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MoneyScience Financial Training: Introduction to QuantLib Development with Luigi Ballabio - September 22-24, London, UK- Click For Further Information

October 2012

On being the right size – speech by Andrew Haldane

October 30, 2012 Comments (0)

In a speech at the Institute of Economic Affairs, delivered on 25 October 2012, Andrew Haldane – Executive Director for Financial Stability and member of the Financial Policy Committee – reviews the initiatives taken to solve the too-big-to-fail problem.  He concludes that, while existing change initiatives are right in direction, they may be insufficient in degree.  He then considers what supplementary policy options might be necessary to ensure that banking is “the...

Alan Kirman - What's the use of Economics?

October 29, 2012 Comments (0)

The economic crisis has thrown the inadequacies of macroeconomics into stark relief. The narrow conception of the macroeconomy as a system in equilibrium is problematic. Economists should abandon entrenched theories and understand the macroeconomy as self-organising. This column offers detailed suggestions on what alternative ideas economists can teach their future students that better reflect the evidence out there in the real world.

This column is a lead commentary in the VoxEU Debate...

MoneyScience Digest - 23/10/12

October 23, 2012 Comments (0)

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Wiley WILMOTT Summit - Risk and Modeling in Finance feat. Paul Wilmott, Ed Thorpe, Aaron Brown http://t.co/G5Ltb7yX
UK Gov Final Report: The Future of Computer Trading in Financial Markets - conclusion: "mixed" http://bit.ly/Pn8nDT
55 Papers on High Frequency Trading - http://bit.ly/x0BnQB
Research: The Diversity of...

Final Report: The Future of Computer Trading in Financial Markets

October 23, 2012 Comments (0)

Advances in technology continue to transform how our financial markets operate. The volume of financial products traded through computer automated trading taking place at high speed and with little human involvement has increased dramatically in the past few years.
For example, today, over one third of United Kingdom equity trading volume is generated through high frequency automated computer trading while in the US this figure is closer to three-quarters.

A new two-year Foresight...

The end of stock market crashes?

October 22, 2012 Comments (0)

A 72-year study of the Dow Jones could help avoid the kind of stock market crash that struck the world economy in 2008.
Professor Tobias Preis has led a study of the second oldest US market index and discovered that a portfolio of shares, far from being diverse and spreading risk during a time of stock market slump, start behaving the same.
This new study has been carried out in collaboration with Dr. Dror Y. Kenett (Boston University, USA), Prof. H. Eugene Stanley (Boston University, USA),...

'One article doth not make a trend' or '5 reasons why HFT isn't going anywhere, anytime soon'

October 16, 2012 Comments (0)

So lots of people jumped on a New York Times article yesterday that indicated that profits from High Frequency Trading in US stocks was down 35% to $1.35 billion this year. HFT is too expensive, so the argument runs, the marketplace is too crowded, the competition too fierce, trading volumes are down, regulation is set to stifle the industry further.
I've heard this argument before, a few weeks ago during a debate titled "The Battle of HFT: Pros and Cons" at the Battle of the Quants event in...

Economics Nobel 2012 awarded to Game Theorists Alvin E. Roth and Lloyd S. Shapley

October 15, 2012 Comments (0)

The Royal Swedish Academy of Sciences has decided to award The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for 2012 to
Alvin E. Roth
Harvard University, Cambridge, MA, USA, and Harvard Business School, Boston, MA, USA
and
Lloyd S. Shapley
University of California, Los Angeles, CA, USA
"for the theory of stable allocations and the practice of market design".

Stable allocations – from theory to pratice
This year's Prize concerns a central...

Research suggests Quantitative Easing only benefits the financial sector

October 11, 2012 Comments (0)

A review of evidence into Quantitative Easing (QE) has shown that the Government’s hope that it will pull the UK out of recession may be unfounded.Professor Chris Martin, from the University of Bath’s Department of Economics, has looked at the impact of QE not just on financial markets but also the ‘real’ economy of jobs, inflation and output and concluded that there is no lasting benefit in continuing to pursue the policy.He concludes that QE has produced a limited but...

The risks of trading by banks

October 8, 2012 Comments (0)

Arnoud Boot, Lev Ratnovski 8 October 2012
Liikanen, Vickers, and Volcker all question current banking-trading links. This column offers analytic scaffolding for thinking about the separation of banking and trading. Banking generates low risk returns from relationship-based activities; trading generates high-risk returns from short-term concentrated positions. The two are linked since trading allows banks to profit from the ‘spare’ banking capital, but deeper financial markets...

MoneyScience Digest - 05/10/12

October 5, 2012 Comments (0)

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Book now for London Metal Exchange education courses in LME Week 15-19 October: http://bit.ly/QF8Wbo
Wiley WILMOTT Summit - Risk and Modeling in Finance feat. Paul Wilmott, Ed Thorpe, Aaron Brown http://t.co/G5Ltb7yX
One of very few pieces of video footage of John Maynard Keynes http://t.co/jLpIiO3A
Francis Diebold: Comparing...