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Things worth reading: 14th May 2012

May 14, 2012 by skinnercm   Comments (0)

Things we're reading today include:


Your Daily Nutritional Value Of Factual Information In-Take

May 14, 2012 by CalConfidence   Comments (0)

If information is viewed in the same way we view food, the production, preparation, and consumption of information changes.  JR Rangaswami approaches information as a consumption issue, not a production issue.  We need to check our information for "fact percentages" and maintain a healthy diet of factual  information.  Something the government already regulates and look how unhealthy the information diet is of middle American, low brow families.   

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Blog Post: Falkenblog: Hedges Don't Lose Money?

May 14, 2012 by MoneyScience   Comments (0)

I was working out watching Jamie Dimon squirm like a worm, reminding me of Lawrence Summers pathetic recant of his rather innocuous speculation about gender talent distributions.  If a bank with $140B in market cap and over $2000B in assets loses $2B trading credit insurance, it sounds like no big deal, yet everyone, including Dimon, saw this as a a 'terrible, egregious, inexcusible mistake.' Dimon noted he had $8B in profits in their 'banking book' related to these...

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Published / Preprint: Constructing Sublinear Expectations on Path Space. (arXiv:1205.2415v1 [math.PR])

May 14, 2012 by MoneyScience   Comments (0)

We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random G-expectation, and an optional sampling theorem that holds without exceptional set. Our results also shed light on the inherent limitations to constructing sublinear expectations through aggregation.

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Published / Preprint: Equilibrium Distribution of Labor Productivity: A Theoretical Model. (arXiv:1205.2470v1 [q-fin.ST])

May 14, 2012 by MoneyScience   Comments (0)

We construct a theoretical model for equilibrium distribution of workers across sectors with different labor productivity, assuming that a sector can accommodate a limited number of workers which depends only on its productivity. A general formula for such distribution of productivity is obtained, using the detail-balance condition necessary for equilibrium in the Ehrenfest-Brillouin model. We also carry out an empirical analysis on the average number of workers in given productivity sectors on...

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Published / Preprint: A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA). (arXiv:1205.2513v1 [q-fin.RM])

May 14, 2012 by MoneyScience   Comments (0)

The purpose of this article is twofold. First, we motivate the need for a new type of stand-alone retirement income insurance product that would help individuals protect against personal longevity risk and possible "retirement ruin" in an economically efficient manner. We label this product a ruin-contingent life annuity (RCLA), which we elaborate-on and explain with various numerical examples and a basic pricing model. Second, we argue that with the proper perspective a similar product...

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Published / Preprint: Weighted-indexed semi-Markov models for modeling financial returns. (arXiv:1205.2551v1 [q-fin.ST])

May 14, 2012 by MoneyScience   Comments (0)

In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to reproduce important stylized facts of financial time series as the first passage time distributions and the persistence of volatility. The model is applied to data from Italian...

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