Monday, July 20, 2015

MoneyScience News

MoneyScience News

Vendor News: Fidessa explores challenge of truly 'smart' order routing

Posted: 20 Jul 2015 12:56 AM PDT

Blog Post: Luigi.Ballabio: MoneyScience Hangout available on YouTube

Posted: 19 Jul 2015 10:36 PM PDT

Published / Preprint: Semi-parametric time series modelling with autocopulas. (arXiv:1507.04767v1 [q-fin.RM])

Posted: 19 Jul 2015 05:36 PM PDT

In this paper we present an application of the use of autocopulas for modelling financial time series showing serial dependencies that are not necessarily linear. The approach presented here is semi-parametric in that it is characterized by a non-parametric autocopula and parametric marginals. One advantage of using autocopulas is that they provide a general representation of the auto-dependency...

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Published / Preprint: Symmetric Equilibria in Stochastic Timing Games. (arXiv:1507.04797v1 [math.OC])

Posted: 19 Jul 2015 05:36 PM PDT

We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we analyse in turn. When there is a local second-mover advantage, the players may conduct a war of attrition with stopping rates that we characterize in terms of the...

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Published / Preprint: Violation of Invariance of Measurement for GDP Growth Rate and its Consequences. (arXiv:1507.04848v1 [q-fin.GN])

Posted: 19 Jul 2015 05:36 PM PDT

The aim here is to address the origins of sustainability for the real growth rate in the United States. For over a century of observations on the real GDP per capita of the United States a sustainable two percent growth rate has been observed. To find an explanation for this observation I consider the impact of utility preferences and the effect of mobility of labor \& capital on...

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Published / Preprint: Darwinian Adverse Selection. (arXiv:1507.04934v1 [physics.soc-ph])

Posted: 19 Jul 2015 05:36 PM PDT

We develop a model to study the role of rationality in economics and biology. The model's agents differ continuously in their ability to make rational choices. The agents' objective is to ensure their individual survival over time or, equivalently, to maximize profits. In equilibrium, however, rational agents who maximize their objective survival probability are, individually and collectively,...

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Published / Preprint: Quantile Correlations: Uncovering temporal dependencies in financial time series. (arXiv:1507.04990v1 [q-fin.GN])

Posted: 19 Jul 2015 05:36 PM PDT

We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S\&P 500 stocks from the New York Stock Exchange. After establishing an empirical overview we compare the quantile-based correlation function to stochastic processes from the GARCH family and find...

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Published / Preprint: Pricing American Call Options. (arXiv:1507.05055v1 [q-fin.PR])

Posted: 19 Jul 2015 05:36 PM PDT

MTRV (A Modern Theory of Random Variation, Wiley, 2012) provides an alternative approach to derivative asset pricing. This article provides a method for pricing American call options.

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