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

Featured

• Counterparty Risk FAQ: A dialogue in the form of a Q&A between a CVA expert and a newly hired colleague bit.ly/thTYCv
• Towards a better understanding of the debate on the intersection of corporate governance and risk management onforb.es/uCZdJW
• Are Recoveries from Banking and Financial Crises Really So Different? bit.ly/u0eM7z
• Greg Mankiw's response to the walkout of his intro econ course nyti.ms/uMeWUP & comments from @noahpinion bit.ly/tN9wFX
• Professors share their experience with teaching introductory economics bit.ly/tH8vyO
• The Future Has Thicker Tails than the Past: Model Error as Branching Counterfactuals - bit.ly/ud2YwE
• Video - Why Economics Needs Data Mining - Cosma Shalizi - bit.ly/rDPKGp
• The Rise and Fall of Bitcoin - bit.ly/w1k4Pl
• Quis Pendit Ipsa Pretia: Facebook Valuation and Diagnostic of a Bubble Based on Nonlinear Demographic Dynamics bit.ly/suPaZ8
• Illusions in Regression Analysis (pdf) bit.ly/rWSGXt
• Prof Mike Wright from @imperialcollege argues that high quality business school research is essential bit.ly/s3ysxp
• With the publication of his novel ’High Finance’, Eli Lederman has a warning for those who believe the worst is over bit.ly/vSCXWD
• Harrison & Kreps 1978: The power of irrational expectations - bit.ly/w1jCzX
• The Physics of Finance: Power laws in finance bit.ly/sMMgmz
• Video - Steve Keen on Debunking Economics - The Naked Emperor Dethroned bit.ly/tlrLr8
• Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors bit.ly/unIJvO
• 18 Open Source Resources for Financial Software Development - bit.ly/vQLMGk
• Does finance need a scientific revolution or science need a revolution inspired by finance bit.ly/vUZFbw
• Predicting Financial Markets: Comparing Survey, News, Twitter and Search Engine Data - bit.ly/t4tMfK
• The Living Earth Simulator Project aims to map out social trends and predict the next economic crisis - bit.ly/rLwe9i
• RT @portfolioprobe: The volatility mystery continues bit.ly/rDFRzg differences with monthly versus daily returns
• Mathbabe on working with Larry Summers at D.E. Shaw - part 1: bit.ly/s5We2e part 2: bit.ly/sw34jY part 3: bit.ly/sAOzB2
• Next generation of quant strategies may offer some algorithmic features that look downright qualitative bit.ly/tUqyEj
• RT @hftreview: Interesting: Computing power and stockmarkets: Moore and more | The Economist econ.st/vG9bxz
• The legal aspects and abstractions of a euro redenomination - on.ft.com/rCmwgF
• Video - @Google Presents: Daniel Kahneman - bit.ly/w3SEWY
• Voices of finance: Fund manager at asset management firm - bit.ly/tfGqf3
• Peer-review in a world with rational scientists: Toward selection of the average bit.ly/rINxcc via @comdig

Sponsored

• New York Institute of Finance 2012 Course Brochure - bit.ly/rWp0EA
• 24 hours in Dubai: A conversation with @SunGard bit.ly/w4sGsU
• Wiley Finance - Free Sample Chapters from Emanuel Derman, Pablo Triana, Michael Covel, Mike Mayo and many more! bit.ly/w2vyq2
• Cass academic wins Lloyd's Science Prize for Insurance Operations and Markets - bit.ly/sJ5JAc @cassinthenews

Announcements

• A web-based course of interest to anyone who wants to learn about financial modeling with R bit.ly/t9WQ8x
• At MoneyScience: Hedge Fund Focus at bit.ly/tJim0U
• At MoneyScience: List of MS Financial Engineering Courses in the US bit.ly/nGejLK
• At MoneyScience: List of MS Finance Courses in the US - bit.ly/nExZXX
• What am I missing? A History of Behavioural Finance in Published Research: 1944 - 1988 - bit.ly/qVlDAc
• International Association of Financial Engineers 19th Annual Conference, May 2012 - bit.ly/uiCKCD
• A new addition to our careers advice section at bit.ly/vU8mIJ a view on the Transition from Academia to Finance bit.ly/tkeGEk
• RT @jimmahar: Excited to now be a part of @moneyscience If you don't follow them, you should! great finance site! bit.ly/sDxqfd
• In case you missed it: MoneyScience - Digest 25/11/11 - bit.ly/uSskaZ

Finance and Banking

• Basel Rules Face Change With No-Risk Sovereign Debt a Focus - buswk.co/scpmNU
• S&P’s logical but tactless eurozone warning bbc.in/uaJ9eI
• Hank Paulson’s inside jobs - Felix Salmon - reut.rs/vXEfIJ
• Lehman Wins Court Approval to Exit Bankruptcy bit.ly/rP2wcb
• Women in Risk: Overcoming Gender Bias - bit.ly/tuvQWx
• One man’s haircut is another man’s unsecured risk dlvr.it/xfBRr
• Bloomberg's continued investigation into the Secret Fed Loans at the height of the financial crisis - bloom.bg/tBKPag
• David Harding, CEO of the $26bn Winton Capital Hedge Fund does not object to financial transaction tax on.ft.com/smo8F3
• Will Jon Corzine Plead the Fifth? bit.ly/uWLPF0
• About $200 million that vanished from MF Global is believed to have surfaced in UK at JPMorgan Chase nyti.ms/szS42z
• No, apparently - Corzine: I don't know where missing MF Global money is... on.msnbc.com/uh8AOa
• A suspicious envelope sent to Deutsche Bank Chief Executive Josef Ackermann was a functioning letter bomb bit.ly/vkObcs
• @LondonBankerLB: Why I oppose Financial Stability bit.ly/vZ1EXh
• Magic, maths and money: ... but what about the South Sea Bubble... bit.ly/sp8ani
• Hedge funds have had a horrible year - and it could get worse - econ.st/tEA23A
• Hedge funds and asset managers use social media as a source of breaking news, not just as a sentiment indicator. bit.ly/vwipsf
• At Hedge Funds, Breakeven is the New Black - bit.ly/uKwhed
• Why hedge funds may once again be alternative investments - bit.ly/uNbNre
• Where the Hedge Funds Are, Illustrated bit.ly/s1ZunN
• The new investment banking-insurance careers axis - bit.ly/uCRGFs
• The Sovereign Debt Train Wreck - bit.ly/vSxkqe
• Beware of falling masonry: Denial, misdiagnosis and procrastination in the Eurozone econ.st/vF8mL0 @TheEconomist
• As the euro zone hurtles towards a crash, the assumption is leaders will do whatever it takes to save the currency econ.st/tWj7i1
• Euroland: An Intractable and Never-ending Crisis? bit.ly/sJbR47
• "Good risk management means... we must not ignore prospect of disorderly departure of some countries from the eurozone" bit.ly/rGzAss
• "How To Advertise A Bank During A Banking Crisis" read.bi/tJr95x
• Zvi Eckstein: Israel's Former Central Banker on Economic and Social Hot Spots - bit.ly/rxZErj @knowledgewharton
• Five problems with Merkel and Sarkozy's plan to save the euro - bit.ly/upuiGe
• According to one measure, you probably need to be a white, Cambridge-educated male if you want to get ahead in finance bit.ly/vSQ81w
• High-powered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. bit.ly/rHLV3U
• FSA's failure to tackle 'white collar' crime endangers the City of London bit.ly/tJasLs
• RT @victorricciardi: Long-Term Investors Have an Edge - bit.ly/t9YPR4
• The global financial crisis should teach an important lesson to firms and countries in emerging markets bit.ly/u43ANB
• A new survey shows that City workers are once again expecting bumper payouts this year bit.ly/vQXBxm
• Chinese still swarm to hard-hit Wall Street - bit.ly/vOJiiX
• @INSEAD Knowledge: Islamic banking comes out of its niche - bit.ly/rJzutN
• Gone live: The Bahrain Financial Exchange the first multi-asset exchange in the Middle East and North Africa region bit.ly/vJ5xWh
• The London Stock Exchange’s International Order Book has reached an average daily trading volume of US$1.2 billion - bit.ly/sIzrZp
• UK on the brink of double-dip recession, warns OECD - bit.ly/u3lG54

Technology and Science

• Technical paper about the LMAX Disruptor - bit.ly/sEmm5V
• Addressing the Big Data challenge - bit.ly/snZMFu
• Sniffing Out Socialbots: The Combustive Potential of Social Media-Based Algorithms - bit.ly/ruST1I
• High-frequency firm fined for trading malfunctions ("lost control of an algorithm") yhoo.it/u4vRN9
• C++ is dead. Long live C++ bit.ly/sl2Xkn
• The New York Times has special coverage on the future of computing - bit.ly/s6NWC9
• As the bridge is gapped: tech disruption in finance j.mp/vwUAUe
• Buy Low Sell High: A High Frequency Trading Perspective - bit.ly/vm9pFU
• The race to crack the world's hardest puzzle has finished - two days earlier than expected bit.ly/tccAxc
• IBM’s cognitive computing chip project has already made some initial progress - nyti.ms/snS2pb
• Inspired by article on HFT: thepiccadillygroup.com/insight-a-idea… FPGA could take #HFT debate to the next level.
• According to this article the safest investment for both corporations and individuals is in software developers. onforb.es/rp9xU8
• How a 1950s-era, 1.5-acre mock-up of Bay Area hydrology might still complement real science in era of computer modeling bit.ly/uy3hj0
• Can you crack it? GCHQ Code-breaking Test. bit.ly/vr9B2P
• This column reports from a conference on the psychology and economics of ‘scarce attention’ - bit.ly/vDwcoG
• Facebook will cross the critical 500 shareholder mark by end of 2011, compelled to file financial data with SEC bit.ly/ufG0Ln
• New Yahoo bid ups price to $25bn - bit.ly/t2FN7Y
• Pitfalls in random number generation bit.ly/aChOEZ
• New research suggests that women are more likely to make risky choices when they are surrounded by other women - bit.ly/vV1vmK
• You wait decades for discoveries that could revolutionise physics, then three come along at once - bit.ly/smdp1m @newscientist
• Pretty amazing if it works: Mars Rover Curiosity mission animation - bit.ly/w3HtEj more info here: bbc.in/s6hema
• One of my favourite XKCD cartoons features Mars Rovers too: bit.ly/sIzvyo

General Interest

• Dogbert the Doomsday Pundit - bit.ly/vSTZWM
• The sharp decrease in global carbon dioxide emissions rebounded quickly after global financial crisis - bit.ly/veyXzo
• Simon Schama: Why America Should Care About the Collapse of European Unity - bit.ly/tIMXGT
• Research: The more cohesive a group appears the less likely people hold its members responsible for individual actions bit.ly/tShRxY
• The number of US weather disasters passing the billion-dollar mark in 2011: 12 bit.ly/stPCih
• Tax evasion: Why the crackdown comes at a cost bit.ly/th9xuJ
• Poverty in America - huff.to/rVActq
• One (Rich) American vs. Moscow: The Quest of William Browder - ti.me/sbTqU2
• The new philanthropists: Rich with a social conscience bbc.in/vuqS6S
• Thousands are flocking to wealth creation seminars in the hope they will unlock the key to becoming "financially free" bbc.in/tZ3w3Y
• RT @J_Bettany - Philip Pullman Fans: It appears that scientists at the Large Hadron Collider have discovered #dust bit.ly/tiX2An
• A thorium revival? bit.ly/sSIJbm via @Ritholtz
• RT @freakonomics: Daniel Kahneman Answers Your Questions: The future of cognitive science, the Penn State scandal bit.ly/sSwcqM

Research

• The January Effect still exists but is now totally in December - bit.ly/vL2jtY @SSRN
• Reflexivity In Social Systems - The Theories of George Soros - bit.ly/jSnHVR
• MT @abnormalreturns: The first academic paper (on measuring fund manager skill) that I have read that cites @zerohedge stks.co/1LsA
• Common Errors in the Interpretation of the Ideas of The Black Swan and Associated Papers bit.ly/rRCyob
• Once Burned, Twice Shy: How Naïve Learning, Counterfactuals, and Regret Affect the Repurchase of Stocks Previously Sold bit.ly/uDnQvr
• Uncertainty about Government Policy and Stock Prices (pdf) bit.ly/uTuX5o
• Believe in Pascal's Wager? @ATabarrok has a deal for you! bit.ly/slnDU8 (pdf)

• arXiv: Analysis of fractional Gaussian noises using level crossing method. bit.ly/tPptdF
• arXiv: Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-... bit.ly/rsvv3U
• arXiv: Restructuring Counterparty Credit Risk.bit.ly/vuGN2Q
• arXiv: Asymptotic Expansions of the Lognormal Implied Volatility : A Model Free Approach. bit.ly/vfKNSk
• arXiv: Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles. (a... bit.ly/vMybz6
• arXiv: The Nature of Alpha.bit.ly/taveDN
• arXiv: Looking for grass-root sources of systemic risk: the case of "cheques-as-collateral" network.bit.ly/soyOWm
• arXiv: Common persistence in conditional variance: A reconsideration.bit.ly/vqOaTE
• arXiv: Confronting the Kaya Identity with Investment and Capital Stocks. bit.ly/t7ukeN
• arXiv: Non-Gaussianity of the Intraday Returns Distribution: its evolution in time. bit.ly/s5tRzL
• arXiv: Predicting Financial Markets: Comparing Survey,News, Twitter and Search Engine Data.bit.ly/uK890k
• arXiv: Semiclosed Pricing Mechanism.bit.ly/rXUJyx
• arXiv: Bandit Market Makers. bit.ly/tROtmD
• arXiv: Approximated maximum likelihood estimation in multifractal random walks. bit.ly/upLGX5
• arXiv: Mesoscopic approach to minority games in herd regime. bit.ly/tJP2c3
• arXiv: Multivariate Semi-Markov Process for Counterparty Credit Risk. bit.ly/ug5xJU
• arXiv: Income Tax Evasion Dynamics: Evidence from an Agent-based Econophysics Model. bit.ly/sRTaSy
• arXiv: High Frequency Lead/lag Relationships - Empirical facts.bit.ly/vnE2LO
• arXiv: Hermitian and non-Hermitian covariance estimators for multivariate Gaussian assets from random matrix the... bit.ly/t25ljg
• arXiv: On the Existence of Shadow Prices.bit.ly/u5O0ml
• arXiv: Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method.bit.ly/sA3qLO
• arXiv: The minimal length uncertainty and the quantum model for the stock market.bit.ly/vzEgOp
• arXiv: Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlati... bit.ly/uny8MQ
• arXiv: Multicurrency advisor based on the NSW model. Detailed description and perspectives.bit.ly/vpB7R4
• arXiv: On Markovian solutions to Markov Chain BSDEs.bit.ly/ruZhPa
• arXiv: Optimal dual martingales, their analysis and application to new algorithms for Bermudan products.bit.ly/vZVe5Z
• arXiv: Adaptive Simulation of the Heston Model. bit.ly/s4qnt7