Monday, August 24, 2015

MoneyScience News

MoneyScience News

Blog Post: Luigi.Ballabio: Chapter 8, part 5 of n: finite-difference models

Posted: 23 Aug 2015 10:35 PM PDT

Published / Preprint: The nonlinear Bernstein-Schr\"odinger equation in Economics. (arXiv:1508.05114v1 [q-fin.EC])

Posted: 23 Aug 2015 05:36 PM PDT

In this paper we relate the Equilibrium Assignment Problem (EAP), which is underlying in several economics models, to a system of nonlinear equations that we call the "nonlinear Bernstein-Schr\"odinger system", which is well-known in the linear case, but whose nonlinear extension does not seem to have been studied. We apply this connection to derive an existence result for the EAP, and an...

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Published / Preprint: Super-replication of Game Options in Stochastic Volatility Models. (arXiv:1508.05233v1 [q-fin.MF])

Posted: 23 Aug 2015 05:36 PM PDT

We study the problem of super-replication of game options in general stochastic volatility models which include e.g. the Heston model, the Hull-White model and the Scott model. For simplicity, we consider models with one risky asset. We show that the super-replication price is the cheapest cost of a trivial super-replication strategy. Furthermore, we calculate explicitly the super-replication...

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Published / Preprint: Is Collusion-Proof Procurement Expensive?. (arXiv:1508.05353v1 [q-fin.EC])

Posted: 23 Aug 2015 05:36 PM PDT

Collusion adversely affects procurement cost and efficiency. It is hard to quantify just how prevalent collusion is, but it's safe to assume that there's a lot of collusion going on. Detecting collusion from (just) bid data is hard so the extent of the damages can never be known. A natural response would have been to use collusion-proof procurement, yet, such auctions are hardly used. Why? Using...

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Published / Preprint: Autonomics: an autonomous and intelligent economic platform and next generation money tool. (arXiv:1508.05355v1 [q-fin.EC])

Posted: 23 Aug 2015 05:36 PM PDT

We propose a high level network architecture for an economic system that integrates money, governance and reputation. We introduce a method for issuing, and redeeming a digital coin using a mechanism to create a sustainable global economy and a free market. To maintain a currency's value over time, and therefore be money proper, we claim it must be issued by the buyer and backed for value by the...

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Published / Preprint: Measuring Financial Sentiment to Predict Financial Instability: A New Approach based on Text Analysis. (arXiv:1508.05357v1 [q-fin.GN])

Posted: 23 Aug 2015 05:36 PM PDT

Following the financial crisis of the late 2000s, policy makers have shown considerable interest in monitoring financial stability. Several central banks now publish indices of financial stress, which are essentially based upon market related data. In this paper, we examine the potential for improving the indices by deriving information about emotion shifts in the economy. We report on a new...

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