MoneyScience News |
- Published / Preprint: Dynamic Mode Decomposition for Financial Trading Strategies. (arXiv:1508.04487v1 [q-fin.CP])
- Published / Preprint: The (in)visible hand in the Libor market: an Information Theory approach. (arXiv:1508.04748v1 [q-fin.ST])
- Published / Preprint: Constrained random walk models for euro/Swiss franc exchange rates: theory and empirics. (arXiv:1508.04754v1 [q-fin.ST])
- New study argues hedge funds are an even worse scam than we thought
- Blog Post: iMFdirect: Banking Union Before Euro Adoption: Flak Jacket or Straitjacket?
- Published / Preprint: 19Aug/Harmonisation of the Unique Transaction Identifier (UTI), consultative report issued by CPMI-IOSCO
| Posted: 19 Aug 2015 05:36 PM PDT We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this case financial market dynamics, in an equation-free manner by decomposing the state of the system into low-rank terms whose temporal coefficients in time are... Visit MoneyScience for the Complete Article.      |
| Posted: 19 Aug 2015 05:36 PM PDT This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexity-entropy causality plane. This representation is able to classify different stochastic and chaotic regimes in time series. We use sliding temporal windows to assess changes in the... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Aug 2015 05:36 PM PDT We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Within the general framework built on geometric Brownian motions (GBM), the first-order effect of such a steric constraint would enter a priori in the form of a repulsive... Visit MoneyScience for the Complete Article.    |
| New study argues hedge funds are an even worse scam than we thought Posted: 19 Aug 2015 01:36 PM PDT A new study suggests that most hedge funds don't appear to be doing any hedging or active management at all... http://t.co/pB8p7pezqu — Hedge Fund Focus… Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Banking Union Before Euro Adoption: Flak Jacket or Straitjacket? Posted: 19 Aug 2015 07:06 AM PDT By John Bluedorn, Anna Ilyina and Plamen Iossifovread more... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Aug 2015 06:06 AM PDT Press release about CPMI and IOSCO issuing consultative report on "Harmonisation of the Unique Transaction Identifier (UTI)" (19 August 2015) Visit MoneyScience for the Complete Article.    |
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