US market portrait 2015 week 18
- Blog Post: WealthandCapitalMarketsBlog: Corporate bonds: developing the secondary market through electronification
- Vendor News: Infosys Accelerates Data-driven Innovation for Enterprises Through the Infosys Information Platform
- Blog Post: ThePracticalQuant: More tools for managing and reproducing complex data projects
- Research - MoneyScience
| Blog Post: TheAlephBlog: On Partnership Investing Posted: 07 May 2015 12:58 AM PDT Image Credit: Aidan Jonesread more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: On the precision of public information and mutual fund performance Posted: 06 May 2015 10:35 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Return-based classification of absolute return funds Posted: 06 May 2015 10:35 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The efficiency of target-date funds Posted: 06 May 2015 10:35 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Kinetic models of immediate exchange. (arXiv:1505.01274v1 [q-fin.GN]) Posted: 06 May 2015 05:37 PM PDT We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or uni-directional movements of wealth. Such dynamics produces wealth distributions that describe more faithfully real data at small values of wealth. Secondly, a... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2015 05:37 PM PDT Sharpe ratios are much used in finance, yet cannot be measured directly because price returns are non-Gaussian. On the other hand, the number of records of a discrete-time random walk in a given time-interval follows a Gaussian distribution provided that its increment distribution has finite variance. As as consequence, record statistics of uncorrelated, biased, random walks provide an attractive... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Latin America and the Fiscal Stimulus: A Mild Hangover, Not Yet an Addiction Posted: 06 May 2015 06:49 AM PDT By Alexander Klemmread more... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2015 04:57 AM PDT The Programming Talent Myth http://t.co/TtcOThFi8F — moneyscience (@moneyscience) May 6, 2015 Visit MoneyScience for the Complete Article.    |
| Samsung may adopt Bitcoin\'s blockchain technology Posted: 06 May 2015 04:57 AM PDT Fascinating: RT @craigwb: Samsung may adopt Bitcoin's blockchain technology http://t.co/SjkJhrCaKB #bitcoin #cryptocurrency #blockchain — Capco… Visit MoneyScience for the Complete Article.    |
| MMP108: Behavioural Finance: Beeswax and Ropes Posted: 06 May 2015 04:57 AM PDT This week I chat to @gregbdavies about why investors make silly mistakes. I LOVED this interview! http://t.co/Ycd0V4rKun — Pete Matthew (@PeteMatthew) May 6,… Visit MoneyScience for the Complete Article.    |
| Posted: 05 May 2015 05:37 PM PDT The upsilon distribution, the sum of independent chi random variates and a normal, is introduced. As a special case, the upsilon distribution includes Lecoutre's lambda-prime distribution. The upsilon distribution finds application in Frequentist inference on the Sharpe ratio, including hypothesis tests on independent samples, confidence intervals, and prediction intervals, as well as their... Visit MoneyScience for the Complete Article.    |
| Posted: 05 May 2015 05:37 PM PDT Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this context, it is common for the quantity of interest to be the expected value of a random variable defined via a stochastic differential equation. In 2008, Giles proposed a remarkable improvement to the approach of discretizing with a numerical method and applying standard Monte Carlo. His multilevel... Visit MoneyScience for the Complete Article.    |
| Posted: 05 May 2015 05:37 PM PDT This paper completes the two studies undertaken in \cite{aksamit/choulli/deng/jeanblanc2} and \cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called NUPBR hereafter) when the stock price processes are quasi-left-continuous (do not jump on predictable stopping times). Herein, we focus on... Visit MoneyScience for the Complete Article.    |
| Did Libor rigging help Deutsche Bank avoid a bailout? @Euromoney Posted: 05 May 2015 06:14 AM PDT A £90 million bonus for Trader 3: RT @msgbi: Did LIBOR rigging help Deutsche Bank avoid a bailout | @euromoney http://t.co/XJAEomaHkf — Beate Reszat (@rszbt)… Visit MoneyScience for the Complete Article.    |
| 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 consultants̢۪ recommendations, what impact these recommendations have on flows, and how well the recommended funds perform. We find that investment consultants̢۪ 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.    |
| 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    |
| Former Goldman Sachs programmer convicted of stealing code in second trial Posted: 03 May 2015 07:54 AM PDT Former Goldman Sachs programmer convicted of stealing code in second trial http://t.co/yEvO92l9HN — moneyscience (@moneyscience) May 3, 2015 Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2015 week 18 Posted: 02 May 2015 01:55 AM PDT US large cap market returns. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 01 May 2015 02:28 PM PDT Corporate bonds have become a popular vehicle of investment in recent years.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Apr 2015 08:59 AM PDT Infosys today announced details of the Infosys Information Platform (IIP), including new pre-packaged solutions from Infosys BPO and Infosys Finacle. Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: More tools for managing and reproducing complex data projects Posted: 29 Apr 2015 08:07 AM PDT A survey of the landscape shows the types of tools remain the same, but interfaces continue to improve.[A version of this post appears on the O'Reilly Radar.]As data projects become complex and as data teams grow in size, individuals and organizations need tools to efficiently manage data projects. A while back, I wrote a poston common options, and I closed that piece by asking:Are there... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Apr 2015 05:05 AM PDT Latest Research at MoneyScience http://t.co/bzdCXJ6OjF — moneyscience (@moneyscience) April 29, 2015 Visit MoneyScience for the Complete Article.    |
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