MoneyScience News |
- Blog Post: Luigi.Ballabio: A quick look at the QuantLib 1.6 release
- Published / Preprint: Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns. (arXiv:1506.08054v1 [q-fin.ST])
- Published / Preprint: Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. (arXiv:1506.08127v1 [q-fin.MF])
- Blog Post: TheAlephBlog: The Phases of an Investment Idea
- Blog Post: WealthandCapitalMarketsBlog: Post-trade and the clouds over Europe
- Blog Post: PatrickBurns: US market portrait 2015 week 26
- 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: 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
- How rich is the Queen? - BBC News
- Top City bankers must wait 10 years for guaranteed bonuses, watchdogs rule
- Published / Preprint: On Elicitation Complexity and Conditional Elicitation. (arXiv:1506.07212v1 [cs.LG])
- Published / Preprint: On Game-Theoretic Risk Management (Part One) - Towards a Theory of Games with Payoffs that are Probability-Distributions. (arXiv:1506.07368v1 [q-fin.EC])
- Published / Preprint: Braving the Tempest: Methodological foundations of policy-making in sustainability transitions. (arXiv:1506.07432v1 [physics.soc-ph])
- Vendor News: June 24, 2015 - SS&C Announces Closing of Public Offering of its Common Stock
- Published / Preprint: Efficient approximate Bayesian inference for models with intractable likelihoods. (arXiv:1506.06975v1 [stat.CO])
- Published / Preprint: Intrinsic Storage Valuation by Variational Analysis. (arXiv:1506.06979v1 [math.OC])
- Published / Preprint: Market shape formation, statistical equilibrium and neutral evolution theory. (arXiv:1506.07163v1 [q-fin.MF])
- Published / Preprint: Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio. (arXiv:1506.06180v1 [q-fin.CP])
- Published / Preprint: Nonparametric estimates of pricing functionals. (arXiv:1506.06568v1 [q-fin.PR])
- Published / Preprint: Model-free Superhedging Duality. (arXiv:1506.06608v1 [q-fin.MF])
- Published / Preprint: Systemic risk in multiplex networks with asymmetric coupling and threshold feedback. (arXiv:1506.06664v1 [physics.soc-ph])
- Published / Preprint: Understanding the Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of 7 Randomised Experiments. (arXiv:1506.06669v1 [q-fin.EC])
- How Silicon Valley and Wall Street arrived at a new gold rush called Bitcoin
- Published / Preprint: 22Jun/Net Stable Funding Ratio disclosure requirements finalised by the Basel Committee
| Blog Post: Luigi.Ballabio: A quick look at the QuantLib 1.6 release Posted: 28 Jun 2015 10:36 PM PDT      |
| Posted: 28 Jun 2015 05:37 PM PDT All too often measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However this may not capture all facets of reality. We study empirical dependencies of daily stock returns by their pairwise copulas. Here we investigate particularly to which extent the non-stationarity of financial time series affects both the estimation and the... Visit MoneyScience for the Complete Article.    |
| Posted: 28 Jun 2015 05:36 PM PDT Martingality plays a crucial role in mathematical finance, in particular arbitrage-freeness of a financial model is guaranteed by the local martingale property of discounted price processes. However, in order to compute prices as conditional expectations the discounted price process has to be a true martingale. If this is not the case, the market and the fundamental (computed) prices deviate,... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Phases of an Investment Idea Posted: 28 Jun 2015 01:36 AM PDT Photo Credit: David Warringtonread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Post-trade and the clouds over Europe Posted: 27 Jun 2015 09:47 AM PDT Europe has been dealing lately with all the issues around the Greek debt and the possibility of a “Grexit”. While the final decision on the matter would have its significant repercussions, the uncertainty that has come with the problem in the last few months is also expected to have its own associated costs. It could also impact the long-term competitiveness of the region vis-Ã -vis... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2015 week 26 Posted: 27 Jun 2015 03:16 AM PDT US large cap market returns. read more... Visit MoneyScience for the Complete Article.    |
| 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: 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.    |
| How rich is the Queen? - BBC News Posted: 25 Jun 2015 02:19 AM PDT Just how rich is the Queen and where does her wealth come from? http://t.co/78S8GnXmpC — moneyscience (@moneyscience) June 25, 2015 Visit MoneyScience for the Complete Article.    |
| Top City bankers must wait 10 years for guaranteed bonuses, watchdogs rule Posted: 25 Jun 2015 02:19 AM PDT UK Watchdogs rule Top City bankers must wait 10 years for guaranteed bonuses. http://t.co/FWHThEEHT0 — moneyscience (@moneyscience) June 23, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jun 2015 05:37 PM PDT Elicitation is the study of statistics or properties which are computable via empirical risk minimization. While several recent papers have approached the general question of which properties are elicitable, we suggest that this is the wrong question---all properties are elicitable by first eliciting the entire distribution or data set, and thus the important question is how elicitable.... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jun 2015 05:37 PM PDT Optimal behavior in (competitive) situation is traditionally determined with the help of utility functions that measure the payoff of different actions. Given an ordering on the space of revenues (payoffs), the classical axiomatic approach of von Neumann and Morgenstern establishes the existence of suitable utility functions, and yields to game-theory as the most prominent materialization of a... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jun 2015 05:37 PM PDT Policy-makers currently face unprecedented challenges and uncertainty when taking decisions that simultaneously affect economic development, technology and the environment. It is not clear to policy-makers how to reconcile economic policy supporting growth with climate change mitigation, and it is not clear how effective policies are likely to be. read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: June 24, 2015 - SS&C Announces Closing of Public Offering of its Common Stock Posted: 24 Jun 2015 01:07 PM PDT    |
| Posted: 23 Jun 2015 05:38 PM PDT We consider the problem of approximate Bayesian parameter inference in nonlinear state space models with intractable likelihoods. Sequential Monte Carlo with approximate Bayesian computations (SMC-ABC) is an approach to approximate the likelihood in this type of models. However, such approximations can be noisy and computationally costly which hinders efficient implementations using standard... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jun 2015 05:38 PM PDT The mathematical problem concerning intrinsic storage optimisation is formulated and solved by means of variational analysis. The solution, though obtained in implicit form, still sheds light on many important features of the optimal exercise strategy. It is shown how the solution depends on different constraint types including carry cost and cycle constraint. Additionally, the relationship... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jun 2015 05:38 PM PDT Mathematical methods of population genetics and framework of exchangeability provide a Markov chain model for analysis and interpretation of stochastic behaviour of equity markets, explaining, in particular, market shape formation, statistical equilibrium and temporal stability of market weights. Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jun 2015 05:37 PM PDT We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the `implied Sharpe ratio' and derive a series approximation for this quantity. The zeroth-order approximation of the value... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jun 2015 05:37 PM PDT We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during the year 2012. Two main families of estimators are considered, obtained by estimating the pricing functional directly, and by estimating the (Black-Scholes) implied volatility surface, respectively. In each case... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Model-free Superhedging Duality. (arXiv:1506.06608v1 [q-fin.MF]) Posted: 22 Jun 2015 05:37 PM PDT In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path $\omega \in \Omega$, might be strictly greater than the upper bound of the no-arbitrage prices. We therefore... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jun 2015 05:37 PM PDT We study cascades on a two-layer multiplex network, with asymmetric feedback that depends on the coupling strength between the layers. Based on an analytical branching process approximation, we calculate the systemic risk measured by the final fraction of failed nodes on a reference layer. The results are compared with the case of a single layer network that is an aggregated representation of the... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jun 2015 05:37 PM PDT Bayesian hierarchical models serve as a standard methodology for aggregation and synthesis, used widely in statistics and other disciplines. I use this framework to aggregate the data from seven randomised experiments of expanding access to microcredit, assessing both the general impact of the intervention and the heterogeneity across contexts. The general impact on household profits is small,... Visit MoneyScience for the Complete Article.    |
| How Silicon Valley and Wall Street arrived at a new gold rush called Bitcoin Posted: 22 Jun 2015 03:59 AM PDT How Silicon Valley and Wall Street arrived at a new gold rush called#bitcoin http://t.co/wYdJpbw6Cz — moneyscience (@moneyscience) June 22, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jun 2015 03:06 AM PDT Press release about Net Stable Funding Ratio disclosure requirements finalised by the Basel Committee(22 June 2015) Visit MoneyScience for the Complete Article.    |
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