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Published / Preprint: Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information. (arXiv:1205.3051v1 [q-fin.TR])

May 15, 2012 by MoneyScience   Comments (0)

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse controls and regular controls. We model and discuss the consequences of the two main features of this particular microstructure: first, the limit orders sent by the high frequency trader are only...

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Published / Preprint: On the nature of financial leverage. (arXiv:1009.2896v3 [q-fin.RM] UPDATED)

May 15, 2012 by MoneyScience   Comments (0)

The article presents a translation of some widespread financial terminology into the language of decision theory. For instance, financial leverage can be regarded as an object of choice or a decision. We show how the optics of decision theory allows perceiving the recently introduced metrics of see-through-leverage, which proved to be very useful in understanding the phenomenology of the recent economic crisis.

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Schema.org Now Supports External Lists

May 15, 2012 by Jenz514   Comments (0)

The schema.org official blog has announced support for enumerated lists. Adding this support allows developers using schema.org to use selected externally maintained vocabularies in their schema.org markup. According to the W3C-hosted schema.org WebSchemas wiki, “This is in addition to the existing extension mechanisms we support, and the general ability to include whatever markup you like in your pages. The focus here is on external vocabularies which can be thought of as ‘supported’ (or anticipated) in some sense by schema.org.”

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Is Data Too Big To Know?

May 14, 2012 by Jenz514   Comments (0)

Steven Rosenbaum of Forbes recently posed the question, is there too much information out there? He writes, “If anyone knows anything about the web, where it’s been and where it’s going, it’s David Weinberger.  As a co-author of the seminal Clue Train Manifesto, Weinberger gave a generation of web innovators a clue as to how the web would evolve. In Too Big To Know Weinberger sets out to argue that the very nature of information and ideas is changing, even as you flip the pages of his book.”

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Hedge Effectiveness Presents a Significant Challenge for Corporate Treasuries

May 14, 2012 by FINCAD   Comments (0)

[05/15/2012] Nearly 30 percent of FINCAD Corporate Finance Survey respondents stated that hedge effectiveness testing is the biggest challenge.

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Bing Gets a Makeover

May 14, 2012 by Jenz514   Comments (0)

Lance Ulanoff of Mashable reports, “Bing has been reinvented, offering enhanced search results that tap into the power of social media. Microsoft has done this by pulling people out of search results and putting them in their place: A right-hand social column that will eventually include Facebook, Twitter, Google+ Quora and LinkedIn integration, as well as people who may know something about your most recent Bing query. It even offers a way to ask questions on your favorite social network, directly through Bing.”

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