MoneyScience News

Capturing Animal Spirits in Financial Markets

Fri, 06 Nov 2009 10:21:24 +0000

Magda Roszczynska Andrzej Nowak University of Warsaw - Institute for Social Studies Daniel Kamieniarz Sorin Solomon Racah Institute of Physics Jorgen Vitting Andersen Institut Non Linaire de Nice Abstract The current crisis in world finances clearly shows the failure of formal models of financial markets. Many experts believe that the failure of these models to capture crashes and bubbles is due...

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Hedge Fund Focus - 04-11-09

Wed, 04 Nov 2009 16:54:30 +0000

Subscribe in a reader Subscribe by Email Hedge Fund Resources Hedge Fund Focus Home Service Providers Tutorials Communities Blogs Papers & Research Introductions & Guides Papers & Research People & Profiles Research Centres Hedge Fund Books: UK Hedge Fund Books: US General News | People and Funds | Launches| Hedge Fund Activism | Crime and Law [Externalrss-FinanceFocus-titles-rssl-8-30] Resources...

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MoneyScience Twitter Review - November 2009

Wed, 04 Nov 2009 13:28:43 +0000

The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations (pdf) http://bit.ly/aokXS The 16th Annual Workshop on Derivative Securities and Risk Management - Columbia University, New York - Nov 20th. http://bit.ly/1QTJMb 20 Finance Blogs You Might Not Know - http://bit.ly/1XymQF Many Thanks to The Reformed Broker for including MoneyScience on his excellent Periodic...

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Quants face lack of understanding of their role by managers

Wed, 04 Nov 2009 12:12:16 +0000

A significant gap in understanding between quants and their supervisors has been revealed in a survey of almost 400 active quants and risk professionals. The majority (86.3%) of quant and risk management supervisors do not fully understand the work that their teams do, according to the survey conducted by Certificate in Quantitative Finance (CQF). The survey asked respondents about the...

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Podcast - BBC Radio 4 - File on 4 on High Frequency Trading

Wed, 04 Nov 2009 11:39:10 +0000

Companies could become the "playthings" of speculators because of super-fast automatic share trading, Treasury minister Lord Myners has warns. In a world where shares can change hands in micro seconds, thanks to automated trading, Michael Robinson reveals reveal how this kind of trading can give big banks an advantage over the rest of us. And he asks what chance regulators have of controlling...

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Finance Professor Hoje Jo Named Moskowitz Prize Winner

Tue, 03 Nov 2009 17:39:52 +0000

Hoje Jo, associate professor of finance at Santa Clara University Leavey School of Business, has won the 2009 Moskowitz Prize from the Center for Responsible Business at UC Berkeley. The award honors Professor Jo’s paper, "The Economics and Politics of Corporate Social Performance," ( David P. Baron, Maretno A. Harjoto, co-authors ), which found evidence that consumer companies benefit from...

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The Reformed Broker presents the Periodic Table of Financial Bloggers

Tue, 03 Nov 2009 17:22:36 +0000

Huge thanks and much Kudos to Joshua M. Brown over at The Reformed Broker for including MoneyScience on his excellent Periodic Table of Finance Bloggers. You can read all about it here or click on the image below for a bigger version. MoneyScience aggregates a big collection of bloggers and news sources here or you might be interested in this article: 20 Finance Blogs You Might Not Know....

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Behavioural Finance and Equity Investment Strategies - 8-9 December 2009

Mon, 02 Nov 2009 14:12:56 +0000

London Financial Studies Profile at MoneyScience More information about this course. Modern finance portrays investment decision-making as rational choice. However, pure rationality does not describe how many decisions are truly made. This course examines (1) the behavioural strategies that amateur and expert investors rely upon to make decisions, (2) the structure and speculative dynamics of...

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The Financial Crisis as a Symbol of the Failure of Academic Finance - A Methodological Digression

Mon, 02 Nov 2009 13:54:03 +0000

Hans J. Blommestein Tilburg University - Center and Faculty of Economics and Business Administration; Organization for Economic Co-Operation and Development (OECD) Abstract The failure of academic finance can be considered one of the symbols of the financial crisis. Two important underlying reasons why academic finance models systematically fail to account for real-world phenomena...

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Video - GLC's Steven Bell introducing Hedge Funds

Thu, 29 Oct 2009 15:44:05 +0000

Steven Bell joined GLC Ltd at the beginning of 2006 and runs their Macro Hedge Fund Programme. Before that he spent 20 years at Deutsche Bank and predecessor companies. For the last five years he was Deutsche Asset Management's Global Chief Economist where he was responsible for asset allocation. This involved determining the overall amount UK pension fund clients invested in commercial property...

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Common Errors in the Interpretation of the Ideas of The Black Swan and Associated Papers

Tue, 27 Oct 2009 17:49:00 +0000

Nassim Nicholas Taleb NYU-Poly Institute Abstract The point of The Black Swan is that both empirical knowledge (i.e. extrapolating statistics) and a priori theories fail in the tails and it is vital to "robustify" against it using the concepts of "the fourth quadrant". The point has been garbled by members of the economics establishment that claim mistakenly "we know that"...

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Risk Management Research Report - Issue 3 - Autumn 2009

Mon, 26 Oct 2009 17:20:47 +0000

Issue 3 Who Gambles in the Stock Market? Alok Kumar Opaque Financial Reports, R2, and Crash Risk Amy P. Hutton, Alan J. Marcus, and Hassan Tehranian Strong Boards, CEO Power and Bank Risk Taking Shams Pathan Determinants of Contract Terms for Professional Services Carsten Homburg and Peter Stebel The Price of Sin: The Effects of Social Norms on Markets Harrison Hong and Marcin Kacperczyk...

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Systemic Risk in the Financial System: Insights from Network Science

Mon, 26 Oct 2009 14:06:23 +0000

By Ross A. Hammond Summary This paper looks at systemic risk from the perspective of network structure, and the connectivity links between actors in the financial system. It notes that network structure may have played a role in the financial crisis in three important ways: that financial markets may have lacked robustness; that the pattern of network links may have made the system subject to...

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Hedge Fund Focus 20-10-09

Tue, 20 Oct 2009 16:49:18 +0000

New Allegations - Bear Stearns' Hedge Fund Manager Nuked Crucial Email Account

Fri, 16 Oct 2009 07:52:13 +0000

[Externalrss-FinanceFocus-titles-rssl-8-30][Externalrss-hfweblog-titles-rssr-3-30][Externalrss-fintag-titles-rssr-3-30][Externalrss-HedgeFundNews-titles-rssr-3-30] [RandomCompany-54]

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A Framework for Assessing the Systemic Risk of Major Financial Institutions

Thu, 15 Oct 2009 16:11:17 +0000

By Xin Huang, Hao Zhou, and Haibin Zhu Abstract: In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return...

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Advanced C plus plus for Computational Finance with Daniel Duffy

Thu, 15 Oct 2009 14:54:12 +0000

20% Discount for first 5 delegates 9 - 11 December, 2009 London, UK The goal of this three-day intensive hands-on course is to learn those advanced features in C++ that are of direct relevance to writing and extending applications for quantitative and computational finance. The course uses the object-oriented and generic (templates) programming models (OOP, GP) in combination with design patterns...

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Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib with Mark Joshi - June 2010

Wed, 14 Oct 2009 16:25:09 +0000

June 2 - 5, 2010 London, UK This three-day course will be led by an international expert who played a large role in the coding of the LIBOR market model in the QuantLib C++ open-source project. He will examine the practical problems that arise when implementing the LIBOR market model to price exotic interest rate derivatives. Each issue will be discussed at theoretical, practical and coding...

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Trust and Delegation - Hedge Funds and Due Diligence

Wed, 14 Oct 2009 10:39:13 +0000

One in five hedge fund managers misrepresents their fund or its performance to investors during formal due diligence investigations, research from New York University’s Stern School of Business suggests. Sam Jones reports in the Financial Times. Stephen J. Brown NYU Stern School of Business William N. Goetzmann Yale School of Management - International Center for Finance; National Bureau of...

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Doing Business in Russia - the Hermitage Capital Story

Tue, 13 Oct 2009 15:48:00 +0000

Thousands of Russians are watching a YouTube video that accuses their government and officials of high corruption. A Russian version of a video by Hermitage Capital, the London-based hedge fund claiming to be victim of a $230m (£146m) scam, has attracted over 12,000 hits, and is the most viewed news clip on YouTube in Russia, the site shows. The English version has had almost 8,000...

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Elinor Ostrom and Oliver Williamson win the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2009

Mon, 12 Oct 2009 12:13:17 +0000

The Royal Swedish Academy of Sciences has decided to award The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for 2009 to Elinor Ostrom Indiana University, Bloomington, IN, USA, "for her analysis of economic governance, especially the commons" and Oliver E. Williamson University of California, Berkeley, CA, USA, "for his analysis of economic governance, especially the...

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Hedge Fund Focus 09-10-09

Fri, 09 Oct 2009 11:23:00 +0000

101 Linkedin Groups for Financial Professionals

Wed, 07 Oct 2009 14:49:15 +0000

General Finance and Banking Finance Club Finance Industry Professionals Worldwide World Banking Forum Financial Economists - Solutions to Today's Economic Crisis Investment Professionals Group Banking Careers Financial Services Regulation Behavioral Economics Group Behavioral Finance in Investment Management Forum Foreign Exchange and Currency Markets Finance and Investment Management Treasury...

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Video - Richard Roll interviews Eugene Fama

Wed, 07 Oct 2009 09:27:39 +0000

In an interview conducted by Professor Richard Roll, famed University of Chicago economist Eugene F. Fama discusses his life, research, and contributions to the field of finance. Watch the Video H/T Finance Professor Produced by Dimensional in conjunction with the American Finance Association. Directed and edited by Gene Fama Jr....

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Fiddling with accounting rules is not going to restore the banks to health

Wed, 07 Oct 2009 08:49:08 +0000

The current global financial crisis has reinvigorated a debate on the effectiveness of the existing accounting and regulatory frameworks for banks. Questions abound, ranging from adequate capitalisation levels of banks to the boundaries of financial regulation (see Financial Stability Forum, 2008). Part of the debate on financial reform centres around the information required from banks for...

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SSRN - Recent Papers in Behavioural Finance - August-September 2009

Mon, 05 Oct 2009 14:28:03 +0000

More from the SSRN Behavioural and Experimental Finance Library See also: Recent Papers in Behavioural Finance - July 2009 Recent Papers in Behavioural Finance - May-June 2009 Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles Zhi-Qiang Jiang , Wei-Xing Zhou , Didier Sornette , Ryan Woodard , Ken Bastiaensen and Peter Paul Cauwels East China University of...

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What the Market Watched - Bloomberg News Stories and Bank Returns as the Financial Crisis Unfolded

Mon, 05 Oct 2009 13:59:50 +0000

Robin L. Lumsdaine American University - Department of Finance and Real Estate; National Bureau of Economic Research (NBER) Abstract This paper explores a unique data-set gathered via Bloomberg during the early stages of the recent financial crisis. Unlike previous literature that has often used information on headlines as a metric for news, the data-set here contains information on...

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SSRN - Recent Papers in Derivatives - September 2009

Mon, 05 Oct 2009 13:48:40 +0000

More from the SSRN Derivatives eLibrary Recent Papers in Derivatives - August Recent Papers in Derivatives - July Recent Papers in Derivatives - June Recent Papers in Derivatives - April Recent Papers in Derivatives - March Issues in Operational Risk Capital Modeling Mo Chaudhury McGill University - Faculty of Management Credit Default Swaps and the Credit Crisis Charles A. Dice Center Working...

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MoneyScience Twitter Review - October 2009

Mon, 05 Oct 2009 08:42:50 +0000

MoneyScience on Facebook - Become a Fan - http://bit.ly/vWIkU Ongoing problems at Nigerian Banks - http://bit.ly/MvSrY Money Mules and Cybercrime - http://bit.ly/gfHRo @SSRN Black Gold & Fool's Gold: Speculation in the Oil Futures Market - http://bit.ly/UY4V6 @SimoleonSense - Giving Content to Investor Sentiment: The Role of Media in the Stock Market - http://bit.ly/4vobtA Patrick Burns on...

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Hedge Fund Focus 02-10-09

Fri, 02 Oct 2009 15:48:49 +0000

Subscribe in a reader Subscribe by Email Hedge Fund Resources Hedge Fund Focus Home Service Providers Tutorials Communities Blogs Papers & Research Introductions & Guides Papers & Research People & Profiles Research Centres Hedge Fund Books: UK Hedge Fund Books: US General News | People and Funds | Launches| Hedge Fund Activism | Crime and Law [Externalrss-FinanceFocus-titles-rssl-6-30] Resources...

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A New Code of Conduct for Actuaries

Fri, 02 Oct 2009 09:40:31 +0000

The Actuarial Profession has launched a new code of conduct covering all its members, which sets out in simple, straight-forward terms the professional and ethical standards that actuaries are expected to adhere to at all times. It replaces an earlier, much more complex set of standards, providing the cornerstone of a revised quality framework for the Profession fit for the 21st century. The code...

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QFINANCE - The Ultimate Resource for finance professionals, academia and business writers

Fri, 02 Oct 2009 09:10:30 +0000

The events of the last two years have shown that financial systems are not infallible and when they do fail, they do so on a global scale. Financial professionals around the world are now being asked to question their practices and thinking, and it is crucial that lessons are learned and best practice is adopted. Fresh ideas need to be shared globally. Knowledge and education are key and for the...

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Men, Women and Money

Wed, 30 Sep 2009 12:05:20 +0000

Not your normal MoneyScience posting but this article in Psychology Today is interesting nevertheless. H/T: Finance Professor ...Many individuals have a troubled relationship with money. Then, when they get into a couple relationship, money matters get explosive. Other people may have no problem with money individually; the trouble starts after they're in the relationship. In two decades as a...

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Credit Default Swaps and the Credit Crisis

Wed, 30 Sep 2009 11:52:32 +0000

Rene M. Stulz Ohio State University - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI) Abstract Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market...

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Research - The Evolution of Overconfidence

Tue, 29 Sep 2009 13:16:09 +0000

By Dominic D. P. Johnson and James H. Fowler Abstract Confidence is an essential ingredient of success in a wide range of domains including job performance, mental health, sports, business, and combat. Many authors have suggested that overconfidence--defined here as believing you are better than you are in reality--is advantageous because it serves to increase ambition,...

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Disintegrating Risk Management

Tue, 22 Sep 2009 13:57:05 +0000

Andrea Gamba University of Verona; George Washington University School of Business Alexander J. Triantis University of Maryland - Robert H. Smith School of Business Abstract We present a dynamic structural model of integrated risk management. Several motivations for managing risk are incorporated into the model, including costs associated with external financing, distress and bankruptcy,...

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Podcast - Paul Wilmott on Bloomberg

Tue, 22 Sep 2009 13:07:37 +0000

Financial markets have grown too dependent on mathematicians who use models to anticipate price moves and need to start injecting "common sense" into the equation, said Paul Wilmott, a London-based author and quantitative finance instructor. Wilmott has warned that so-called quants who use mathematics to forecast how markets will behave can overlook errors in the models, leading to flawed...

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Upcoming Training from New York Institute of Finance Oct - Dec 2009

Mon, 21 Sep 2009 15:51:06 +0000

October Corporate Governance in an Era of Financial Crisis - 1 - 2 October 2009 Equity Derivatives - 5 - 6 October 2009 Credit Risk Analysis - 5 - 9 October 2009 Valuation and Use of Equity Options - 6 - 22 October 2009 Advanced Financial Modeling, Enhancements and Segment Build-up - 10 - 24 October 2009, New York, USA Convertible Bonds - 12 - 13 October 2009, New York, USA...

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Upcoming Training from London Financial Studies - Oct - Dec 2009

Mon, 21 Sep 2009 15:10:46 +0000

October 2009 Modern Credit Derivatives - 5 - 7 October 2009 Structured Products - Design - Pricing and Implementation - 7 - 9 October 2009 Asset Allocation and the Business Cycle - 12 - 13 October 2009 Quantitative Techniques for Credit Derivatives - 19 - 20 October 2009 Property Derivatives - 19 - 20 October 2009 Equity Derivatives - Valuation and Management - 21 - 23 October 2009 Collateral and...

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Why bankers are like bacteria

Mon, 21 Sep 2009 13:19:22 +0000

Whether you call the current financial situation a setback, a crisis or a meltdown, it has had at least one positive effect: financiers are searching for new ways to deal with complex risk. I have a suggestion for them. Look to nature, where analogous problems have already been solved by engineers and computer scientists. Bacteria, for example, have a robust, adaptive regulatory system that...

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twitter: Quote: "I’ve found that luck is quite predictable. If you want more luck, take more chances. Be more active. Show up more often."

Fri, 06 Nov 2009 15:00:24 +0000

moneyscience: Quote: "I’ve found that luck is quite predictable. If you want more luck, take more chances. Be more active. Show up more often."

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twitter: Bachelier Finance Society - Membership 2010: http://bit.ly/2jt503

Fri, 06 Nov 2009 14:10:55 +0000

moneyscience: Bachelier Finance Society - Membership 2010: http://bit.ly/2jt503

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twitter: @SSRN - Capturing Animal Spirits in Financial Markets - http://bit.ly/2uvkxl

Fri, 06 Nov 2009 10:22:45 +0000

moneyscience: @SSRN - Capturing Animal Spirits in Financial Markets - http://bit.ly/2uvkxl

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twitter: We are reaching the endgame for quantitative easing, experts declare - http://bit.ly/M1lOH

Fri, 06 Nov 2009 10:01:46 +0000

moneyscience: We are reaching the endgame for quantitative easing, experts declare - http://bit.ly/M1lOH

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twitter: #FollowFriday: @FINSider, @PrakashSapkota, @tomohirotsuruga, @jimmahar, @mebfaber, @palafo, @andrewsross, @TimHarford

Fri, 06 Nov 2009 09:59:20 +0000

moneyscience: #FollowFriday: @FINSider, @PrakashSapkota, @tomohirotsuruga, @jimmahar, @mebfaber, @palafo, @andrewsross, @TimHarford

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hedge fund twitter: Citigroup is poised to relaunch the unit containing its troubled hedge fund operations - http://bit.ly/2EyTTE

Fri, 06 Nov 2009 15:06:50 +0000

hedgefundfocus: Citigroup is poised to relaunch the unit containing its troubled hedge fund operations - http://bit.ly/2EyTTE

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hedge fund twitter: @SSRN Smart Money or Smart about Money? Evidence from Hedge Funds - http://bit.ly/38ieBs

Fri, 06 Nov 2009 10:23:37 +0000

hedgefundfocus: @SSRN Smart Money or Smart about Money? Evidence from Hedge Funds - http://bit.ly/38ieBs

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hedge fund twitter: @SSRN - Do Hedge Fund Managers Identify and Share Profitable Ideas? http://bit.ly/2qGQTG

Fri, 06 Nov 2009 10:23:10 +0000

hedgefundfocus: @SSRN - Do Hedge Fund Managers Identify and Share Profitable Ideas? http://bit.ly/2qGQTG

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hedge fund twitter: Hedge Funds, Fund Management, and Alternative Investment Resources at QFINANCE - http://bit.ly/m0RXW

Thu, 05 Nov 2009 15:56:05 +0000

hedgefundfocus: Hedge Funds, Fund Management, and Alternative Investment Resources at QFINANCE - http://bit.ly/m0RXW

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hedge fund twitter: A bumper issue of Hedge Fund Focus this week - http://bit.ly/1FKaZD

Wed, 04 Nov 2009 16:57:30 +0000

hedgefundfocus: A bumper issue of Hedge Fund Focus this week - http://bit.ly/1FKaZD

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