Monday, June 8, 2015

MoneyScience News

MoneyScience News

Published / Preprint: 08Jun/Basel Committee consults on interest rate risk in the banking book

Posted: 08 Jun 2015 02:06 AM PDT

Press release about the Basel Committee consulting on interest rate risk in the banking book.

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Vendor News: Fidessa launches new order analytics service for derivatives

Posted: 08 Jun 2015 01:26 AM PDT

Published / Preprint: Many-to-one contagion of economic growth rate across trade credit network of firms. (arXiv:1506.01734v1 [q-fin.GN])

Posted: 07 Jun 2015 05:37 PM PDT

We propose a novel approach and an empirical procedure to test direct contagion of growth rate in a trade credit network of firms. Our hypotheses are that the use of trade credit contributes to contagion (from many customers to a single supplier - "many to one" contagion) and amplification (through their interaction with the macrocopic variables, such as interest rate) of growth rate. In this...

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Published / Preprint: No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations. (arXiv:1506.01837v1 [q-fin.MF])

Posted: 07 Jun 2015 05:37 PM PDT

With the finite signed Borel measures on the non-negative real time axis representing deterministic cash flows, it is shown that the only arbitrage-free price functional on these cash flows that fulfills some additional mild, economically motivated, requirements is the integral of the unit zero-coupon bond prices with respect to the measures that represent the cash flows. For probability...

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Published / Preprint: VCG Payments for Portfolio Allocations in Online Advertising. (arXiv:1506.02013v1 [cs.GT])

Posted: 07 Jun 2015 05:37 PM PDT

Some online advertising offers pay only when an ad elicits a response. Randomness and uncertainty about response rates make showing those ads a risky investment for online publishers. Like financial investors, publishers can use portfolio allocation over multiple advertising offers to pursue revenue while controlling risk. Allocations over multiple offers do not have a distinct winner and...

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Published / Preprint: Portfolio Allocation for Sellers in Online Advertising. (arXiv:1506.02020v1 [cs.GT])

Posted: 07 Jun 2015 05:37 PM PDT

In markets for online advertising, some advertisers pay only when users respond to ads. So publishers estimate ad response rates and multiply by advertiser bids to estimate expected revenue for showing ads. Since these estimates may be inaccurate, the publisher risks not selecting the ad for each ad call that would maximize revenue. The variance of revenue can be decomposed into two components --...

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