Tuesday, July 28, 2015

MoneyScience News

MoneyScience News

Vendor News: Fidessa enhances equities trading platform

Posted: 28 Jul 2015 01:08 AM PDT

Why did HSBC shut down bank accounts? - BBC News

Posted: 28 Jul 2015 12:53 AM PDT

Last year #HSBC closed bank accounts of several prominent British Muslims. Here's how the decision was made. http://t.co/1LgboCFd0q — moneyscience…

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Published / Preprint: How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program. (arXiv:1507.07052v1 [q-fin.TR])

Posted: 27 Jul 2015 05:37 PM PDT

The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is to demonstrate that the approach introduced in Dayri and Rosenbaum (2015) allows for an ex ante assessment of the consequences of a tick value change on the microstructure of an asset. To that purpose, we analyze the...

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Published / Preprint: Forecasting Leading Death Causes in Australia using Extended CreditRisk$+$. (arXiv:1507.07162v1 [q-fin.CP])

Posted: 27 Jul 2015 05:37 PM PDT

Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk$^+$ methodology which is very different from traditional time series methods used for mortality modelling previously. In this framework, deaths are driven by common latent stochastic risk factors which may be interpreted as death causes like neoplasms, circulatory diseases or...

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Published / Preprint: Quantitative Structuring vs the Equity Premium Puzzle. (arXiv:1507.07214v1 [q-fin.GN])

Posted: 27 Jul 2015 05:37 PM PDT

Quantitative Structuring is a rational framework for manufacturing financial products. It shares many of its components with mainstream economics. The Equity Premium Puzzle is a well known quantitative challenge which has been defying mainstream economics for the last 30 years. Does Quantitative Structuring face a similar challenge? We find Quantitative Structuring to be in remarkable harmony...

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Published / Preprint: Model Risk Analysis via Investment Structuring. (arXiv:1507.07216v1 [q-fin.GN])

Posted: 27 Jul 2015 05:37 PM PDT

"What are the origins of risks?" and "How material are they?" -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful answers for both of these questions. It does so by considering risk as an investment opportunity. The structure of the investment reveals the precise sources...

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Published / Preprint: Why Quantitative Structuring?. (arXiv:1507.07219v1 [q-fin.GN])

Posted: 27 Jul 2015 05:37 PM PDT

Look at the quality-driven success of manufactured goods. Wouldn't it be great if the quality of financial products became just as apparent? A positive answer to this question leads us to Quantitative Structuring -- a technology of manufacturing financial products. This paper is a fast introduction into Quantitative Structuring. More detailed discussions are presented as a set of appendices....

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Published / Preprint: Dynamic Model of Markets of Homogenous Non-Durable. (arXiv:1109.5791v2 [stat.AP] UPDATED)

Posted: 27 Jul 2015 05:37 PM PDT

A new microeconomic model is presented that aims at a description of the long-term unit sales and price evolution of homogeneous non-durable goods in polypoly markets. It merges the product lifecycle approach with the price dispersion dynamics of homogeneous goods. The model predicts a minimum critical lifetime of non-durables in order to survive. Under the condition that the supply side of the...

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