MoneyScience News |
- Published / Preprint: A network analysis of the global energy market: an insight on the entanglement between crude oil and the world economy. (arXiv:1509.05894v1 [physics.soc-ph])
- Published / Preprint: Managing Cellular Billing Plan Switchings. (arXiv:1509.05943v1 [q-fin.GN])
- Published / Preprint: Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application. (arXiv:1509.05952v1 [q-fin.ST])
- Published / Preprint: Mean-Reverting Portfolios: Tradeoffs Between Sparsity and Volatility. (arXiv:1509.05954v1 [q-fin.ST])
- Published / Preprint: The pricing of contingent claims and optimal positions in asymptotically complete markets. (arXiv:1509.06210v1 [q-fin.MF])
- Published / Preprint: Universality of market superstatistics. (arXiv:1509.06315v1 [q-fin.ST])
- This Could Only Happen in Texas: The Price of Electricity Went Negative
- Vendor News: TOMS Shoes Partners with Infosys for Global Digital Operations
| Posted: 21 Sep 2015 05:39 PM PDT One major hurdle in the road toward a low carbon economy is the present entanglement of developed economies with oil. This tight relationship is mirrored in the correlation between most of economic indicators with oil price. This paper addresses the role of oil compared to the other three main energy commodities -coal, gas and electricity, in shaping the international trading network (ITW or WTW,... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Managing Cellular Billing Plan Switchings. (arXiv:1509.05943v1 [q-fin.GN]) Posted: 21 Sep 2015 05:39 PM PDT Here we shall consider a very popular practical applied problem of managing mode switching (in this work we are considering managing billing plans). Out of the two parties (service provider and service consumer), participating in the processes modelled here, we shall consider only a consumer type of a problem. Herein we provide formal characterization of the problem as well as the elements... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Sep 2015 05:39 PM PDT Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these long-range cross correlations. However, several important issues about these methods are not well understood and most methods consider only one moment order. We study the joint multifractal analysis based on partition... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Sep 2015 05:39 PM PDT Mean-reverting assets are one of the holy grails of financial markets: if such assets existed, they would provide trivially profitable investment strategies for any investor able to trade them, thanks to the knowledge that such assets oscillate predictably around their long term mean. The modus operandi of cointegration-based trading strategies [Tsay, 2005, {\S}8] is to create first a... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Sep 2015 05:38 PM PDT We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors and/or risk aversion. Assuming that the average indifference price converges to a well defined limit, we prove that optimally taken positions become large in absolute value at a specific rate. We draw motivation from... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Universality of market superstatistics. (arXiv:1509.06315v1 [q-fin.ST]) Posted: 21 Sep 2015 05:38 PM PDT We use a continuous-time random walk (CTRW) to model market fluctuation data from times when traders experience excessive losses or excessive profits. We analytically derive "superstatistics" that accurately model empirical market activity data (supplied by Bogachev, Ludescher, Tsallis, and Bunde)that exhibit transition thresholds. We measure the interevent times between excessive losses and... Visit MoneyScience for the Complete Article.    |
| This Could Only Happen in Texas: The Price of Electricity Went Negative Posted: 21 Sep 2015 07:27 AM PDT Texas electricity goes negative: Wind power was so plentiful one night that producers paid the state to take it. http://t.co/DnymvwH6SG — moneyscience… Visit MoneyScience for the Complete Article.    |
| Vendor News: TOMS Shoes Partners with Infosys for Global Digital Operations Posted: 21 Sep 2015 04:36 AM PDT Infosys (NYSE: INFY), a global leader in consulting, technology, outsourcing and next-generation services, has announced that it has signed a three-year agreement with TOMS to become its worldwide partner to maintain and develop its digital platform. Visit MoneyScience for the Complete Article.    |
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