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Blog Post: PsyFiBlog: Mindless With Money

May 2, 2012 by MoneyScience   Comments (0)

Non-conscious Numbskulls We all know the feeling of mindlessness. You get it when you drive the same roads as usual and get out at the end not remembering anything about the journey, or when you eat a meal without tasting it, or leave a meeting without the faintest idea what just happened. Yet to everyone around us we’ve behaved just the same way we always do. There’s something really odd about this, because it suggests that we don’t need to be conscious of what we’re doing to achieve...

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Blog Post: Falkenblog: Do Subsidies Increase or Decrease Costs?

May 2, 2012 by MoneyScience   Comments (0)

I guess this is debatable (who knew?). Federal college aid has risen 165% over the past decade, and college and college costs have risen about 74% over that same period. Yet some think that increased costs are from our stingy federal government.  For example, Jesse Jackson over at Huffpost notes: College tuition is soaring because the state contribution to budgets is being slashedObama has a plan to increase aid in response. The Obama administration has already taken a series of...

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Published / Preprint: Using high performance computing and Monte Carlo simulation for pricing american options. (arXiv:1205.0106v1 [cs.DC])

May 2, 2012 by MoneyScience   Comments (0)

High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options. Although the American options are very significant in computational finance; their valuation is very challenging, especially when the Monte Carlo simulation techniques are used. For getting the most accurate price for these types of options we use Quasi Monte Carlo simulation, which gives the...

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Published / Preprint: How does the market react to your order flow?. (arXiv:1104.0587v2 [q-fin.TR] UPDATED)

May 2, 2012 by MoneyScience   Comments (0)

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are...

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Blog Post: AllAboutAlpha: Of Falling Risks and Indexes

May 2, 2012 by MoneyScience   Comments (0)

Any quantitative strategy is susceptible to being reduced to an index, and along with this, to transparency and routine. Once this happens, that "alpha" becomes "beta," and the 2 + 20 fees are no longer available. A manager in search of alpha will have to move beyond that strategy, peeling away that layer of the onion and going to a deeper, not-yet-indexable, strategy.

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Blog Post: relmbo: Finance Clippings: NC Treasurer race - why fees are what really matte...

May 2, 2012 by MoneyScience   Comments (0)

Finance Clippings: NC Treasurer race - why fees are what really matte...: The local ABC channel (11) reported last night  that the NC Treasurer's office has uncovered wide spread fraud among retirees.  Examples inc...

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Blog Post: FinanceClippings: 10 things your commencement speaker won't tell you

May 1, 2012 by MoneyScience   Comments (0)

With graduation around the corner, here's one from the Wall Street Journal. Quote: Is that pretty girl Phi Beta Kappa? Marry her. Actually that's what I did and it's worked out pretty well. Thanks to my colleague Melissa for the link.

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