Tuesday, June 9, 2015

MoneyScience News

MoneyScience News

The Battle Between Behavioral and Rational Economics

Posted: 09 Jun 2015 02:39 AM PDT

Professor @R_Thaler weighs in on the battle between behavioral and rational economics http://t.co/TxWWb95964 via @BloombergTV — Chicago Booth (@ChicagoBooth)…

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Research Library: Video: Extended Interview with Jamie Simons

Posted: 09 Jun 2015 02:05 AM PDT

James Harris Simons has been described as "the world's smartest billionaire", amassing a fortune through the clever use of mathematics and computers. He is now a renowned philanthropist.

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Blog Post: WealthandCapitalMarketsBlog: Of Games played for Thrones

Posted: 08 Jun 2015 07:07 PM PDT

As Season 5 of Game of Thrones nears its end, I have come across a number of articles that have been talking about the leadership lessons that we can draw from the TV series (and presumably the books too). The first thing that comes to mind is that our world has enough problems already without having to take pointers from a bunch of people who probably kill each other more often than we have cups...

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Published / Preprint: Optimal Static Quadratic Hedging. (arXiv:1506.02074v1 [q-fin.MF])

Posted: 08 Jun 2015 05:36 PM PDT

We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds, and forwards. A model-free expression is derived for the optimal static hedging strategy that minimizes the expected squared hedging error subject to a cost constraint. The optimal hedge involves computing a number of expectations that reflect the dependence among the...

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Published / Preprint: Liquidity and Impact in Fair Markets. (arXiv:1506.02507v1 [q-fin.TR])

Posted: 08 Jun 2015 05:36 PM PDT

We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair price which corresponds to the average liquidation value (at the ask or the bid) of an infinitesimal quantity of stock. We show that this fair price is a natural...

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Published / Preprint: Nonlocal Solutions to Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach. (arXiv:1506.02521v1 [q-fin.EC])

Posted: 08 Jun 2015 05:36 PM PDT

This study presents a method for constructing a sequence of approximate solutions of increasing accuracy to general equilibrium models on nonlocal domains. The method is based on a technique originated from dynamical systems theory. The approximate solutions are constructed employing the Contraction Mapping Theorem and the fact that solutions to general equilibrium models converge to a steady...

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Published / Preprint: Semi-Global Solutions to DSGE Models: Perturbation around a Deterministic Path. (arXiv:1506.02522v1 [q-fin.EC])

Posted: 08 Jun 2015 05:36 PM PDT

This study proposes an approach based on a perturbation technique to construct global solutions to dynamic stochastic general equilibrium models (DSGE). The main idea is to expand a solution in a series of powers of a small parameter scaling the uncertainty in the economy around a solution to the deterministic model, i.e. the model where the volatility of the shocks vanishes. If a deterministic...

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Why has R, despite quirks, been so successful?

Posted: 08 Jun 2015 12:02 PM PDT

"Why has R, despite quirks, been so successful?" http://t.co/inlayfS7Re see also @JohnDCook's https://t.co/1Mgjw7dzgO — Arthur Charpentier (@freakonometrics)…

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