Monday, June 1, 2015

MoneyScience News

MoneyScience News

Blog Post: Luigi.Ballabio: An IPython notebook server with QuantLib on Docker

Posted: 31 May 2015 10:36 PM PDT

Published / Preprint: Linking Economic Complexity, Institutions and Income Inequality. (arXiv:1505.07907v1 [q-fin.EC])

Posted: 31 May 2015 05:31 PM PDT

The mix of products that a country exports predicts that country's subsequent pattern of diversification and economic growth. But does this product mix also predict income inequality? Here we combine methods from econometrics, network science, and economic complexity to show that countries that export complex products - products that are exported by a few diversified countries - have lower levels...

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Published / Preprint: Predictability of price movements in deregulated electricity markets. (arXiv:1505.08117v1 [q-fin.ST])

Posted: 31 May 2015 05:31 PM PDT

In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the probability distribution analysis we show that the studied markets exhibit strongly anti-persistent properties suggesting that their dynamics can be predicted based on...

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Published / Preprint: Long-range memory and multifractality in gold markets. (arXiv:1505.08136v1 [q-fin.ST])

Posted: 31 May 2015 05:31 PM PDT

Long-range correlation and fluctuation in the gold market time series of world's two leading gold consuming countries, namely China and India, are studied. For both the market series during the period 1985-2013 we observe a long-range persistence of memory in the sequences of maxima (minima) of returns in successive time windows of fixed length, but the series as a whole are found to be...

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