The Complete MoneyScience Reloaded

Blog Post: TheAlephBlog: Sorted Weekly Tweets

http: — Sat, 25 May 2013 06:45:51 +0000

Companiesread more...

Blog Post: TheFinancialServicesClub: I know, let's differentiate the bank by launching an app!

http: — Fri, 24 May 2013 10:22:13 +0000

Itâs Friday, so we should have some fun.read more...

Published / Preprint: Mathematical Analysis of Money in the Scope of Austerity. (arXiv:1305.5373v1 [q-fin.GN])

Fri, 24 May 2013 00:30:58 +0000

This summarizes the study of the financial and economic crisis in Europe. The starting questions were\\ 1) Why do we have a crisis? Unde venis? 2) What will be the outcome? Quo vadis? read more...

Published / Preprint: Pricing bonds with optional sinking feature using Markov Decision Processes. (arXiv:1305.5220v1 [q-fin.PR])

Thu, 23 May 2013 00:39:09 +0000

An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the notional prior to maturity, therefore the future cash flows are random. In a one-factor model for the issuer's default intensity we show that the pricing algorithm can be formulated as a Markov Decision Process, which is both accurate and quick. The method is demonstrated using a 1.5-factor credit-equity model which...

Published / Preprint: Risk Measure Estimation On Fiegarch Processes. (arXiv:1305.5238v1 [q-fin.RM])

Thu, 23 May 2013 00:39:08 +0000

We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a simulated study regarding the estimation of the risk measure $VaR_p$ on FIEGARCH processes. We consider the distribution function of the portfolio log-returns (univariate case) and the multivariate distribution function of the risk-factor changes (multivariate case). We also compare the...

Whatâs a Reputation Worth?

Wed, 22 May 2013 10:41:23 +0000

Private companies exist to make (legal) returns for their shareholders. I think I’m right in saying that capitalists believe that letting these companies do this generates the most wealth; that in turn will lead to the most jobs & therefore the most all round prosperity. Â In this context, of course companies will organise their finances to minimise the tax that they pay – so why have we all of a sudden so many headlines about companies avoiding tax?read more...

Published / Preprint: A note on high-order short-time expansions for ATM option prices under the CGMY model. (arXiv:1305.4719v1 [q-fin.PR])

Wed, 22 May 2013 00:39:49 +0000

The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel third-order approximation for ATM option prices under the CGMY L\'{e}vy model is derived, and extended to a model with an additional independent Brownian component. Our results shed new light on the connection between both the volatility of the continuous component and the jump parameters and the behavior of ATM option prices near...

Published / Preprint: Reducing the debt : is it optimal to outsource an investment?. (arXiv:1305.4879v1 [math.PR])

Wed, 22 May 2013 00:39:48 +0000

We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the exploitation to a private consortium, or the firm supports the debt and the investment but outsources the exploitation. We prove the existence of Stackelberg and Nash equilibria between the firm and the private consortium, in both situations. We compare the benefits of these contracts. We conclude with a study of what...

Published / Preprint: Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society

Tue, 21 May 2013 16:01:34 +0000

Despite all our great advances in science, technology and financial innovations, many societies today are struggling with a financial, economic and public spending crisis, over-regulation, and mass unemployment, as well as lack of sustainability and innovation. Can we still rely on conventional economic thinking or do we need a new approach? I argue that, as the complexity of socio-economic systems increases, networked decision-making and bottom-up self-regulation will be more and more...

Published / Preprint: Self-healing networks: redundancy and structure

Tue, 21 May 2013 16:01:33 +0000

We introduce the concept of self-healing in the field of complex networks. Obvious applications range from infrastructural to technological networks. By exploiting the presence of redundant links in recovering the connectivity of the system, we introduce self-healing capabilities through the application of distributed communication protocols granting the "smartness" of the system. We analyze the interplay between redundancies and smart reconfiguration protocols in improving the resilience of...

Published / Preprint: A framework for the calibration of social simulation models

Tue, 21 May 2013 16:01:32 +0000

Simulation with agent-based models is increasingly used in the study of complex socio-technical systems and in social simulation in general. This paradigm offers a number of attractive features, namely the possibility of modeling emergent phenomena within large populations. As a consequence, often the quantity in need of calibration may be a distribution over the population whose relation with the parameters of the model is analytically intractable. Nevertheless, we can simulate. In this paper...

Published / Preprint: Modeling self-sustained activity cascades in socio-technical networks

Tue, 21 May 2013 16:01:31 +0000

The ability to understand and eventually predict the emergence of information and activation cascades in social networks is core to complex socio-technical systems research. However, the complexity of social interactions makes this a challenging enterprise. Previous works on cascade models assume that the emergence of this collective phenomenon is related to the activity observed in the local neighborhood of individuals, but do not consider what determines the willingness to spread information...

Published / Preprint: Competition-induced criticality in a model of meme popularity

Tue, 21 May 2013 16:01:30 +0000

Heavy-tailed distributions of meme popularity occur naturally in a model of meme diffusion on social networks. Competition between multiple memes for the limited resource of user attention is identified as the mechanism that poises the system at criticality. The popularity growth of each meme is described by a critical branching process, and asymptotic analysis predicts power-law distributions of popularity with very heavy tails (exponent $\alpha

Wiley Finance - Measuring and Managing Risk

Tue, 21 May 2013 09:23:57 +0000

Read More » Read an Excerpt (PDF) » Buy Now »read more...

Published / Preprint: How to Get Rid of Demand-Supply-Equilibrium for Good

Tue, 21 May 2013 07:18:08 +0000

This paper provides a substantial reconceptualization of the serial clearing of the product market on the basis of structural axioms. The change of premises is required simply because from the accustomed premises only the accustomed conclusions can be derived and these are known to be inapplicable in the real world. This holds in particular for the still popular idea that the working of a market can be described in terms of the triad demand functionâsupply functionâequilibrium. Structural...

Published / Preprint: Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes. (arXiv:1305.4321v1 [q-fin.CP])

Tue, 21 May 2013 00:48:54 +0000

Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follow some jump-diffusion processes. In this paper, we propose a new algorithm to generate tight upper bounds on the Bermudan option price without nested simulation, under the jump-diffusion setting. By exploiting the martingale representation theorem for jump processes on the dual martingale, we are able to explore the...

Blog Post: WealthandCapitalMarketsBlog: European Wealth Management Vendors

http: — Mon, 20 May 2013 20:29:23 +0000

After providing a ranking of the North American weath management platform vendors, I have been looking at vendors across Europe. There are a number of interesting findings that will be discussed in greater detail once the report is released. Here are a couple of the initial findings:read more...

Published / Preprint: Corporate Diversification and the Cost of Capital

Mon, 20 May 2013 16:34:22 +0000

We examine whether organizational form matters for a firm's cost of capital. Contrary to conventional view, we argue that coinsurance among a firm's business units can reduce systematic risk through the avoidance of countercyclical deadweight costs. We find that diversified firms have on average a lower cost of capital than comparable portfolios of standalone firms. In addition, diversified firms with less correlated segment cash flows have a lower cost of capital, consistent with a coinsurance...

Published / Preprint: The Maturity Rat RaceâErratum

Mon, 20 May 2013 16:12:24 +0000

Published / Preprint: Uncertainty, Time-Varying Fear, and Asset Prices

Mon, 20 May 2013 15:18:28 +0000

I construct an equilibrium model that captures salient properties of index option prices, equity returns, variance, and the risk-free rate. A representative investor makes consumption and portfolio choice decisions that are robust to his uncertainty about the true economic model. He pays a large premium for index options because they hedge important model misspecification concerns, particularly concerning jump shocks to cash flow growth and volatility. A calibration shows that empirically...

Blog Post: iMFdirect: Saving Latin America's Unprecedented Income Windfall

http: — Mon, 20 May 2013 14:37:26 +0000

by Gustavo Adler and NicolÃ¡s Magudread more...

Blog Post: Falkenblog: RAFI's Low Vol, My Winning Lotto Ticket

http: — Mon, 20 May 2013 02:10:06 +0000

Research Affiliates (RAFI) suggests that you can dominate simple low volatility portfolios by blending them with some fundamental metrics. Specifically, value, cash-flow, dividends, and sales, combined into a 'fundamental value' metric, generates a 200 basis point return premium that can carry over into the low beta portfolio, all while generating 25% lower volatility. These are reasonable expectations.I'm skeptical that dividends and sales add to the Sharpe ratio of this...

Published / Preprint: A First-Order BSPDE for Swing Option Pricing. (arXiv:1305.3988v1 [q-fin.PR])

Mon, 20 May 2013 00:35:09 +0000

We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial differential equation. Based on this result we can characterize the set of optimal controls and derive a dual minimization problem.

Published / Preprint: A hot-potato game under transient price impact and some effects of a transaction tax. (arXiv:1305.4013v1 [q-fin.TR])

Mon, 20 May 2013 00:35:08 +0000

Building on observations by Sch\"oneborn (2008), we consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. We show that for small transaction costs the high-frequency traders engage in a "hot-potato game", in which the same asset position is sold back and forth. We then identify a critical value for the size of the transaction costs above which all oscillations disappear and...

Published / Preprint: Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society. (arXiv:1305.4078v1 [q-fin.GN])

Mon, 20 May 2013 00:35:04 +0000

Published / Preprint: Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE. (arXiv:1305.4132v1 [q-fin.PR])

Mon, 20 May 2013 00:35:03 +0000

At first, we solve a problem of finding a risk-minimizing hedging strategy on a general market with ratings. Next, we find a solution to this problem on Markovian market with ratings on which prices are influenced by additional factors and rating, and behavior of this system is described by SDE driven by Wiener process and compensated Poisson random measure and claims depend on rating. To find a tool to calculate hedging strategy we prove a Feynman-Kac type theorem. This result is of...

Published / Preprint: A Model for Stock Returns and Volatility. (arXiv:1305.4173v1 [q-fin.ST])

Mon, 20 May 2013 00:35:00 +0000

We prove that Student's t-distribution provides one of the better fits to returns of S&P component stocks and the generalized inverse gamma distribution best fits VIX and VXO volatility data. We further argue that a more accurate measure of the volatility may be possible based on the fact that stock returns can be understood as the product distribution of the volatility and normal distributions. We find Brown noise in VIX and VXO time series and explain the mean and the variance of the...

Blog Post: ThePracticalQuant: Improving options for unlocking your graph data

http: — Sun, 19 May 2013 17:37:13 +0000

[A version of this post appears on the O'Reilly Strata blog.]The popular open source project GraphLab received a major boost early this week when a new company comprised of its founding developers, raised funding to develop analytic tools for graph data sets. GraphLab Inc. will continue to use the open source GraphLab to "push the limits of graph computation and develop new ideas", but having a commercial company will accelerate development, and allow the hiring of resources dedicated to...

Blog Post: PatrickBurns: Variance matrix differences

http: — Wed, 15 May 2013 10:27:08 +0000

Torturing portfolios to give different volatilities between a factor model and Ledoit-Wolf shrinkage.read more...

Link Library: Video - One Half Second of High Frequency Trading in a Single Stock

Tue, 14 May 2013 13:07:14 +0000

1/2 second of trading activity in Johnson & Johnson (symbol JNJ) on May 2, 2013 This video was featured at Wired Business Conference (watch it now: http://fora.tv/2013/05/07/Nanex_CEO_E...) Follow us on twitter @nanexllc for Wall Street Breaking coverage. Set to lowest resolution for an "artistic rendering", or highest resolution for science. The animation tool that created this video was written in "C" using Windows GDI - simple lines, polygons and ellipses. We wrote...

Research Library: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System

Tue, 14 May 2013 09:12:04 +0000

Lisa Borland Abstract 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...

Blog Post: rob_daly: Bloomberg Begins Damage Control

http: — Fri, 10 May 2013 21:41:35 +0000

Bloomberg Begins Damage Controlread more...

Women in Quantitative Finance #2 - Interview with Dr Lisa Borland

Fri, 10 May 2013 15:35:00 +0000

Research Library: Quantifying Collective Attention from Tweet Stream

Tue, 07 May 2013 14:46:52 +0000

Kazutoshi Sasahara, Yoshito Hirata, Masashi Toyoda, Masaru Kitsuregawa, Kazuyuki Aihara Abstract 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...

MoneyScience Research Digest: March - April 2013

Thu, 02 May 2013 15:08:00 +0000

Video - Professor David Cliff Discusses High Frequency Trading

Wed, 01 May 2013 10:55:00 +0000

In this video, recorded at the TradeTech Europe 2013 HFT Focus Day in London, Professor David Cliff of the University of Bristol talks to Mike O'Hara of HFT Review about high frequency trading.read more...

Vendor News: Portfolio Probe version 1.06 released

Mon, 29 Apr 2013 19:23:29 +0000

Portfolio Probe version 1.06 released body,.backgroundTable{ background- } #contentTable{ border:0px none #000000; margin-top:10px; } .headerTop{ background- border-top:0px none #000000; border-bottom:0px none #FFFFFF; text-align:center; padding:0px; } .adminText{ font-size:10px; line-height:200%; font-family:Verdana; text-decoration:none; } .headerBar{ background- border-top:0px none #333333; border-bottom:1px solid #eeeeee;...

INET and CIGI Seek Proposals for Research Grants of up to $250,000

Mon, 29 Apr 2013 13:27:00 +0000

The Institute for New Economic Thinking (INET) and The Centre for International Governance Innovation (CIGI) of Ontario, Canada, are accepting research proposals for their joint 2013 Grant Program, with grants ranging in value from $25,000 to $250,000.read more...

Research Library: Quantifying Trading Behavior in Financial Markets Using Google Trends

Thu, 25 Apr 2013 20:18:18 +0000

This article has been covered at the BBC here. By Tobias Preis, Helen Susannah Moat & H. Eugene Stanley Abstract 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...

Research Library: Existential Risk Prevention as a Global Priority

Wed, 24 Apr 2013 08:55:40 +0000

This paper was recently covered by the BBC: How are humans going to become extinct? (2012) Nick Bostrom Faculty of Philosophy & Oxford Martin School University of Oxford www.nickbostrom.com www.existential-risk.org [Global Policy (2013), forthcoming] 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,...

Wiley-Blackwell - FREE access to the latest research on Insider Trading

Tue, 23 Apr 2013 14:29:17 +0000

Welcome to the Wiley-Blackwell Accounting & Finance Newsletter. In this edition, we’re offering you FREE access to the latest research on Insider Trading.read more...

The ICMA Centre strongly represented in Greece

Tue, 23 Apr 2013 14:17:36 +0000

ICMA Centre students on the MSc International Shipping and Finance (ISF) have recently concluded part 2 of their postgraduate programme.Â As part of the programme, the ICMA Centre students attended two modules at ALBA Graduate Business School, in Athens, Greece; Chartering and Charterparty Analysis taught by Dr Photis Panayides and Derivatives and Risk Management in Shipping taught by Dr Visvikis.Continue reading

Research Library: Open Access to Data: An Ideal Professed but Not Practised

Tue, 23 Apr 2013 12:58:44 +0000

Patrick Andreoli Versbach Max Planck Institute for Intellectual Property and Competition Law; Ludwig-Maximilians-Universität Munich - Munich Graduate School of Economics (MGSE) Frank Mueller-Langer Max Planck Institute for Intellectual Property and Competition Law; International Max Planck Research School for Competition and Innovation (IMPRS-CI) RatSWD Working Paper Series No. 215 Max Planck Institute for Intellectual Property & Competition Law Research Paper No....

Blog Post: emotionalfinance: Inside the mind of the spread-bettor ' Telegraph

http: — Sat, 20 Apr 2013 18:46:40 +0000

Vendor News: April 19, 2013 - SS&C GlobeOp Forward Redemption Indicator: April notifications 2.95%

Fri, 19 Apr 2013 08:10:27 +0000

Open Source Finance 2. OpenGamma, Risk Analytics and Next Generation Financial Technology

Thu, 18 Apr 2013 15:05:00 +0000

Vendor News: Fidessa partners with key brokers to provide pan-ASEAN trading service

Mon, 15 Apr 2013 08:17:24 +0000

Research Library: A Guide to Modeling Counterparty Credit Risk

Mon, 25 Mar 2013 10:12:22 +0000

Steven H. Zhu Morgan Stanley; Banc of America Merrill Lynch Michael Pykhtin Bank of America GARP Risk Review, July/August 2007 Abstract 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...

Event: BroadGroup DataCentres Europe 2013

Wed, 20 Mar 2013 15:06:39 +0000

Location: Palais des CongrÃ¨s Acropolis, Nice, France; Date: May 29th, 2013; Europe's global meeting place and premier forum for more than 1000+ users, operators and practitioners of IT infrastructure from more than 35 countries.read more...

Research Library: The New Investor

Mon, 18 Mar 2013 16:48:15 +0000

Tom C. W. Lin University of Florida - Fredric G. Levin College of Law Abstract 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...

Research Library: Cyclic Game Dynamics Driven by Iterated Reasoning

Mon, 18 Mar 2013 16:07:03 +0000

Published in PLOS One: Seth Frey, Robert L. Goldstone Abstract Recent theories from complexity science argue that complex dynamics are ubiquitous in social and economic systems. These claims emerge from the analysis of individually simple agents whose collective behavior is surprisingly complicated. However, economists have argued that iterated reasoning–what you think I think you think–will suppress complex dynamics by stabilizing or accelerating convergence to Nash...

Profiting from Monetary Policy: Investing through the Business Cycle - An interview with Thomas Aubrey

Thu, 14 Mar 2013 10:25:00 +0000

The Future of Private Equity: Beyond the Mega Buyout - Interview with Author, Mark Bishop

Tue, 05 Mar 2013 10:31:00 +0000

Blog Post: filmackay: Chi-X Australia take off

http: — Tue, 05 Mar 2013 02:18:11 +0000

With the expiry of ASIC's transitional arrangements for best execution I think the dynamics of the Australian cash equities market is about to shift dramatically.read more...

Open Source Finance 1. QuantLib - An Interview with Luigi Ballabio

Sun, 03 Mar 2013 17:38:00 +0000

This is the first in a new series of interviews with leading developers involved in open source financial software.read more...

MoneyScience Digest - 02/03/13

Sat, 02 Mar 2013 11:06:00 +0000

Sifting for Sentiment - Interview with DataSift's Robert Passarella

Fri, 22 Feb 2013 11:11:00 +0000

Vendor News: Infosys Positioned as a Leader in Gartner Magic Quadrant for Oracle Applications Management Service Providers, Worldwide

Thu, 21 Feb 2013 21:17:17 +0000

Gartner has positioned Infosys as a leader in its first-ever Magic Quadrant for Oracle Application Management Service Providers, Worldwide.

Powerful people are looking out for their future selves

Thu, 21 Feb 2013 13:38:24 +0000

Would you prefer $120 today or $154 in one year? Your answer may depend on how powerful you feel, according to new research in Psychological Science, a journal of the Association for Psychological Science.read more...

Event: Financial Globalisation and Sustainable Finance Conference

Tue, 12 Feb 2013 15:56:07 +0000

Location: University of Stellenbosch Business School, Cape Town, South Africa; Date: May 29th, 2013; read more...

Event: R/Finance 2013: Applied Finance with R

Tue, 12 Feb 2013 12:22:42 +0000

Location: Chicago, IL, USA; Date: May 17th, 2013; The fifth annual R/Finance conference for applied finance using R, the premier free software system for statistical computation and graphics, will be held this spring in Chicago, IL, USA on Friday May 17 and Saturday May 18, 2013. The two-day conference will cover portfolio management, time series analysis, advanced risk tools, high-performance computing, econometrics and more. All will be discussed within the...

Research Library: Head and Shoulders above the Rest? The Performance of Institutional Portfolio Managers who Use Technical Analysis

Mon, 04 Feb 2013 15:15:42 +0000

H/T Phil Pearlman David Smith, Christophe Faugère and Ying Wang Abstract This study takes a novel approach to testing the efficacy of technical analysis. Ratherthan testing specific trading rules as is typically done in the literature, we rely oninstitutional portfolio managers’ statements about whether and how intensely they usetechnical analysis, irrespective of the form in which they implement it. In our sample of more than 10,000 portfolios, about one-third of...

Announcing the Ethics in Finance-Robin Cosgrove Prize 2012-2013

Mon, 04 Feb 2013 13:46:29 +0000

There are two Competitions for the Prize:read more...

Video: Larry Tabb on The Future Of Data Management in a post-Crisis World

Wed, 30 Jan 2013 11:39:50 +0000

Larry Tabb of TABB Group recently discussed with Wall Street & Technology senior editor Melanie Rodier how firms are adapting their data management processes to the post-financial-crisis environment.read more...

Research Library: An FDA for Financial Innovation: Applying the Insurable Interest Doctrine to 21st Century Financial Markets

Fri, 25 Jan 2013 14:03:06 +0000

H/T Mark Buchanan over at the Physics of Finance Blog who comments on this paper. Eric A. Posner University of Chicago - Law School E. Glen Weyl University of Chicago; University of Toulouse 1 - Toulouse School of Economics Abstract The financial crisis of 2008 was caused in part by speculative investment in complex derivatives. In enacting the Dodd-Frank Act, Congress sought to address the problem of speculative investment, but merely transferred that authority to various agencies, which...

Research Library: High-Frequency Trading and the Execution Costs of Institutional Investors (pdf)

Thu, 24 Jan 2013 12:21:04 +0000

H/T @CarlCarrie on Twitter Jonathan Brogaard, Terrence Hendershott, Stefan Hunt, Torben Latza, Lucas Pedace, Carla Ysusi FSA OCCASIONAL PAPERS IN FINANCIAL REGULATION While some institutional investors are concerned that high frequency trading increases the cost of investing, others suggest that high frequency trading has been beneficial, for example by creating more accurate and faster pricing of securities and adding liquidity to the market. Understanding the facts, and so which of these...

SEC-mandated XBRL data at risk of being irrelevant to investors and analysts

Wed, 23 Jan 2013 14:42:04 +0000

In 2009, the Securities and Exchange Commission mandated that public companies submit portions of annual (10-K) and quarterly (10-Q) reports—in a digitized format known as eXtensible Business Reporting Language (XBRL). The goal of this type of data was to provide more relevant, timely, and reliable "interactive" data to investors and analysts. The XBRL-formatted data is meant to allow users to manipulate and organize the financial information according to their own purposes faster,...

Research Library: The Trading Profits of High Frequency Traders

Thu, 17 Jan 2013 16:41:18 +0000

Via The Big Picture Matthew Baron, Jonathan Brogaard and Andrei Kirilenko Abstract We examine the profitability of high frequency traders (HFTs). Using transaction level data with user identifications, we find that high frequency trading (HFT) is highly profitable: HFTs collectively earn over $23 million in trading profits in the E-mini S&P 500 futures contract during the month of August 2010. The profits of HFTs are mainly derived from Opportunistic traders, but also from Fundamental...

RT @davdittrich: Nice interview with Richard Thaler, Prof of Behavioural Science and Economics, University of Chicago http://t.co/yeJYaWJv

Tue, 15 Jan 2013 16:26:38 +0000

moneyscience: RT @davdittrich: Nice interview with Richard Thaler, Prof of Behavioural Science and Economics, University of Chicago http://t.co/yeJYaWJv

Feat. Book: The International Banking System: Capital Adequacy, Core Businesses & Risk Management http://t.co/Yl2sm3je @PalMacFinance

Tue, 15 Jan 2013 15:00:53 +0000

BusinessSchools: Feat. Book: The International Banking System: Capital Adequacy, Core Businesses & Risk Management http://t.co/Yl2sm3je @PalMacFinance

MoneyScience Daily is out! http://t.co/aGkJAVQE : Top stories today via @wellertimothy @ThemisSal @BusinessSchools

Tue, 15 Jan 2013 14:48:54 +0000

moneyscience: MoneyScience Daily is out! http://t.co/aGkJAVQE â¸ Top stories today via @wellertimothy @ThemisSal @BusinessSchools

Research Library: Unlimited Growth and Innovation: Paradise or Paradox?

Tue, 15 Jan 2013 10:05:39 +0000

H/T Mark Buchanan over at The Physics of Finance Blog who mentions this paper in his article: Unlimited growth... why the idea is just silly Andrew J. Sutter Rikkyo University, College of Law and Politics; Sutter International Law Office November 15, 2010 Abstract Ever since the dire predictions of The Limits to Growth (Meadows & al. 1972) failed to come true on time, it's been all too easy to ridicule environmentally-based arguments against economic growth as pessimistic...

The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @AstonMBA @gwbusiness @andrewtghill

Tue, 15 Jan 2013 07:33:48 +0000

BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @AstonMBA @gwbusiness @andrewtghill

Journal of Finance Volume 68, Issue 1 (Feb 2013) is online and free to view http://t.co/WtlSLgV4 @JofFinance @wb_finance

Mon, 14 Jan 2013 17:54:43 +0000

BusinessSchools: Journal of Finance Volume 68, Issue 1 (Feb 2013) is online and free to view http://t.co/WtlSLgV4 @JofFinance @wb_finance

Forecasting Financial Crises Project: A Short Documentary - http://t.co/1U3oqpeS

Mon, 14 Jan 2013 16:15:35 +0000

BusinessSchools: Forecasting Financial Crises Project: A Short Documentary - http://t.co/1U3oqpeS

Mark Thoma's Paper on 'Bad Advice from Experts, Herding, and Bubbles' http://t.co/pCFkTlpi and some criticism: http://t.co/pCFkTlpi

Mon, 14 Jan 2013 14:55:11 +0000

BusinessSchools: Mark Thoma's Paper on 'Bad Advice from Experts, Herding, and Bubbles' http://t.co/pCFkTlpi and some criticism: http://t.co/pCFkTlpi

Many JSTOR Journal Archives Now Free to Public http://t.co/5zPS5NKe

Mon, 14 Jan 2013 13:34:37 +0000

BusinessSchools: Many JSTOR Journal Archives Now Free to Public http://t.co/5zPS5NKe

5 yrs ago regulators didnât see the storm coming. Would they see a new one brewing now? Research from Rick Bookstaber http://t.co/4uNf4TbW

Mon, 14 Jan 2013 12:45:36 +0000

BusinessSchools: 5 yrs ago regulators didnât see the storm coming. Would they see a new one brewing now? Research from Rick Bookstaber http://t.co/4uNf4TbW

Research Library: A Brief Introduction to the Basics of Game Theory

Mon, 14 Jan 2013 12:39:21 +0000

Matthew O. Jackson Stanford University - Department of Economics; Santa Fe Institute; Canadian Institute for Advanced Research (CIFAR) December 5, 2011 Abstract I provide a (very) brief introduction to game theory. I have developed these notes to provide quick access to some of the basics of game theory; mainly as an aid for students in courses in which I assumed familiarity with game theory but did not require it as a prerequisite.

Research Library: Using Agent-Based Models for Analyzing Threats to Financial Stability (pdf)

Mon, 14 Jan 2013 12:16:30 +0000

This paper was referenced in an article in the New York Times. Richard Bookstaber Abstract Existing models of financial instability tend to be based on top-down, partial-equilibrium views of markets and their interactions; they are unable to incorporate the complexity of behavior among heterogeneous firms or the tendency for all types of firms to change their behavior during a crisis. This paper argues that agent-based models (ABMs)—which seek to explain how the behavior of individual...

The Missing "One-Offs": The Hidden Supply of High-Achieving, Low Income Students http://t.co/hvjMIRWv

Mon, 14 Jan 2013 10:42:39 +0000

BusinessSchools: The Missing "One-Offs": The Hidden Supply of High-Achieving, Low Income Students http://t.co/hvjMIRWv

Robert Litzenberger Selected As The Recipient Of The 2012 IAFE/SunGard Financial Engineer Of The Year http://t.co/6ny34jSb

Mon, 14 Jan 2013 10:42:38 +0000

BusinessSchools: Robert Litzenberger Selected As The Recipient Of The 2012 IAFE/SunGard Financial Engineer Of The Year http://t.co/6ny34jSb

Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM

Mon, 14 Jan 2013 10:05:35 +0000

BusinessSchools: Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM

The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @Vlerick @KelleySchool @AuckUniBusiness

Mon, 14 Jan 2013 08:25:32 +0000

BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @Vlerick @KelleySchool @AuckUniBusiness

And somehow I missed this in December: Bob Litzenberger became 2012 IAFE/SunGard Financial Engineer Of The Year http://t.co/6ny34jSb

Sun, 13 Jan 2013 07:46:49 +0000

BusinessSchools: And somehow I missed this in December: Bob Litzenberger became 2012 IAFE/SunGard Financial Engineer Of The Year http://t.co/6ny34jSb

The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @ricemba @Kaplan_Univ @BaruchCollege

Sun, 13 Jan 2013 07:46:48 +0000

BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @ricemba @Kaplan_Univ @BaruchCollege

Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM

Sun, 13 Jan 2013 07:46:47 +0000

BusinessSchools: Finance Professor Ulrike Malmendier Receives 2013 Fischer Black Prize http://t.co/R2Dr1LMM

The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @KACNY @cornellnews @UTexasMcCombs

Sat, 12 Jan 2013 07:35:34 +0000

BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @KACNY @cornellnews @UTexasMcCombs

.@icmacentre: Speculative Bubbles and the Cross-Sectional Variation in Stock Returns http://t.co/GmGlJ6Dm

Fri, 11 Jan 2013 20:53:34 +0000

BusinessSchools: .@icmacentre: Speculative Bubbles and the Cross-Sectional Variation in Stock Returns http://t.co/GmGlJ6Dm

Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/rUPuVPLw

Fri, 11 Jan 2013 12:58:41 +0000

moneyscience: Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/rUPuVPLw

Frontiers in Financial Mathematics 2013 - June 2013 http://t.co/UZze8mB2 #quant

Fri, 11 Jan 2013 12:58:35 +0000

BusinessSchools: Frontiers in Financial Mathematics 2013 - June 2013 http://t.co/UZze8mB2 #quant

Recent Advances in Algo and HF Trading - April, 2013 http://t.co/r2D4xkCe #hft #quant

Fri, 11 Jan 2013 12:58:34 +0000

BusinessSchools: Recent Advances in Algo and HF Trading - April, 2013 http://t.co/r2D4xkCe #hft #quant

Workshop on Large deviations and asymptotic methods in finance - April 2013 http://t.co/n4HTy8bb

Fri, 11 Jan 2013 12:58:33 +0000

BusinessSchools: Workshop on Large deviations and asymptotic methods in finance - April 2013 http://t.co/n4HTy8bb

Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/AaIDXWD0

Fri, 11 Jan 2013 12:10:12 +0000

BusinessSchools: Call for Papers: 15th Conference of the Association for Heterodox Economics: Economy and Organisation, July 2013 http://t.co/AaIDXWD0

Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/aFBHC0Xm

Fri, 11 Jan 2013 11:40:09 +0000

moneyscience: Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/aFBHC0Xm

Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/wjKm46Bh

Fri, 11 Jan 2013 11:28:25 +0000

BusinessSchools: Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/wjKm46Bh

Blog Post: OlsenBlog: Review of 2012 & Outlook for 2013

http: — Fri, 11 Jan 2013 10:34:25 +0000

Political and economic uncertainty paralyzed the markets and was a drag on market liquidity, which contributed to erratic market moves in 2012. At OLSEN, we introduced new trading models with refined money management rules and upgraded our risk management framework. We were invited to participate in a research project funded by the EU to analyze the microstructure of markets. Our fully automated investment process is well equipped to successfully navigate the increasingly complex financial...

Greed, not generosity, more likely to be 'paid forward'

Mon, 17 Dec 2012 15:04:21 +0000

Paying it forward - a popular expression for extending generosity to others after someone has been generous to you - is a heartwarming concept, but it is less common than repaying greed with greed, according to new research published by the American Psychological Association. read more...

Video - Trading's evolving next generation? Control systems, feedback loops, adaptive knowledge capture

Fri, 07 Dec 2012 13:38:19 +0000

Video - Ciamac Moallemi: High-Frequency Trading and Market Microstructure

Wed, 28 Nov 2012 15:20:14 +0000

Ciamac Moallemi is the Barbara and Meyer Feldberg Associate Professor of Business in the Decision, Risk, & Operations Division of the Graduate School of Business at Columbia University. read more...

The Complete MoneyScience Reloaded

Blog Post: TheAlephBlog: Sorted Weekly Tweets

Blog Post: TheFinancialServicesClub: I know, let's differentiate the bank by launching an app!

Published / Preprint: Mathematical Analysis of Money in the Scope of Austerity. (arXiv:1305.5373v1 [q-fin.GN])

Published / Preprint: Pricing bonds with optional sinking feature using Markov Decision Processes. (arXiv:1305.5220v1 [q-fin.PR])

Published / Preprint: Risk Measure Estimation On Fiegarch Processes. (arXiv:1305.5238v1 [q-fin.RM])

Whatâs a Reputation Worth?

Published / Preprint: A note on high-order short-time expansions for ATM option prices under the CGMY model. (arXiv:1305.4719v1 [q-fin.PR])

Published / Preprint: Reducing the debt : is it optimal to outsource an investment?. (arXiv:1305.4879v1 [math.PR])

Published / Preprint: Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society

Published / Preprint: Self-healing networks: redundancy and structure

Published / Preprint: A framework for the calibration of social simulation models

Published / Preprint: Modeling self-sustained activity cascades in socio-technical networks

Published / Preprint: Competition-induced criticality in a model of meme popularity

Wiley Finance - Measuring and Managing Risk

Published / Preprint: How to Get Rid of Demand-Supply-Equilibrium for Good

Published / Preprint: Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes. (arXiv:1305.4321v1 [q-fin.CP])

Blog Post: WealthandCapitalMarketsBlog: European Wealth Management Vendors

Published / Preprint: Corporate Diversification and the Cost of Capital

Published / Preprint: The Maturity Rat RaceâErratum

Published / Preprint: Uncertainty, Time-Varying Fear, and Asset Prices

Blog Post: iMFdirect: Saving Latin America's Unprecedented Income Windfall

Blog Post: Falkenblog: RAFI's Low Vol, My Winning Lotto Ticket

Published / Preprint: A First-Order BSPDE for Swing Option Pricing. (arXiv:1305.3988v1 [q-fin.PR])

Published / Preprint: A hot-potato game under transient price impact and some effects of a transaction tax. (arXiv:1305.4013v1 [q-fin.TR])

Published / Preprint: Economics 2.0: The Natural Step towards A Self-Regulating, Participatory Market Society. (arXiv:1305.4078v1 [q-fin.GN])

Published / Preprint: Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE. (arXiv:1305.4132v1 [q-fin.PR])

Published / Preprint: A Model for Stock Returns and Volatility. (arXiv:1305.4173v1 [q-fin.ST])

Blog Post: ThePracticalQuant: Improving options for unlocking your graph data

Blog Post: PatrickBurns: Variance matrix differences

Link Library: Video - One Half Second of High Frequency Trading in a Single Stock

Research Library: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System

Blog Post: rob_daly: Bloomberg Begins Damage Control

Women in Quantitative Finance #2 - Interview with Dr Lisa Borland

Research Library: Quantifying Collective Attention from Tweet Stream

MoneyScience Research Digest: March - April 2013

Video - Professor David Cliff Discusses High Frequency Trading

Vendor News: Portfolio Probe version 1.06 released

INET and CIGI Seek Proposals for Research Grants of up to $250,000

Research Library: Quantifying Trading Behavior in Financial Markets Using Google Trends

Research Library: Existential Risk Prevention as a Global Priority

Wiley-Blackwell - FREE access to the latest research on Insider Trading

The ICMA Centre strongly represented in Greece

Research Library: Open Access to Data: An Ideal Professed but Not Practised

Blog Post: emotionalfinance: Inside the mind of the spread-bettor ' Telegraph

Vendor News: April 19, 2013 - SS&C GlobeOp Forward Redemption Indicator: April notifications 2.95%

Open Source Finance 2. OpenGamma, Risk Analytics and Next Generation Financial Technology

Vendor News: Fidessa partners with key brokers to provide pan-ASEAN trading service

Research Library: A Guide to Modeling Counterparty Credit Risk

Event: BroadGroup DataCentres Europe 2013

Research Library: The New Investor

Research Library: Cyclic Game Dynamics Driven by Iterated Reasoning

Profiting from Monetary Policy: Investing through the Business Cycle - An interview with Thomas Aubrey

The Future of Private Equity: Beyond the Mega Buyout - Interview with Author, Mark Bishop

Blog Post: filmackay: Chi-X Australia take off

Open Source Finance 1. QuantLib - An Interview with Luigi Ballabio

MoneyScience Digest - 02/03/13

Sifting for Sentiment - Interview with DataSift's Robert Passarella

Vendor News: Infosys Positioned as a Leader in Gartner Magic Quadrant for Oracle Applications Management Service Providers, Worldwide

Powerful people are looking out for their future selves

Event: Financial Globalisation and Sustainable Finance Conference

Event: R/Finance 2013: Applied Finance with R

Research Library: Head and Shoulders above the Rest? The Performance of Institutional Portfolio Managers who Use Technical Analysis

Announcing the Ethics in Finance-Robin Cosgrove Prize 2012-2013

Video: Larry Tabb on The Future Of Data Management in a post-Crisis World

Research Library: An FDA for Financial Innovation: Applying the Insurable Interest Doctrine to 21st Century Financial Markets

Research Library: High-Frequency Trading and the Execution Costs of Institutional Investors (pdf)

SEC-mandated XBRL data at risk of being irrelevant to investors and analysts

Research Library: The Trading Profits of High Frequency Traders

RT @davdittrich: Nice interview with Richard Thaler, Prof of Behavioural Science and Economics, University of Chicago http://t.co/yeJYaWJv

Feat. Book: The International Banking System: Capital Adequacy, Core Businesses &amp; Risk Management http://t.co/Yl2sm3je @PalMacFinance

MoneyScience Daily is out! http://t.co/aGkJAVQE : Top stories today via @wellertimothy @ThemisSal @BusinessSchools

Research Library: Unlimited Growth and Innovation: Paradise or Paradox?

The Financial Education Daily is out! http://t.co/mgDaff68 â¸ Top stories today via @AstonMBA @gwbusiness @andrewtghill

Journal of Finance Volume 68, Issue 1 (Feb 2013) is online and free to view http://t.co/WtlSLgV4 @JofFinance @wb_finance

Forecasting Financial Crises Project: A Short Documentary - http://t.co/1U3oqpeS

Mark Thoma's Paper on 'Bad Advice from Experts, Herding, and Bubbles' http://t.co/pCFkTlpi and some criticism: http://t.co/pCFkTlpi

Many JSTOR Journal Archives Now Free to Public http://t.co/5zPS5NKe

5 yrs ago regulators didnât see the storm coming. Would they see a new one brewing now? Research from Rick Bookstaber http://t.co/4uNf4TbW

Research Library: A Brief Introduction to the Basics of Game Theory

Feat. Book: The International Banking System: Capital Adequacy, Core Businesses & Risk Management http://t.co/Yl2sm3je @PalMacFinance