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November 2011

The Week in MoneyScience - Digest 04/11/11

November 4, 2011 Comments (0)

Welcome to the latest edition of our Weekly Digest! To get a copy in your email box every Friday, you can SIGN UP HERE, or to see previous editions go HERE.
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Video - Hugh Hendry at the LSE Alternative Investments Conference - bit.ly/uzL8L8
Interested in opinions on this: Research suggests Bonuses and risk not linked - bit.ly/si4mQZ #risk
RT @psyfitec - One...

Video - Hugh Hendry at the LSE Alternative Investments Conference

November 3, 2011 Comments (0)

Hugh Hendry of Eclectica Asset Management spoke at the London School of Economics Alternative Investments Conference earlier this year (see full original video here http://vimeo.com/29879763).

Bonuses and risk not linked, says research

November 2, 2011 Comments (0)

I'd be very interested in people's opinions on this new research from the University of Nottigham:

New research into the causes of the credit crisis has cast doubt on the alleged link between bonus payments and risk exposures in the UK financial sector. Bonuses were widely condemned in the wake of meltdown, with political leaders and regulators among those calling for them to be capped to help prevent future crises. But a study by Nottingham University Business School suggests that the...

Rational learning about rare-disaster frequencies: A persistent source of asset-price overreaction

November 1, 2011 Comments (0)

Christos Koulovatianos and  Volker Wieland
Via: Voxeu.org
A stock-market collapse such as the one after the 2008 Lehman Brothers default is followed by more pessimistic assessments of the likelihood of future collapses in surveys and by lower price-dividend ratios. This column argues this reaction of expectations and asset prices can be explained by Bayesian decision theory. The key is to appreciate that market participants know little about the drivers of such crashes. They revise...

Mathematically detecting bubbles before they burst

November 1, 2011 Comments (0)

And we’re not talking figuratively. From the dotcom bust in the late nineties to the housing crash in the run-up to the 2008 crisis, financial bubbles have been a topic of major concern. Identifying bubbles is important in order to prevent collapses that can severely impact nations and economies.
A paper published this month in the SIAM Journal on Financial Mathematics addresses just this issue. Opening fittingly with a quote from New York Federal Reserve President William Dudley...