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MoneyScience Financial Training: Introduction to QuantLib Development with Luigi Ballabio - September 22-24, London, UK - Further Information
GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi - October 29-31, London, UK - Further Information

November 2012

MoneyScience Digest - 30/11/12

November 30, 2012 Comments (0)

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

Featured

Wilmott, Javaheri, Thorp, Jaeckel & Schwager speakers at Wiley WILMOTT Summit, Dec 11, New York http://bit.ly/TRg4OP
Find out more about the Certificate in Quantitative Finance (CQF) - Upcoming Information Sessions: http://bit.ly/W1XRof
Video - Fascinating Stuff: Joris Luyendijk at UK Parliamentary Commission on Banking...

Video - Ciamac Moallemi: High-Frequency Trading and Market Microstructure

November 28, 2012 Comments (0)

Via Sal Arnuk from Themis Trading coming this interesting presentation on HFT.

Ciamac Moallemi is the Barbara and Meyer Feldberg Associate Professor of Business in the Decision, Risk, & Operations Division of the Graduate School of Business at Columbia University.
His research focusses on the optimal control of large-scale stochastic systems, with an emphasis on applications in financial engineering.

The Execution Game
Trading at Light Speed...

How 'black swans' and 'perfect storms' become lame excuses for bad risk management

November 26, 2012 Comments (0)

Stanford risk expert recommends engineering principles to assess catastrophic risk
The terms "black swan" and "perfect storm" have become part of public vocabulary for describing disasters ranging from the 2008 meltdown in the financial sector to the terrorist attacks of September 11. But according to Elisabeth Paté-Cornell, a Stanford professor of management science and engineering, people in government and industry are using these terms too liberally in the aftermath of a disaster as...

In financial ecosystems, big banks trample economic habitats and spread fiscal disease

November 15, 2012 Comments (0)

Like the impact of an elephant herd grazing on grassland, multinational banks shape the financial environment to an extent that far outweighs their small number. And like a contagious person on a transnational flight, when these giant, interconnected banks succumb to financial ills, they are uniquely positioned to infect wide swaths of the financial system.
Researchers from Princeton University, the Bank of England and the University of Oxford applied methods inspired by ecosystem stability...

Video - Joris Luyendijk at UK Parliamentary Commission on Banking Standards Joint Committee

November 14, 2012 Comments (0)

Joris Luyendijk is the Guardian Newspaper's roving financial anthropologist, and will be familiar to many readers at MoneyScience from his excellent Voices in Finance Series over at the Guardian's Banking Blog.
This morning Joris appeared before the UK Commission on Banking Standards, and provided a fascinating insight into the relationships between the front, back and middle offices. Joris appears at approx 11.01 in the video and if you're at all interested in an informed perspective on the...

MoneyScience Digest - 08/11/12

November 8, 2012 Comments (0)

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

Featured

Find out more about the Certificate in Quantitative Finance (CQF) - Upcoming Information Sessions: http://bit.ly/W1XRof
Wiley WILMOTT Summit - Risk and Quant Modeling in Finance feat. Paul Wilmott, Ed Thorpe, Aaron Brown http://bit.ly/PtkLxf
Santa Fe Institute to launch a series of Massive Open On-line Courses covering the field...

Academic Research, 'Dark Research' and Stock Return Predictability

November 6, 2012 Comments (0)

Josh Fischman over the Chronicle of Higher Education picks up on a working paper by David McLean and Jeffrey Pontiff titled "Does Academic Research Destroy Stock Return Predictability?" which is currently listed in our Research Library.

Academics are often called out of touch or cloistered, and are condemned for pursuing research that’s irrelevant to daily life. New research, however, points to a powerful exception:
Simply by publishing an academic paper, a professor can demolish your...

An Economist Talks Rubbish or Asset Pricing with Garbage

November 6, 2012 Comments (0)

A researcher has used the rubbish we throw away as an alternative, more reliable measure of consumption than the standard model.
The Guardian picks up on Alexi Savov's recent research in the Journal of Finance, "Asset Pricing with Garbage".

When economists talk economics, some of them talk rubbish. Few mean it as plainly, as directly, as Alexi Savov. Savov wrote a study called Asset Pricing with Garbage, which filled 24 pages of the Journal of Finance early in 2011.
To Savov,...