Financial Research FocusPipes Output
http://pipes.yahoo.com/pipes/pipe.info?_id=2a9cceb32d348eb6fcf7fc732c80d5d0
Thu, 01 Oct 2015 23:25:26 +0000http://pipes.yahoo.com/pipes/FinancialResearchFocushttps://feedburner.google.comPublished / Preprint: 01Oct/Report on the regulatory consistency of risk-weighted assets for counterparty credit risk issued by the Basel Committee
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/MJ5lfpasZUM/01octreport-on-the-regulatory-consistency-of-riskweighted-assets-for-counterparty-credit-risk-issued-by-the-basel-committee
Press release about the report on the regulatory consistency of risk-weighted assets for counterparty credit risk issued by the Basel Committee, October 2015http://www.moneyscience.com/pg/blog/BankforInternationalSettlements/read/755629/01octreport-on-the-regulatory-consistency-of-riskweighted-assets-for-counterparty-credit-risk-issued-by-the-basel-committeeThu, 01 Oct 2015 09:07:38 +0000http://www.moneyscience.com/pg/blog/BankforInternationalSettlements/read/755629/01octreport-on-the-regulatory-consistency-of-riskweighted-assets-for-counterparty-credit-risk-issued-by-the-basel-committeePublished / Preprint: Dynamics of multivariate default system in random environment. (arXiv:1509.09133v1 [q-fin.RM])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/MkWH6Q9vwHA/dynamics-of-multivariate-default-system-in-random-environment-arxiv150909133v1-qfinrm
We consider a multivariate default system where random environmental
information is available. We study the dynamics of the system in a general
setting and adopt the point of view of change of probability measures. We also
make a link with the density approach in the credit risk modelling. In the
particular case where no environmental information is concerned, we pay a
special attention to the phenomenon of system weakened by failures as in the
classical reliability system.http://www.moneyscience.com/pg/blog/arXiv/read/755616/dynamics-of-multivariate-default-system-in-random-environment-arxiv150909133v1-qfinrmThu, 01 Oct 2015 00:38:04 +0000We consider a multivariate default system where random environmental
information is available. We study the dynamics of the system in a general
setting and adopt the point of view of change of probability measures. We also
make a link with the density approach in the credit risk modelling. In the
particular case where no environmental information is concerned, we pay a
special attention to the phenomenon of system weakened by failures as in the
classical reliability system.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/755616/dynamics-of-multivariate-default-system-in-random-environment-arxiv150909133v1-qfinrmPublished / Preprint: 30Sep/Basel III implementation assessment of the Kingdom of Saudi Arabia published by Basel Committee
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/4VwP7H8wMz8/30sepbasel-iii-implementation-assessment-of-the-kingdom-of-saudi-arabia-published-by-basel-committee
Press release about Basel III implementation assessments of Saudi Arabia by the Basel Committee (30 September 2015)http://www.moneyscience.com/pg/blog/BankforInternationalSettlements/read/755325/30sepbasel-iii-implementation-assessment-of-the-kingdom-of-saudi-arabia-published-by-basel-committeeWed, 30 Sep 2015 09:05:39 +0000http://www.moneyscience.com/pg/blog/BankforInternationalSettlements/read/755325/30sepbasel-iii-implementation-assessment-of-the-kingdom-of-saudi-arabia-published-by-basel-committeePublished / Preprint: Volume Weighted Average Price Optimal Execution. (arXiv:1509.08503v1 [q-fin.TR])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/WeDdf4f15QA/volume-weighted-average-price-optimal-execution-arxiv150908503v1-qfintr
We study the problem of optimal execution of a trading order under Volume
Weighted Average Price (VWAP) benchmark, from the point of view of a
risk-averse broker. The problem consists in minimizing mean-variance of the
slippage, with quadratic transaction costs. We devise multiple ways to solve
it, in particular we study how to incorporate the information coming from the
market during the schedule. Most related works in the literature eschew the
issue of imperfect knowledge of the total market volume. We instead incorporate
it in our model. We validate our method with extensive simulation of order
execution on real NYSE market data. Our proposed solution, using a simple model
for market volumes, reduces by 10% the VWAP deviation RMSE of the standard
"static" solution (and can simultaneously reduce transaction costs).http://www.moneyscience.com/pg/blog/arXiv/read/755202/volume-weighted-average-price-optimal-execution-arxiv150908503v1-qfintrWed, 30 Sep 2015 00:37:17 +0000We study the problem of optimal execution of a trading order under Volume
Weighted Average Price (VWAP) benchmark, from the point of view of a
risk-averse broker. The problem consists in minimizing mean-variance of the
slippage, with quadratic transaction costs. We devise multiple ways to solve
it, in particular we study how to incorporate the information coming from the
market during the schedule. Most related works in the literature eschew the
issue of imperfect knowledge of the total market volume. We instead incorporate
it in our model. We validate our method with extensive simulation of order
execution on real NYSE market data. Our proposed solution, using a simple model
for market volumes, reduces by 10% the VWAP deviation RMSE of the standard
"static" solution (and can simultaneously reduce transaction costs).
]]>http://www.moneyscience.com/pg/blog/arXiv/read/755202/volume-weighted-average-price-optimal-execution-arxiv150908503v1-qfintrPublished / Preprint: Maximum likelihood estimators for a jump-type Heston model. (arXiv:1509.08869v1 [math.ST])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/Un3d-NO_DtU/maximum-likelihood-estimators-for-a-jumptype-heston-model-arxiv150908869v1-mathst
We study asymptotic properties of maximum likelihood estimators of drift
parameters for a jump-type Heston model based on continuous time observations
of the price process together with its jump part. We prove strong consistency
and asymptotic normality for all admissible parameter values except one, where
we show only weak consistency and non-normal asymptotic behavior. We also
present some simulations to illustrate our results.http://www.moneyscience.com/pg/blog/arXiv/read/755201/maximum-likelihood-estimators-for-a-jumptype-heston-model-arxiv150908869v1-mathstWed, 30 Sep 2015 00:37:15 +0000We study asymptotic properties of maximum likelihood estimators of drift
parameters for a jump-type Heston model based on continuous time observations
of the price process together with its jump part. We prove strong consistency
and asymptotic normality for all admissible parameter values except one, where
we show only weak consistency and non-normal asymptotic behavior. We also
present some simulations to illustrate our results.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/755201/maximum-likelihood-estimators-for-a-jumptype-heston-model-arxiv150908869v1-mathstPublished / Preprint: Optimal trading strategies - a time series approach. (arXiv:1509.07953v1 [q-fin.PM])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/NMArZ80ncBk/optimal-trading-strategies-a-time-series-approach-arxiv150907953v1-qfinpm
Motivated by recent advances in the spectral theory of auto-covariance
matrices, we are led to revisit a reformulation of Markowitz' mean-variance
portfolio optimization approach in the time domain. In its simplest incarnation
it applies to a single traded asset and allows to find an optimal trading
strategy which - for a given return - is minimally exposed to market price
fluctuations. The model is initially investigated for a range of synthetic
price processes, taken to be either second order stationary, or to exhibit
second order stationary increments. Attention is paid to consequences of
estimating auto-covariance matrices from small finite samples, and
auto-covariance matrix cleaning strategies to mitigate against these are
investigated. Finally we apply our framework to real world data.http://www.moneyscience.com/pg/blog/arXiv/read/754593/optimal-trading-strategies-a-time-series-approach-arxiv150907953v1-qfinpmTue, 29 Sep 2015 00:54:38 +0000Motivated by recent advances in the spectral theory of auto-covariance
matrices, we are led to revisit a reformulation of Markowitz' mean-variance
portfolio optimization approach in the time domain. In its simplest incarnation
it applies to a single traded asset and allows to find an optimal trading
strategy which - for a given return - is minimally exposed to market price
fluctuations. The model is initially investigated for a range of synthetic
price processes, taken to be either second order stationary, or to exhibit
second order stationary increments. Attention is paid to consequences of
estimating auto-covariance matrices from small finite samples, and
auto-covariance matrix cleaning strategies to mitigate against these are
investigated. Finally we apply our framework to real world data.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/754593/optimal-trading-strategies-a-time-series-approach-arxiv150907953v1-qfinpmPublished / Preprint: Asymmetry of cross correlations between intra-day and overnight volatilities. (arXiv:1509.08079v1 [q-fin.ST])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/qCT00DUvTz0/asymmetry-of-cross-correlations-between-intraday-and-overnight-volatilities-arxiv150908079v1-qfinst
We point out a stunning time asymmetry in the short time cross correlations
between intra-day and overnight volatilities (absolute values of log-returns of
stock prices). While overnight volatility is significantly (and positively)
correlated with the intra-day volatility during the \textit{following} day
(allowing thus non-trivial predictions), it is much less correlated with the
intra-day volatility during the \textit{preceding} day. While the effect is not
unexpected in view of previous observations, its robustness and extreme
simplicity are remarkable.http://www.moneyscience.com/pg/blog/arXiv/read/754592/asymmetry-of-cross-correlations-between-intraday-and-overnight-volatilities-arxiv150908079v1-qfinstTue, 29 Sep 2015 00:54:35 +0000We point out a stunning time asymmetry in the short time cross correlations
between intra-day and overnight volatilities (absolute values of log-returns of
stock prices). While overnight volatility is significantly (and positively)
correlated with the intra-day volatility during the \textit{following} day
(allowing thus non-trivial predictions), it is much less correlated with the
intra-day volatility during the \textit{preceding} day. While the effect is not
unexpected in view of previous observations, its robustness and extreme
simplicity are remarkable.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/754592/asymmetry-of-cross-correlations-between-intraday-and-overnight-volatilities-arxiv150908079v1-qfinstPublished / Preprint: Performance v. Turnover: A Story by 4,000 Alphas. (arXiv:1509.08110v1 [q-fin.PM])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/JdSRir4RI1k/performance-v-turnover-a-story-by-4000-alphas-arxiv150908110v1-qfinpm
We analyze empirical data for 4,000 real-life trading portfolios (U.S.
equities) with holding periods of about 0.7-19 trading days. We find a simple
scaling C ~ 1/T, where C is cents-per-share, and T is the portfolio turnover.
Thus, the portfolio return R has no statistically significant dependence on the
turnover T. We also find a scaling R ~ V^X, where V is the portfolio
volatility, and the power X is around 0.8-0.85 for holding periods up to 10
days or so. To our knowledge, this is the only publicly available empirical
study on such a large number of real-life trading portfolios/alphas.http://www.moneyscience.com/pg/blog/arXiv/read/754591/performance-v-turnover-a-story-by-4000-alphas-arxiv150908110v1-qfinpmTue, 29 Sep 2015 00:54:30 +0000We analyze empirical data for 4,000 real-life trading portfolios (U.S.
equities) with holding periods of about 0.7-19 trading days. We find a simple
scaling C ~ 1/T, where C is cents-per-share, and T is the portfolio turnover.
Thus, the portfolio return R has no statistically significant dependence on the
turnover T. We also find a scaling R ~ V^X, where V is the portfolio
volatility, and the power X is around 0.8-0.85 for holding periods up to 10
days or so. To our knowledge, this is the only publicly available empirical
study on such a large number of real-life trading portfolios/alphas.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/754591/performance-v-turnover-a-story-by-4000-alphas-arxiv150908110v1-qfinpmPublished / Preprint: Correctness of Backtest Engines. (arXiv:1509.08248v1 [q-fin.TR])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/0Vc3WR0-QZM/correctness-of-backtest-engines-arxiv150908248v1-qfintr
In recent years several trading platforms appeared which provide a backtest
engine to calculate historic performance of self designed trading strategies on
underlying candle data. The construction of a correct working backtest engine
is, however, a subtle task as shown by Maier-Paape and Platen (cf.
arXiv:1412.5558 [q-fin.TR]). Several platforms are struggling on the
correctness.
read more...http://www.moneyscience.com/pg/blog/arXiv/read/754590/correctness-of-backtest-engines-arxiv150908248v1-qfintrTue, 29 Sep 2015 00:54:23 +0000In recent years several trading platforms appeared which provide a backtest
engine to calculate historic performance of self designed trading strategies on
underlying candle data. The construction of a correct working backtest engine
is, however, a subtle task as shown by Maier-Paape and Platen (cf.
arXiv:1412.5558 [q-fin.TR]). Several platforms are struggling on the
correctness.
read more...

]]>http://www.moneyscience.com/pg/blog/arXiv/read/754590/correctness-of-backtest-engines-arxiv150908248v1-qfintrPublished / Preprint: Representation and approximation of ambit fields in Hilbert space. (arXiv:1509.08272v1 [math.PR])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/w52DOf12lpI/representation-and-approximation-of-ambit-fields-in-hilbert-space-arxiv150908272v1-mathpr
We lift ambit fields as introduced by Barndorff-Nielsen and Schmiegel to a
class of Hilbert space-valued volatility modulated Volterra processes. We name
this class Hambit fields, and show that they can be expressed as a countable
sum of weighted real-valued volatility modulated Volterra processes. Moreover,
Hambit fields can be interpreted as the boundary of the mild solution of a
certain first order stochastic partial differential equation. This stochastic
partial differential equation is formulated on a suitable Hilbert space of
functions on the positive real line with values in the state space of the
Hambit field. We provide an explicit construction of such a space. Finally, we
apply this interpretation of Hambit fields to develop a finite difference
scheme, for which we prove convergence under some Lipschitz conditions.http://www.moneyscience.com/pg/blog/arXiv/read/754589/representation-and-approximation-of-ambit-fields-in-hilbert-space-arxiv150908272v1-mathprTue, 29 Sep 2015 00:54:02 +0000We lift ambit fields as introduced by Barndorff-Nielsen and Schmiegel to a
class of Hilbert space-valued volatility modulated Volterra processes. We name
this class Hambit fields, and show that they can be expressed as a countable
sum of weighted real-valued volatility modulated Volterra processes. Moreover,
Hambit fields can be interpreted as the boundary of the mild solution of a
certain first order stochastic partial differential equation. This stochastic
partial differential equation is formulated on a suitable Hilbert space of
functions on the positive real line with values in the state space of the
Hambit field. We provide an explicit construction of such a space. Finally, we
apply this interpretation of Hambit fields to develop a finite difference
scheme, for which we prove convergence under some Lipschitz conditions.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/754589/representation-and-approximation-of-ambit-fields-in-hilbert-space-arxiv150908272v1-mathprPublished / Preprint: Sticky processes, local and true martingales. (arXiv:1509.08280v1 [q-fin.MF])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/_xoPPMgT7Do/sticky-processes-local-and-true-martingales-arxiv150908280v1-qfinmf
We prove that for a so-called sticky process $S$ there exists an equivalent
probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to
$S$ in $L^p$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily
close to $S$ in supremum norm. In the case where $S$ is a local martingale we
may choose $Q$ arbitrarily close to the original probability in the total
variation norm. We provide examples to illustrate the power of our results and
present applications in mathematical finance.http://www.moneyscience.com/pg/blog/arXiv/read/754588/sticky-processes-local-and-true-martingales-arxiv150908280v1-qfinmfTue, 29 Sep 2015 00:53:39 +0000We prove that for a so-called sticky process $S$ there exists an equivalent
probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to
$S$ in $L^p$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily
close to $S$ in supremum norm. In the case where $S$ is a local martingale we
may choose $Q$ arbitrarily close to the original probability in the total
variation norm. We provide examples to illustrate the power of our results and
present applications in mathematical finance.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/754588/sticky-processes-local-and-true-martingales-arxiv150908280v1-qfinmfPublished / Preprint: High-frequency limit of Nash equilibria in a market impact game with transient price impact. (arXiv:1509.08281v1 [q-fin.TR])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/ty-LxYPjUXI/highfrequency-limit-of-nash-equilibria-in-a-market-impact-game-with-transient-price-impact-arxiv150908281v1-qfintr
We study the high-frequency limits of strategies and costs in a Nash
equilibrium for two agents that are competing to minimize liquidation costs in
a discrete-time market impact model with exponentially decaying price impact
and quadratic transaction costs of size $\theta\ge0$. We show that, for
$\theta=0$, equilibrium strategies and costs will oscillate indefinitely
between two accumulation points. For $\theta>0$, however, both strategies and
costs will converge towards limits that are independent of $\theta$. We then
show that the limiting strategies form a Nash equilibrium for a continuous-time
version of the model with $\theta$ equal to a certain critical value
$\theta^*>0$, and that the corresponding expected costs coincide with the
high-frequency limits of the discrete-time equilibrium costs. For
$\theta\neq\theta^*$, however, continuous-time Nash equilibria will typically
not exist. Our results permit us to give mathematically rigorous proofs of
numerical observations made in Schied and Zhang [arXiv:1305.4013, 2013]. In
particular, we provide a range of model parameters for which the limiting
expected costs of both agents are decreasing functions of $\theta$. That is,
for sufficiently high trading speed, raising additional transaction costs can
reduce the expected costs of all agents.http://www.moneyscience.com/pg/blog/arXiv/read/754587/highfrequency-limit-of-nash-equilibria-in-a-market-impact-game-with-transient-price-impact-arxiv150908281v1-qfintrTue, 29 Sep 2015 00:53:01 +0000We study the high-frequency limits of strategies and costs in a Nash
equilibrium for two agents that are competing to minimize liquidation costs in
a discrete-time market impact model with exponentially decaying price impact
and quadratic transaction costs of size $\theta\ge0$. We show that, for
$\theta=0$, equilibrium strategies and costs will oscillate indefinitely
between two accumulation points. For $\theta>0$, however, both strategies and
costs will converge towards limits that are independent of $\theta$. We then
show that the limiting strategies form a Nash equilibrium for a continuous-time
version of the model with $\theta$ equal to a certain critical value
$\theta^*>0$, and that the corresponding expected costs coincide with the
high-frequency limits of the discrete-time equilibrium costs. For
$\theta\neq\theta^*$, however, continuous-time Nash equilibria will typically
not exist. Our results permit us to give mathematically rigorous proofs of
numerical observations made in Schied and Zhang [arXiv:1305.4013, 2013]. In
particular, we provide a range of model parameters for which the limiting
expected costs of both agents are decreasing functions of $\theta$. That is,
for sufficiently high trading speed, raising additional transaction costs can
reduce the expected costs of all agents.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/754587/highfrequency-limit-of-nash-equilibria-in-a-market-impact-game-with-transient-price-impact-arxiv150908281v1-qfintrPublished / Preprint: The spatial component of R&D networks. (arXiv:1509.08291v1 [physics.soc-ph])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/eZCgof5-T98/the-spatial-component-of-rd-networks-arxiv150908291v1-physicssocph
We study the role of geography in R&D networks by means of a quantitative,
micro-geographic approach. Using a large database that covers international R&D
collaborations from 1984 to 2009, we localize each actor precisely in space
through its latitude and longitude. This allows us to analyze the R&D network
at all geographic scales simultaneously. Our empirical results show that
despite the high importance of the city level, transnational R&D collaborations
at large distances are much more frequent than expected from similar networks.
This provides evidence for the ambiguity of distance in economic cooperation
which is also suggested by the existing literature. In addition we test whether
the hypothesis of local buzz and global pipelines applies to the observed R&D
network by calculating well-defined metrics from network theory.http://www.moneyscience.com/pg/blog/arXiv/read/754586/the-spatial-component-of-rd-networks-arxiv150908291v1-physicssocphTue, 29 Sep 2015 00:52:08 +0000We study the role of geography in R&D networks by means of a quantitative,
micro-geographic approach. Using a large database that covers international R&D
collaborations from 1984 to 2009, we localize each actor precisely in space
through its latitude and longitude. This allows us to analyze the R&D network
at all geographic scales simultaneously. Our empirical results show that
despite the high importance of the city level, transnational R&D collaborations
at large distances are much more frequent than expected from similar networks.
This provides evidence for the ambiguity of distance in economic cooperation
which is also suggested by the existing literature. In addition we test whether
the hypothesis of local buzz and global pipelines applies to the observed R&D
network by calculating well-defined metrics from network theory.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/754586/the-spatial-component-of-rd-networks-arxiv150908291v1-physicssocphPublished / Preprint: Auto enrolment, pension trusts and ethical finance: Banks and regulators have an increasing role in promoting Shariah finance
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/UbA1Px6ACnk/auto-enrolment-pension-trusts-and-ethical-finance-banks-and-regulators-have-an-increasing-role-in-promoting-shariah-finance
http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754184/auto-enrolment-pension-trusts-and-ethical-finance-banks-and-regulators-have-an-increasing-role-in-promoting-shariah-financeMon, 28 Sep 2015 09:45:31 +0000
]]>http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754184/auto-enrolment-pension-trusts-and-ethical-finance-banks-and-regulators-have-an-increasing-role-in-promoting-shariah-financePublished / Preprint: General investorsâ views of information sources in Bangladesh
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/sK98wS8lp8g/general-investors-views-of-information-sources-in-bangladesh
http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754183/general-investors-views-of-information-sources-in-bangladeshMon, 28 Sep 2015 09:45:30 +0000
]]>http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754183/general-investors-views-of-information-sources-in-bangladeshPublished / Preprint: AML compliance â A banking nightmare? The HSBC case study
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/m7AFHecqiOw/aml-compliance-a-banking-nightmare-the-hsbc-case-study
http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754182/aml-compliance-a-banking-nightmare-the-hsbc-case-studyMon, 28 Sep 2015 09:45:27 +0000
]]>http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754182/aml-compliance-a-banking-nightmare-the-hsbc-case-studyPublished / Preprint: The effects of corporate disclosure practices on firm performance, risk and dividend policy
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/FMQJjZtV_2c/the-effects-of-corporate-disclosure-practices-on-firm-performance-risk-and-dividend-policy
http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754181/the-effects-of-corporate-disclosure-practices-on-firm-performance-risk-and-dividend-policyMon, 28 Sep 2015 09:45:23 +0000
]]>http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754181/the-effects-of-corporate-disclosure-practices-on-firm-performance-risk-and-dividend-policyPublished / Preprint: Corporate governance and bank regulation: The impact on capital ratios
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/Lfq-SFVfTUc/corporate-governance-and-bank-regulation-the-impact-on-capital-ratios
http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754180/corporate-governance-and-bank-regulation-the-impact-on-capital-ratiosMon, 28 Sep 2015 09:45:23 +0000
]]>http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754180/corporate-governance-and-bank-regulation-the-impact-on-capital-ratiosPublished / Preprint: The impact of company size and multiple directorships on corporate governance effectiveness
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/9PIi3Z3OWEM/the-impact-of-company-size-and-multiple-directorships-on-corporate-governance-effectiveness
http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754179/the-impact-of-company-size-and-multiple-directorships-on-corporate-governance-effectivenessMon, 28 Sep 2015 09:45:20 +0000
]]>http://www.moneyscience.com/pg/blog/InternationalJournalofDisclosureandGovernance/read/754179/the-impact-of-company-size-and-multiple-directorships-on-corporate-governance-effectivenessPublished / Preprint: Quadratic Hawkes processes for financial prices. (arXiv:1509.07710v1 [q-fin.TR])
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/jb-MMBMjYWs/quadratic-hawkes-processes-for-financial-prices-arxiv150907710v1-qfintr
We introduce and establish the main properties of QHawkes ("Quadratic"
Hawkes) models. QHawkes models generalize the Hawkes price models introduced in
E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity
that are linear and quadratic in past returns. A non-parametric fit on NYSE
stock data shows that the off-diagonal component of the quadratic kernel indeed
has a structure that standard Hawkes models fail to reproduce. Our model
exhibits two main properties, that we believe are crucial in the modelling and
the understanding of the volatility process: first, the model is time-reversal
asymmetric, similar to financial markets whose time evolution has a preferred
direction. Second, it generates a multiplicative, fat-tailed volatility
process, that we characterize in detail in the case of exponentially decaying
kernels, and which is linked to Pearson diffusions in the continuous limit.
Several other interesting properties of QHawkes processes are discussed, in
particular the fact that they can generate long memory without necessarily be
at the critical point. Finally, we provide numerical simulations of our
calibrated QHawkes model, which is indeed seen to reproduce, with only a small
amount of quadratic non-linearity, the correct magnitude of fat-tails and time
reversal asymmetry seen in empirical time series.http://www.moneyscience.com/pg/blog/arXiv/read/753833/quadratic-hawkes-processes-for-financial-prices-arxiv150907710v1-qfintrMon, 28 Sep 2015 00:37:11 +0000We introduce and establish the main properties of QHawkes ("Quadratic"
Hawkes) models. QHawkes models generalize the Hawkes price models introduced in
E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity
that are linear and quadratic in past returns. A non-parametric fit on NYSE
stock data shows that the off-diagonal component of the quadratic kernel indeed
has a structure that standard Hawkes models fail to reproduce. Our model
exhibits two main properties, that we believe are crucial in the modelling and
the understanding of the volatility process: first, the model is time-reversal
asymmetric, similar to financial markets whose time evolution has a preferred
direction. Second, it generates a multiplicative, fat-tailed volatility
process, that we characterize in detail in the case of exponentially decaying
kernels, and which is linked to Pearson diffusions in the continuous limit.
Several other interesting properties of QHawkes processes are discussed, in
particular the fact that they can generate long memory without necessarily be
at the critical point. Finally, we provide numerical simulations of our
calibrated QHawkes model, which is indeed seen to reproduce, with only a small
amount of quadratic non-linearity, the correct magnitude of fat-tails and time
reversal asymmetry seen in empirical time series.
]]>http://www.moneyscience.com/pg/blog/arXiv/read/753833/quadratic-hawkes-processes-for-financial-prices-arxiv150907710v1-qfintrResearch Library: Video: Extended Interview with Jamie Simons
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/EbfNHNgg9-g/video-extended-interview-with-jamie-simons
<p>James Harris Simons has been described as "the world's smartest billionaire", amassing a fortune through the clever use of mathematics and computers. He is now a renowned philanthropist.</p>
<p></p>http://www.moneyscience.com/pg/bookmarks/Admin/read/709296/video-extended-interview-with-jamie-simonsTue, 09 Jun 2015 09:05:40 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/709296/video-extended-interview-with-jamie-simonsResearch Library: The Revolving-Door of Sell-Side Analysts: A Threat to Analystsâ€™ Independence?
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/2ok2ZPWtHhs/the-revolvingdoor-of-sellside-analysts-a-threat-to-analysts-independence
<p><strong>Ben Lourie</strong><br /><em>University of California, Los Angeles (UCLA) - Anderson School of Management</em></p>
<p><em>November 1, 2014</em></p>
<p><strong>Abstract</strong></p>
<blockquote>
<p><strong></strong>The “revolving-door” phenomenon whereby analysts are hired by firms that they cover poses a threat to their independence. In this paper, I document this phenomenon and assess the extent to which it is associated with analysts’ issuance of biased research reports during the year prior to their employment with the covered firms. During this final year, I find that the revolving-door analysts alter their forecasts, target prices and recommendations in a direction which suggests that they are attempting to gain favor with their would-be employers. The findings raise concerns about their independence and indicate a potential benefit to tightening employment regulations in this industry.</p>
<p>This paper is referenced at Businss Insider. </p>
<p>Wall Street's equity analysts provide investors with research notes that typically include profit forecasts for companies. They also include recommendations on whether to buy or sell a company's stock. However, the nature of these analysts' work often exposes them to all sort of conflicts of interest. A lot of the reason people listen to Wall Street analysts is that they get more access to company management than almost anybody else. Analysts who have negative ratings on companies, however, risk not either getting this access, or getting the cold shoulder from management. This conflict tends to encourage analysts to assign favorable ratings to companies. But conflicts can get much deeper, and even disturbing. </p>
<p>Read more: http://www.businessinsider.com/wall-street-analyst-conflict-study-november-4-2014-11#ixzz3IHDjgeDG</p>
</blockquote>http://www.moneyscience.com/pg/bookmarks/Admin/read/668739/the-revolvingdoor-of-sellside-analysts-a-threat-to-analysts-independenceThu, 06 Nov 2014 09:00:34 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/668739/the-revolvingdoor-of-sellside-analysts-a-threat-to-analysts-independenceResearch Library: The Revolving-Door of Sell-Side Analysts: A Threat to Analystsâ€™ Independence?
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/4aqUjSRnTmI/the-revolvingdoor-of-sellside-analysts-a-threat-to-analysts-independence
<p><strong>Ben Lourie</strong><br />
<em>University of California, Los Angeles (UCLA) - Anderson School of Management</em></p>
<p><em>November 1, 2014</em></p>
<p> </p>
<p><strong>Abstract</strong></p>
<p>The “revolving-door” phenomenon whereby analysts are hired by firms that they cover poses a threat to their independence. In this paper, I document this phenomenon and assess the extent to which it is associated with analysts’ issuance of biased research reports during the year prior to their employment with the covered firms. During this final year, I find that the revolving-door analysts alter their forecasts, target prices and recommendations in a direction which suggests that they are attempting to gain favor with their would-be employers. The findings raise concerns about their independence and indicate a potential benefit to tightening employment regulations in this industry.</p>
<p><a rel="nofollow" target="_blank" href="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2517957"><strong>Get the Paper Here.</strong></a></p>
<blockquote><p> This paper is referenced at Businss Insider.</p>
<p> Wall Street's equity analysts provide investors with research notes that typically include profit forecasts for companies. They also include recommendations on whether to buy or sell a company's stock. However, the nature of these analysts' work often exposes them to all sort of conflicts of interest. A lot of the reason people listen to Wall Street analysts is that they get more access to company management than almost anybody else. Analysts who have negative ratings on companies, however, risk not either getting this access, or getting the cold shoulder from management. This conflict tends to encourage analysts to assign favorable ratings to companies. But conflicts can get much deeper, and even disturbing.</p>
<p> Read more: http://www.businessinsider.com/wall-street-analyst-conflict-study-november-4-2014-11#ixzz3IHDjgeDG</p>
</blockquote>http://www.moneyscience.com/pg/bookmarks/Admin/read/668738/the-revolvingdoor-of-sellside-analysts-a-threat-to-analysts-independenceThu, 06 Nov 2014 08:58:49 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/668738/the-revolvingdoor-of-sellside-analysts-a-threat-to-analysts-independenceResearch Library: Modelling the short term herding behaviour of stock markets
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/S3Fu190CnyE/modelling-the-short-term-herding-behaviour-of-stock-markets
<p><strong>Yoash Shapira, Yonatan Berman and Eshel Ben-Jacob</strong></p>
<p> </p>
<p><strong>Abstract</strong></p>
<div id="articleAbsctract">
<p>Modelling the behaviour of stock markets has been of major interest in the past century. The market can be treated as a network of many investors reacting in accordance to their group behaviour, as manifested by the index and effected by the flow of external information into the system. Here we devise a model that encapsulates the behaviour of stock markets. The model consists of two terms, demonstrating quantitatively the effect of the individual tendency to follow the group and the effect of the individual reaction to the available information. Using the above factors we were able to explain several key features of the stock market: the high correlations between the individual stocks and the index; the Epps effect; the high fluctuating nature of the market, which is similar to real market behaviour. Furthermore, intricate long term phenomena are also described by this model, such as bursts of synchronized average correlation and the dominance of the index as demonstrated through partial correlation.</p>
</div>http://www.moneyscience.com/pg/bookmarks/Admin/read/653309/modelling-the-short-term-herding-behaviour-of-stock-marketsMon, 09 Jun 2014 11:08:34 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/653309/modelling-the-short-term-herding-behaviour-of-stock-marketsResearch Library: The Dishonesty of Honest People: A Theory of Self-Concept Maintenance
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/FZ6aZMojQP4/the-dishonesty-of-honest-people-a-theory-of-selfconcept-maintenance
<p><strong>Nina Mazar</strong><br />University of Toronto - Joseph L. Rotman School of Management</p>
<p><strong>On Amir</strong><br />University of California, San Diego (UCSD) - Rady School of Management</p>
<p><strong>Dan Ariely</strong><br />Duke University - Fuqua School of Business</p>
<p>2008</p>
<p>Journal of Marketing Research, Vol. 45, No. 6, pp. 633-644, 2008</p>
<p><strong>Abstract</strong></p>
<p>Dishonesty plays a large role in the economy. Causes for (dis)honest behavior seem to be based partially on external rewards, and partially on internal rewards. Here, we investigate how such external and internal rewards work in concert to produce (dis)honesty. We propose and test a theory of self-concept maintenance that allows people to engage to some level in dishonest behavior, thereby benefiting from external benefits of dishonesty, while maintaining their positive view about themselves in terms of being honest individuals. The results show that (1) given the opportunity to engage in beneficial dishonesty, people will engage in such behaviors; (2) the amount of dishonesty is largely insensitive to either the expected external benefits or the costs associated with the deceptive acts; (3) people know about their actions but do not update their self-concepts; (4) causing people to become more aware of their internal standards for honesty decreases their tendency for deception; and (5) increasing the "degrees of freedom" that people have to interpret their actions increases their tendency for deception. We suggest that dishonesty governed by self-concept maintenance is likely to be prevalent in the economy, and understanding it has important implications for designing effective methods to curb dishonesty.</p>http://www.moneyscience.com/pg/bookmarks/Admin/read/635871/the-dishonesty-of-honest-people-a-theory-of-selfconcept-maintenanceTue, 07 Jan 2014 12:31:26 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/635871/the-dishonesty-of-honest-people-a-theory-of-selfconcept-maintenanceResearch Library: The Skin In The Game Heuristic for Protection Against Tail Events
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/WFK7rkQCoJ8/the-skin-in-the-game-heuristic-for-protection-against-tail-events
<p><strong>Nassim Nicholas Taleb</strong><br />New York University; Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)</p>
<p><strong>Constantine Sandis</strong><br />Oxford Brooks</p>
<p><em>October 1, 2013</em></p>
<p>Review of Behavioral Economics, 2014, 1: 1–21</p>
<p><strong>Abstract</strong></p>
<p><strong></strong>Standard economic theory makes an allowance for the agency problem, but not the compounding of moral hazard in the presence of informational opacity, particularly in what concerns high-impact events in fat tailed domains. Nor did it look at exposure as an evolutionary filter that removes bad risk takers from the system so they stop harming others. But the ancients did; so did many aspects of moral philosophy. We propose a global and morally mandatory heuristic that anyone involved in an action which can possibly generate harm for others, even probabilistically, should be required to be exposed to some damage, regardless of context. While perhaps not sufficient, the heuristic is certainly necessary hence mandatory. It is supposed to counter voluntary and involuntary risk hiding and transfer in the tails. We link the rule to various philosophical approaches to ethics and moral luck.</p>http://www.moneyscience.com/pg/bookmarks/Admin/read/635869/the-skin-in-the-game-heuristic-for-protection-against-tail-eventsTue, 07 Jan 2014 12:20:44 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/635869/the-skin-in-the-game-heuristic-for-protection-against-tail-eventsResearch Library: Thinking like a trader selectively reduces individuals' loss aversion
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/imQdDuNekLI/thinking-like-a-trader-selectively-reduces-individuals-loss-aversion
<p><strong>Peter Sokol-Hessner, Ming Hsu, Nina G. Curley, Mauricio R. Delgado, Colin F. Camerer and Elizabeth A. Phelps</strong></p>
<p><strong>Abstract</strong></p>
<p>Research on emotion regulation has focused upon observers' ability to regulate their emotional reaction to stimuli such as affective pictures, but many other aspects of our affective experience are also potentially amenable to intentional cognitive regulation. In the domain of decision-making, recent work has demonstrated a role for emotions in choice, although such work has generally remained agnostic about the specific role of emotion. Combining psychologically-derived cognitive strategies, physiological measurements of arousal, and an economic model of behavior, this study examined changes in choices (specifically, loss aversion) and physiological correlates of behavior as the result of an intentional cognitive regulation strategy. Participants were on average more aroused per dollar to losses relative to gains, as measured with skin conductance response, and the difference in arousal to losses versus gains correlated with behavioral loss aversion across subjects. These results suggest a specific role for arousal responses in loss aversion. Most importantly, the intentional cognitive regulation strategy, which emphasized “perspective-taking,” uniquely reduced both behavioral loss aversion and arousal to losses relative to gains, largely by influencing arousal to losses. Our results confirm previous research demonstrating loss aversion while providing new evidence characterizing individual differences and arousal correlates and illustrating the effectiveness of intentional regulation strategies in reducing loss aversion both behaviorally and physiologically.</p>http://www.moneyscience.com/pg/bookmarks/Admin/read/635488/thinking-like-a-trader-selectively-reduces-individuals-loss-aversionMon, 06 Jan 2014 11:30:40 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/635488/thinking-like-a-trader-selectively-reduces-individuals-loss-aversionResearch Library: Reciprocity as the Foundation of Financial Economics
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/OZdW5jhgou8/reciprocity-as-the-foundation-of-financial-economics
<p><strong>Timothy C. Johnson</strong></p>
<p><em>The Maxwell Institute for Mathematical Sciences</em></p>
<p>October 10, 2013</p>
<p><strong>Abstract: </strong></p>
<p>This paper argues that the fundamental principle of contemporary financial economics is balanced reciprocity, not the principle of utility maximisation that is important in economics more generally. The argument is developed by analysing the mathematical Fundamental Theory of Asset Pricing with reference to the emergence of mathematical probability in the seventeenth century in the context of the ethical assessment of commercial contracts. This analysis is undertaken within a framework of Pragmatic philosophy and Virtue Ethics. The purpose of the paper is to mitigate future financial crises by reorienting financial economics to emphasise the objectives of market stability and social cohesion rather than individual utility maximisation.</p>http://www.moneyscience.com/pg/bookmarks/Admin/read/623844/reciprocity-as-the-foundation-of-financial-economicsMon, 11 Nov 2013 16:13:25 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/623844/reciprocity-as-the-foundation-of-financial-economicsResearch Library: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/jXSpeOFIGnA/statistical-signatures-in-times-of-panic-markets-as-a-selforganizing-system
<p><strong>Lisa Borland</strong></p>
<p><strong>Abstract</strong></p>
<p>We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in normal times. The co-movement of stock returns also increases in panic times. We define a simple statistic $s$, the normalized sum of signs of returns on a given day, to capture the degree of correlation in the system. $s$ can be seen as the order parameter of the system because if $s= 0$ there is no correlation (a disordered state), whereas for $s \ne 0$ there is correlation among stocks (an ordered state). We make an analogy to non-equilibrium phase transitions and hypothesize that financial markets undergo self-organization when the external volatility perception rises above some critical value. Indeed, the distribution of $s$ is unimodal in normal times, shifting to bimodal in times of panic. This is consistent with a second order phase transition. Simulations of a joint stochastic process for stocks use a multi timescale process in the temporal direction and an equation for the order parameter $s$ for the dynamics of the cross-sectional correlation. Numerical results show good qualitative agreement with the stylized facts of real data, in both normal and panic times.</p>http://www.moneyscience.com/pg/bookmarks/Admin/read/545258/statistical-signatures-in-times-of-panic-markets-as-a-selforganizing-systemTue, 14 May 2013 09:12:04 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/545258/statistical-signatures-in-times-of-panic-markets-as-a-selforganizing-systemResearch Library: Quantifying Collective Attention from Tweet Stream
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/GrwfsJCG0No/quantifying-collective-attention-from-tweet-stream
<p><strong>Kazutoshi Sasahara, Yoshito Hirata, Masashi Toyoda, Masaru Kitsuregawa, Kazuyuki Aihara </strong></p>
<p><strong>Abstract</strong></p>
<p>Online social media are increasingly facilitating our social interactions, thereby making available a massive “digital fossil” of human behavior. Discovering and quantifying distinct patterns using these data is important for studying social behavior, although the rapid time-variant nature and large volumes of these data make this task difficult and challenging. In this study, we focused on the emergence of “collective attention” on Twitter, a popular social networking service. We propose a simple method for detecting and measuring the collective attention evoked by various types of events. This method exploits the fact that tweeting activity exhibits a burst-like increase and an irregular oscillation when a particular real-world event occurs; otherwise, it follows regular circadian rhythms. The difference between regular and irregular states in the tweet stream was measured using the Jensen-Shannon divergence, which corresponds to the intensity of collective attention. We then associated irregular incidents with their corresponding events that attracted the attention and elicited responses from large numbers of people, based on the popularity and the enhancement of key terms in posted messages or “tweets.” Next, we demonstrate the effectiveness of this method using a large dataset that contained approximately 490 million Japanese tweets by over 400,000 users, in which we identified 60 cases of collective attentions, including one related to the Tohoku-oki earthquake. “Retweet” networks were also investigated to understand collective attention in terms of social interactions. This simple method provides a retrospective summary of collective attention, thereby contributing to the fundamental understanding of social behavior in the digital era.</p>http://www.moneyscience.com/pg/bookmarks/Admin/read/541036/quantifying-collective-attention-from-tweet-streamTue, 07 May 2013 14:46:52 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/541036/quantifying-collective-attention-from-tweet-streamResearch Library: Quantifying Trading Behavior in Financial Markets Using Google Trends
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/mYHsAcQyvto/quantifying-trading-behavior-in-financial-markets-using-google-trends
<p>This article has been covered at the BBC <strong><a rel="nofollow" target="_blank" href="http://www.bbc.co.uk/news/science-environment-22293693">here</a></strong>.</p>
<p><strong>By Tobias Preis, Helen Susannah Moat & H. Eugene Stanley</strong></p>
<p><strong>Abstract</strong></p>
<p>Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market movements. By analyzing changes in Google query volumes for search terms related to finance, we find patterns that may be interpreted as “early warning signs” of stock market moves. Our results illustrate the potential that combining extensive behavioral data sets offers for a better understanding of collective human behavior. </p>http://www.moneyscience.com/pg/bookmarks/Admin/read/534665/quantifying-trading-behavior-in-financial-markets-using-google-trendsThu, 25 Apr 2013 20:18:18 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/534665/quantifying-trading-behavior-in-financial-markets-using-google-trendsResearch Library: Existential Risk Prevention as a Global Priority
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/6u7sJWvq5N8/existential-risk-prevention-as-a-global-priority
<p>This paper was recently covered by the BBC: <strong><a rel="nofollow" target="_blank" href="http://www.bbc.co.uk/news/business-22002530">How are humans going to become extinct?</a></strong></p>
<p><strong>(2012) Nick Bostrom </strong><br /> <em>Faculty of Philosophy & Oxford Martin School </em><br /><em> University of Oxford </em><br /> <strong><a rel="nofollow" target="_blank" href="http://www.nickbostrom.com">www.nickbostrom.com</a></strong><br /><strong> <a rel="nofollow" target="_blank" href="http://www.existential-risk.com">www.existential-risk.org</a></strong><br /> [<em>Global Policy</em> (2013), forthcoming]</p>
<div class="abstract">Abstract:</div>
<div class="abstract"></div>
<div class="abstract">Existential risks are those that threaten the entire future of humanity. Many theories of value imply that even relatively small reductions in net existential risk have enormous expected value. Despite their importance, issues surrounding human-extinction risks and related hazards remain poorly understood. In this paper, I clarify the concept of existential risk and develop an improved classification scheme. I discuss the relation between existential risks and basic issues in axiology, and show how existential risk reduction (via the maxipok rule) can serve as a strongly action-guiding principle for utilitarian concerns. I also show how the notion of existential risk suggests a new way of thinking about the ideal of sustainability.</div>http://www.moneyscience.com/pg/bookmarks/Admin/read/533517/existential-risk-prevention-as-a-global-priorityWed, 24 Apr 2013 08:55:40 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/533517/existential-risk-prevention-as-a-global-priorityResearch Library: Open Access to Data: An Ideal Professed but Not Practised
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/ZqGmQpUjnSQ/open-access-to-data-an-ideal-professed-but-not-practised
<p><strong>Patrick Andreoli Versbach</strong><br />Max Planck Institute for Intellectual Property and Competition Law; Ludwig-Maximilians-Universität Munich - Munich Graduate School of Economics (MGSE)</p>
<p><strong>Frank Mueller-Langer</strong><br />Max Planck Institute for Intellectual Property and Competition Law; International Max Planck Research School for Competition and Innovation (IMPRS-CI)</p>
<p><em>RatSWD Working Paper Series No. 215</em><br /><em>Max Planck Institute for Intellectual Property & Competition Law Research Paper No. 13-07</em></p>
<p><strong>Abstract: </strong><br />We provide evidence for the status quo in economics with respect to data sharing using a unique data set with 488 hand-collected observations randomly taken from researchers' academic webpages. Out of the sample, 435 researchers (89.14%) neither have a data&code section nor indicate whether and where their data is available. We find that 8.81% of researchers share some of their data whereas only 2.05% fully share. We run an ordered probit regression to relate the decision of researchers to share to their observable characteristics. We find that three predictors are positive and significant across specifications: being full professor, working at a higher-ranked institution and personal attitudes towards sharing as indicated by sharing other material such as lecture slides.</p>http://www.moneyscience.com/pg/bookmarks/Admin/read/532829/open-access-to-data-an-ideal-professed-but-not-practisedTue, 23 Apr 2013 12:58:44 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/532829/open-access-to-data-an-ideal-professed-but-not-practisedResearch Library: A Guide to Modeling Counterparty Credit Risk
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/uQVD0Hkg8AU/a-guide-to-modeling-counterparty-credit-risk
<p><strong>Steven H. Zhu</strong><br /><em>Morgan Stanley; Banc of America Merrill Lynch</em></p>
<p><strong>Michael Pykhtin</strong><br /><em>Bank of America</em></p>
<p>GARP Risk Review, July/August 2007</p>
<p><strong>Abstract</strong></p>
<p>Michael Pykhtin and Steven Zhu offer a blueprint for modelling credit exposure and pricing counter-party risk. They focus on two main issues: modelling credit exposure and pricing counter-party risk. In the part devoted to credit exposure, we will define credit exposure at contract and counter-party levels, introduce netting and margin agreements as risk management tools for reducing counter-party-level exposure and present a framework for modelling credit exposure. In the part devoted to pricing, we will define credit value adjustment (CVA) as the price of counter-party credit risk and discuss approaches to its calculation.</p>
<p></p>http://www.moneyscience.com/pg/bookmarks/Admin/read/485072/a-guide-to-modeling-counterparty-credit-riskMon, 25 Mar 2013 10:12:22 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/485072/a-guide-to-modeling-counterparty-credit-riskResearch Library: The New Investor
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/FS--GBpXQfo/the-new-investor
<p><strong>Tom C. W. Lin</strong></p>
<p><em>University of Florida - Fredric G. Levin College of Law</em></p>
<p><strong>Abstract</strong></p>
<p>A sea change is happening in finance. Machines appear to be on the rise and humans on the decline. Human endeavors have become unmanned endeavors. Human thought and human deliberation have been replaced by computerized analysis and mathematical models. Technological advances have made finance faster, larger, more global, more interconnected, and less human. Modern finance is becoming an industry in which the main players are no longer entirely human. Instead, the key players are now cyborgs: part machine, part human. Modern finance is transforming into what this Article calls cyborg finance.</p>
<p>This Article offers one of the first broad, descriptive, and normative examinations of this sea change and its wide-ranging effects on law, society, and finance. The Article begins by placing the rise of artificial intelligence and computerization in finance within a larger social context. Next, it explores the evolution and birth of a new investor paradigm in law precipitated by that rise. This Article then identifies and addresses regulatory dangers, challenges, and consequences tied to the increasing reliance on artificial intelligence and computers. Specifically, it warns of emerging financial threats in cyberspace, examines new systemic risks linked to speed and connectivity, studies law’s capacity to govern this evolving financial landscape, and explores the growing resource asymmetries in finance. Finally, drawing on themes from the legal discourse about the choice between rules and standards, this Article closes with a defense of humans in an uncertain financial world in which machines continue to rise, and it asserts that smarter humans working with smart machines possess the key to better returns and better futures.</p>http://www.moneyscience.com/pg/bookmarks/Admin/read/471168/the-new-investorMon, 18 Mar 2013 16:48:15 +0000http://www.moneyscience.com/pg/bookmarks/Admin/read/471168/the-new-investor