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- Published / Preprint: Double-jump stochastic volatility model for VIX: evidence from VVIX. (arXiv:1506.07554v1 [q-fin.CP])
- Published / Preprint: Too dynamic to fail. Empirical support for an autocatalytic model of Minsky's financial instability hypothesis. (arXiv:1506.07582v1 [q-fin.GN])
- Published / Preprint: A Bayesian Model of the Litigation Game. (arXiv:1506.07854v1 [q-fin.EC])
- Blog Post: WealthandCapitalMarketsBlog: Looking beyond 'Bondificationâ
- Blog Post: iMFdirect: U.S. Monetary Policy: Avoiding Dark Corners
- Blog Post: ThePracticalQuant: Fireside chat with Ben Horowitz
- Trouble in the Bloomberg Solar System
- Blog Post: NumericalAlgorithmsGroup: Helping primary school children achieve the best in their SATs
| Posted: 25 Jun 2015 05:38 PM PDT The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric a?ne model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between the stochastic volatility factor and VVIX index. We detect the existence of co-jump of VIX and VVIX and put forward a double-jump stochastic... Visit MoneyScience for the Complete Article.      |
| Posted: 25 Jun 2015 05:38 PM PDT Solomon and Golo [1] have recently proposed an autocatalytic (self-reinforcing) feedback model which couples a macroscopic system parameter (the interest rate), a microscopic parameter that measures the distribution of the states of the individual agents (the number of firms in financial difficulty) and a peer-to-peer network effect (contagion across supply chain financing). In this model, each... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Bayesian Model of the Litigation Game. (arXiv:1506.07854v1 [q-fin.EC]) Posted: 25 Jun 2015 05:38 PM PDT Over a century ago, Oliver Wendell Holmes invited scholars to look at the law through the lens of probability theory: "The prophecies of what the courts will do in fact, and nothing more pretentious, are what I mean by the law." Yet few legal scholars have taken up this intriguing invitation. As such, in place of previous approaches to the study of law, this paper presents a... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Looking beyond 'Bondificationâ Posted: 25 Jun 2015 08:47 AM PDT There has been an interesting article in the Financial Times by John Authers on the ‘bondification” of the equity markets, namely the tendency for fund managers to invest in good dividends, low debt and high return on equity. Some of the causes of this phenomenon include the low interest rate regime in many of the mature markets such as the US and the tendency for high risk aversion... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: U.S. Monetary Policy: Avoiding Dark Corners Posted: 25 Jun 2015 07:58 AM PDT By Ali Alichi, Douglas Laxton, Jarkko Turunen, and Hou Wangread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Fireside chat with Ben Horowitz Posted: 25 Jun 2015 07:09 AM PDT I had the pleasure of interviewing Ben Horowitz on the main stage at the recent Spark summit in SFO. Ben is co-founder of one of the leading tech venture capital firms a16z, and author of one of my favorite books about entrepreneurship ("The Hard Thing About Hard Things").The Spark Summit had a packed lineup, so I tried to pack a wide a variety of questions in the 15 minutes allotted: Visit MoneyScience for the Complete Article.    |
| Trouble in the Bloomberg Solar System Posted: 25 Jun 2015 06:48 AM PDT Long Read: Trouble in the Bloomberg Solar System http://t.co/P2sFu4q561 — moneyscience (@moneyscience) June 25, 2015 Visit MoneyScience for the Complete Article.    |
| Blog Post: NumericalAlgorithmsGroup: Helping primary school children achieve the best in their SATs Posted: 25 Jun 2015 04:26 AM PDT My wife Caroline is a teacher in a primary school near where we live in Buckinghamshire. She teaches year 6, that is to say, ten to eleven year old children. Now, year 6 is a rather important year in British schools. Children following the National Curriculum in state-funded schools are subject to SATs (standard assessment tests) before they move on to secondary school, and the results of these... Visit MoneyScience for the Complete Article.    |
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