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GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi - February 25-27th, London, UK - Further Information

July 2011

A History of Behavioural Finance in Published Research: 1944 - 1988

July 31, 2011 Comments (0)

This list is an updated version of an outdated chronology which originally appeared on the excellent behaviouralfinance.net website.
I have been through the list systematically to find online versions of the papers where they are available, and where they are not (for free) have linked to the versions which can be purchased at Jstor.
If you find any errors, or would like to suggest other papers for the chronology then please do not hesistate to contact me:...

How does sovereign risk affect bank funding conditions? What can policymakers do?

July 27, 2011 Comments (0)

By Michael Davies and Fabio Panetta
Source: Voxeu.org

Sovereign credit risk has emerged as the main challenge to global financial stability. This column explains how a deterioration in sovereign creditworthiness can damage bank funding conditions before discussing possible options for mitigating these effects. It argues that banks can only do so much and that the policymakers have a critical role.

The financial crisis and the subsequent recession have caused a sharp deterioration...

A tipping point for the spread of ideas

July 26, 2011 Comments (0)

Scientists at Rensselaer Polytechnic Institute have found that when just 10 percent of the population holds an unshakable belief, their belief will always be adopted by the majority of the society. The scientists, who are members of the Social Cognitive Networks Academic Research Center (SCNARC) at Rensselaer, used computational and analytical methods to discover the tipping point where a minority belief becomes the majority opinion. The finding has implications for the study and...

Linkfest of Linkfests - 27/07/11

July 25, 2011 Comments (0)

A brand new feature here at MoneyScience. Regular updates on the best linkfests in finance and economics.
Enjoy!

The Big Picture:- 10 Monday Morning Reads
The Reformed Broker:- Hot Links: New Levels of Ludicrous
Marginal Revolution:- What I’ve been reading
Naked Capitalism: -Links 7/25/11
Economist's View:- links for 2011-07-24
Simoleon Sense:- Weekly Roundup 137
Abnormal Returns:-Sunday links: hitting rock bottom
Marginal Revolution:- Assorted links
Naked Capitalism: -Links...

An Analysis of Anonymity in the Bitcoin System

July 25, 2011 Comments (0)

By Fergal Reid, Martin Harrigan
 
Abstract
Anonymity in Bitcoin, a peer-to-peer electronic currency system, is a complicated issue. Within the system, users are identified by public-keys only. An attacker wishing to de-anonymize its users will attempt to construct the oneto- many mapping between users and public-keys and associate information external to the system with the users. Bitcoin frustrates this attack by storing the mapping of a user to his or her public-keys on that user's...

Kevin Slavin - How Algorithms Shape our World

July 25, 2011 Comments (0)

Kevin Slavin argues that we're living in a world designed for -- and increasingly controlled by -- algorithms. In this riveting talk from TEDGlobal, he shows how these complex computer programs determine: espionage tactics, stock prices, movie scripts, and architecture. And he warns that we are writing code we can't understand, with implications we can't control.

Kevin Slavin navigates in the algoworld, the expanding space in our lives that’s determined and run by algorithms....

BBC Graphic - Is the Euro Crumbling?

July 21, 2011 Comments (0)

Very basic (but pretty) animation from the BBC on the Euro Crisis.

The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium

July 18, 2011 Comments (0)

By Tarun Ramadorai
 
Abstract
Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability and compensation, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed hedge fund premium which is highly correlated over time with the...

The Value of Investment Banking Relationships: Evidence from the Collapse of Lehman Brothers

July 18, 2011 Comments (0)

By Chitru S. Fernando, Anthony D. May and William L. Megginson
 
Abstract
We examine the long-standing question of whether firms derive value from investment bank relationships by studying how the Lehman collapse affected industrial firms that received underwriting, advisory, analyst, and market-making services from Lehman. Equity underwriting clients experienced an abnormal return of around -5%, on average, in the seven days surrounding Lehman’s bankruptcy, amounting to $23...

Hedge Funds and Chapter 11

July 18, 2011 Comments (0)

By Wei Jiang,  Kai Li and and Wei Wang
 
Abstract
 This paper studies the presence of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge funds strategically choose positions in the capital structure where their actions could have a bigger impact on value. Their presence, especially as unsecured creditors, helps balance power between the debtor and the secured creditors. Their effect on the debtor is manifested in higher probabilities of...