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June 2012

LIBOR Manipulation and the Butterfly Effect

June 29, 2012 Comments (0)

If you listen to Bob Diamond and other senior staff at Barclays Bank, you might be forgiven for concluding that the LIBOR scandal which has involved the bank and, which might possibly spread to engulf the entire sector, was but a small blip by a small team in a relatively specialised segment of the marketplace. Indeed the scale of the fine imposed by the UK's Financial Services Authority, which amounted to little more than 5 days profit for the superbank, would probably do little to convince...

Going with the flow: Can analog simulations make economics an experimental science?

June 28, 2012 Comments (0)

This article is by John Hulls, of the Cambiant Project at the Dominican University of California. The project uses a fluid dynamics modeling concept he developed to simulate economic performance.

Nobel Laureate James Meade related how, “Once upon a time a student at London School of Economics got into difficulties with such questions as whether Savings are necessarily related to Investments, but he realized that monetary flows could be viewed as tankfuls of...

Women 'never the right age' in hedge fund

June 28, 2012 Comments (0)

I'm not sure how much weight we can give to a study conducted in a single hedge fund but I haven't seen the paper, and if anyone can get hold of a copy of "The organizational gendering of ‘adulting’" by Kat Riach and Jo Brewis, I'd rather like to see it. Email me: jacob@moneyscience.com

'Women faced problems at every stage of adult life' says report from University of Leicester and University of Essex
Women working in hedge funds struggle to be taken seriously at work,...

HFT Review Special Section: FPGA & Hardware Accelerated Trading

June 26, 2012 Comments (0)

This brand new section of the HFT Review website is intended to become a central point for information, commentary and discussion around FPGAs and the use of Hardware Acceleration in Trading.

Although FPGA (Field Programmable Gate Array) technology has been around since the mid-1980s, it is only within the last two to three years that it has been adopted to any real extent in the financial markets.
Originally developed for the defence and telecoms industries, FPGAs are basically a type...

Computer science tackles 30-year-old economics problem: The Multi-Item Auction

June 25, 2012 Comments (0)

MIT researchers generalize Nobel winner’s work on single-item auctions to auctions involving multiple items.
By Larry Hardesty, MIT News Office
In 2007, the University of Chicago's Roger Myerson won the Nobel Memorial Prize in Economic Sciences — in part for research he had published, in 1981, on auction design. Using the tools of game theory, Myerson showed how to structure an auction for a single item such that if all the bidders adopted the bidding strategies in their best...

VOX eCollection - Austerity: Too Much of a Good Thing?

June 25, 2012 Comments (0)

The French and Greek elections, together with a softer than expected Eurozone macroeconomy, are forcing a rethink of the austerity-only solutions embraced by political leaders across Europe. This ‘eCollection’ from VOXeu.org brings together analysis by a dozen leading thinkers on austerity.
edited by Giancarlo Corsetti
Published 14 June 2012
Download the PDF of the eBook here.
Table of Contents
Introduction Giancarlo...

The MoneyScience Digest 22/06/12

June 22, 2012 Comments (0)

Featured | Sponsored | Events | Announcements | Finance and Banking | Finance and Technology | Science and General Interest | Research


Interactional expertise, contributory expertise and the Turing Test http://t.co/84vsoZdI
Matt Taibbi: The Scam Wall Street Learned From the Mafia http://t.co/IYYoWx8m
Tales of the Unexpected: Andrew Haldane Paper presented at 'The Credit Crisis Five Years On: Unpacking the Crisis' http://t.co/zTzzpC4b
Iterated Prisoner's Dilemma...

Tales of the Unexpected: Andrew Haldane Paper presented at Conference: “The Credit Crisis Five Years On: Unpacking the Crisis”

June 21, 2012 Comments (0)

In a paper given at “The Credit Crisis Five Years On: Unpacking the Crisis” conference held at the University of Edinburgh Business School, Andrew Haldane – Executive Director for Financial Stability and member of the Financial Policy Committee – argues that economic and financial systems are prone to tail events, as demonstrated during the financial crisis, that are not captured by traditional macro-economic and risk-pricing models.  In doing so, he draws a...

Controlling for the weather: Hedging increases firm value

June 21, 2012 Comments (0)

A highly debated topic in corporate finance is whether active risk management policies, such as hedging, affect firm value. New research from the University of Notre Dame and Stanford University shows that active risk management policies lead to an increase in firm value.
Hedging refers to insuring against extreme fluctuations in the prices or quantities of commodities/securities.
In "Risk Management and Firm Value: Evidence from Weather Derivatives," forthcoming in the Journal of Finance,...

The MoneyScience Digest - 16/06/12

June 16, 2012 Comments (0)

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The Science of Global Economics is a hard science: A proposal from Richard Olsen http://bit.ly/KiFNMK
Inaugural Nicola Bruti Liberati Prize Awarded to J Muhle-Karbe for thesis on Shadow Prices in Portfolio Optimization http://bit.ly/LjD59m
Economics as Moral Philosophy - Michael Sandel on his new book, What Money Can't Buy...