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- HFT: A Few Good Metrics
- Researchers build first working memcomputer prototype
- Ex-Goldman programmer Aleynikov wins dismissal of second conviction
- High Performing Investment Teams: How to Achieve Best Practices of Top Firms - MoneyScience
- Published / Preprint: Estimation of integrated quadratic covariation between two assets with endogenous sampling times. (arXiv:1507.01033v1 [q-fin.ST])
- Published / Preprint: Tightness and duality of martingale transport on the Skorokhod space. (arXiv:1507.01125v1 [math.PR])
- Published / Preprint: Impact of dependence on some multivariate risk indicators. (arXiv:1507.01175v1 [math.PR])
- Blog Post: WealthandCapitalMarketsBlog: The Ascendance of the B2B Robo
| Posted: 07 Jul 2015 02:22 AM PDT Brilliant article from @ModernMarkets - HFT: A Few Good Metrics http://t.co/mSbrljpKAN — Sean (@MrSeanSharma) July 6, 2015 Visit MoneyScience for the Complete Article.      |
| Researchers build first working memcomputer prototype Posted: 06 Jul 2015 11:28 PM PDT Researchers build first working memcomputer prototype http://t.co/sYCLwfwXX6 — moneyscience (@moneyscience) July 7, 2015 Visit MoneyScience for the Complete Article.    |
| Ex-Goldman programmer Aleynikov wins dismissal of second conviction Posted: 06 Jul 2015 11:28 PM PDT Why a New York judge tossed out the conviction of an ex-Goldman Sachs programmer: http://t.co/rlsVvHmrf5 http://pic.twitter.com/u1dvJRq4c9 — Reuters Business… Visit MoneyScience for the Complete Article.    |
| High Performing Investment Teams: How to Achieve Best Practices of Top Firms - MoneyScience Posted: 06 Jul 2015 11:28 PM PDT New book! High Performing Investment Teams: How to Achieve Best Practices of Top Firms http://t.co/mWLmzA06zx via @wiley_finance — moneyscience (@moneyscience)… Visit MoneyScience for the Complete Article.    |
| Posted: 06 Jul 2015 05:37 PM PDT When estimating integrated covariation between two assets based on high-frequency data,simple assumptions are usually imposed on the relationship between the price processes and the observation times. In this paper, we introduce an endogenous 2-dimensional model and show that it is more general than the existing endogenous models of the literature. In addition, we establish a central limit... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Jul 2015 05:37 PM PDT The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhedging of exotic derivatives in financial mathematics, which turns out to be the corresponding Kantorovich dual. In this paper we consider the continuous-time martingale transport on the Skorokhod space of cadlag paths.... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Jul 2015 05:37 PM PDT The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous paper [17] we proved that the proposed allocation technique satisfies a set of coherence axioms. In the present one, we study the properties and asymptotic... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: The Ascendance of the B2B Robo Posted: 06 Jul 2015 02:16 PM PDT Automated investment advisory is increasingly a B2B business. The trend towards an institutional model reflects the high cost of customer acquisition inherent in the direct to consumer approach, as well as the increasing seriousness with which RIAs, brokers, and other incumbents take the automated investment phenomenon. I talk about the blending of robo and real life in a past post.read more... Visit MoneyScience for the Complete Article.    |
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