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US market portrait 2014 week 16

April 19, 2014 by Patrick Burns   Comments (0)

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however you like

A Karmic Moment Comes Home: 81% Of Americans Believe Obama Is A Chronic Liar

April 18, 2014 by Timing Logic   Comments (0)

Yah think?  So, if most Americans believe Obama regularly lies, is it pathological or are 81% of Americans suffering from mass delusions? Or, are the perceptions of endless lying due to massive state secrecy that hides the incompetence and criminal behavior of a rogue political class?  Or is it because conspiracies, bigots, partisan politicians and the like have found cover in the times in which we live?  And they use this cover to create their own lies?  Or is it all...

Welcome to Econometrics Students in China

April 18, 2014 by Econometrics Beat   Comments (0)

One of my students mentioned to me yesterday that there was quite a bit of action on Weibo (the Chinese equivalent to Twitter) relating to posts on this blog - especially those posts relating to MCMC methods in econometrics. That's just great - thanks for your interest! Looking at the stats. associated with the page-views for this blog, I see that in the last week China ranks number 3 (after the U.S. and the U.K.) as the most frequent country of origin. Over the past month China is number 4,...

The Best of TRB 2014 – Fun Stuff

April 18, 2014 by The Reformed Broker   Comments (0)

This week I’m in Disney World with the family, our first proper vacation all together in years. As such, I’m off the grid and away […]

How to consistently beat the market -- follow trends

April 18, 2014 by The Physics of Finance   Comments (0)

Several people working for the hedge fund AQR Capital Management have a working paper which looks at trend following strategies over about a century. It finds they're generally very profitable, which is surprising, I guess, if you're an EMH nut and simply can't muster the imagination required to believe that markets contain identifiable momentum. From that paper: As an investment style, trend-following has existed for a very long time. Some 200 years ago, the classical economist David...

Galvanotactic control of collective cell migration in epithelial monolayers

April 18, 2014 by Complexity Digest   Comments (0)

Many normal and pathological biological processes involve the migration of epithelial cell sheets. This arises from complex emergent behaviour resulting from the interplay between cellular signalling networks and the forces that physically couple the cells. Here, we demonstrate that collective migration of an epithelium can be interactively guided by applying electric fields that bias the underlying signalling networks. We show that complex, spatiotemporal cues are locally interpreted by the...

The Good ETF, Part 2 (sort of)

April 18, 2014 by The Aleph Blog   Comments (0)

About 4.5 years ago, I wrote a short piece called The Good ETF.  I’ll quote the summary:Good ETFs are:Small compared to the pool that they fish inFollow broad themesDo not rely on irreplicable assetsStorable, they do not require a “roll” or some replication strategy.Not affected by unexpected credit events.Liquid in terms of what they repesent, and liquid it what they hold.The last one is a good summary.  There are many ETFs that are Closed-end funds in disguise.  An ETF with liquid...

On small-noise equations with degenerate limiting system arising from volatility models. (arXiv:1404.4464v1 [math.PR])

April 17, 2014 by Quantitative Finance at arXiv   Comments (0)

The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} =
b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma<1$ is widely
studied in mathematical finance. Several works have proposed asymptotic
analysis of densities and implied volatilities in models involving specific
instances of this equation, based on a careful implementation of saddle-point
methods and (essentially) the explicit knowledge of Fourier transforms. Recent
research on tail asymptotics for heat...

Macroprudential oversight, risk communication and visualization. (arXiv:1404.4550v1 [q-fin.CP])

April 17, 2014 by Quantitative Finance at arXiv   Comments (0)

This paper discusses the role of risk communication in macroprudential
oversight and of visualization in risk communication. Beyond the soar in
availability and precision of data, the transition from firm-centric to
system-wide supervision imposes obvious data needs. Moreover, broad and
effective communication of timely information related to systemic risks is a
key mandate of macroprudential supervisors, which further stresses the
importance of simple representations of complex data. Risk...

Bain Nets $7.3 Billion For North America Fund

April 17, 2014 by FINalternatives   Comments (0)

Bain Capital has raised $7.3 billion for its next flagship private-equity fund, topping its target by a half-billion. Investors committed $6.5 billion to the fund, which will focus on North America. Boston-based Bain had hoped to attract $6 billion from clients. read more