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The Week in MoneyScience - Digest 13/1/12

Fri, 13 Jan 2012 06:27:00 GMT

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



  • Professor Robert Engle Selected as the Recipient of the 2011 IAFE/SunGard Financial Engineer of the Year Award bit.ly/xYUWI1
  • Risk Magazine Quants of the Year: Jesper Andreasen and Brian Huge, Danske Bank - bit.ly/zwKYtj
  • Dilbert, I can't give you a raise because of the Elbonian Debt Crisis - bit.ly/yXcsQJ
  • Andrew Lo: What Post-Crisis Changes Does the Economics Discipline Need? bit.ly/x0p1Jq
  • Andrew Lo et al: A Survey of Systemic Risk Analytics - bit.ly/zNkWBU
  • The Corporate Pychopaths Theory of the Global Financial Crisis - Commentary and Supporting Literature bit.ly/wEUL4A
  • A formula to capture the "empirical regularities of high frequency trading" - Research and Commentary bit.ly/yxSZlt
  • Classic Research: Portfolio Selection - Harry Markowitz (1952) bit.ly/y60DDu
  • Basel III liquidity standards and a strategy for assessing implementation of standards - bit.ly/yjSEfi
  • Papers supporting high pay for top executives 55% more likely to appear in prestigious economic journals bit.ly/yUqeEf
  • Valuing Public Goods - The Purchase of Moral Satisfaction - Daniel Kahneman and Jack L Knetsch bit.ly/w6B4oT
  • Trygve Haavelmo - The Probability Approach in Econometrics (1944) bit.ly/A7jtFb
  • An overview of the EU draft directive which seeks to introduce the financial transactions tax - bit.ly/A1G81z - via @alea_
  • Ian Tonks on his team's research on Bankers’ bonuses and the financial crisis - bit.ly/y6V3T8
  • Why don't more economists see the potential of mathematics bit.ly/wLBiu9
  • Economics in a Full World by Herman E. Daly - bit.ly/xKNP0n



Finance and Banking

  • Stop coddling Europe's banks - bit.ly/Ajdqm7
  • Why bank deposits shouldn’t be an asset class - @FelixSalmon reut.rs/Asp28L
  • Organized crime has tightened its grip on the Italian economy, making the Mafia the country's biggest "bank" reut.rs/Ai20Ic
  • Why Zombie Banks Hate to Write Off Bad Loans bloom.bg/yLA3CS
  • Yes, Virginia, the banks really were bailed out. bit.ly/y31HD9 -Via @Ritholtz
  • Another review of Margin Call - "the best fictional treatment of the current economic crisis" - bit.ly/yOq54D
  • Nervous investors quit equity funds at record pace tgr.ph/xynnNY via @wellertimothy:
  • The increase in basic salaries has made more City workers open to job cuts tgr.ph/AlEik4
  • The idea of a tax on wealth, as opposed to one on income, seems to be gaining popularity. on.wsj.com/yqQF2e
  • Outlook for 2012: Global Interest Rate Hurricane – What Next? - OlsenBlog bit.ly/wUun9m
  • Outlook for 2012: The Year Ahead– Can emerging markets ride out the storm? bit.ly/yDISZw
  • Outlook for 2012: Wealth and Capital Markets blog bit.ly/A0bYS9
  • 2012: The Year Ahead- The Iran card and the future of oil bit.ly/zSeaDp
  • Wilmott Forums - What excites you most about being a quant? bit.ly/xna6Xz
  • RBS to axe 3,500 jobs gu.com/p/34jdp/tf
  • Will RBS's shrinkage of investment bank make it "safer" & less likely to pay big bonuses? bbc.in/x8w5zz
  • PwC fined £1.4m over JP Morgan audits - bit.ly/yzmdJu
  • Why the euro needs Eurobonds: Hundreds of years of reasons bit.ly/yeWZ5J
  • With private equity facing scrutiny during the Republican nomination race, one firm's founders enjoy a massive payout bit.ly/AthnRr
  • Voices in Finance: Ex-mergers and acquisitions banker: 'There's no time for friends' bit.ly/wE04dm
  • Is a European Tobin tax likely to be efficient? bit.ly/wHK2lN
  • Satyajit Das - "The risk of a sudden failure of Europe's vital organs is uncomfortably high" bit.ly/wrgUqX
  • There is an "unhealthy correlation" between skyscraper construction and subsequent financial crashes - Barclays Capital bbc.in/xw6hdl
  • More on the 'Skyscraper Report' from Barclays Capital: China's skyscraper craze 'may herald economic #crash' bit.ly/yi1Mc2
  • Swiss National Bank chairman Philipp Hildebrand resigns with immediate effect bbc.in/yFUzBR
  • SEC Changes "Neither Admit Nor Deny" Settlement Language for Some Cases bit.ly/yO0zqo
  • The timing of big payouts for top management was never going to be good for RBS... bit.ly/zujJsf
  • Q&A: Seeking the Inefficient Asset Class - Fama/French Forum bit.ly/wGQK0E
  • A few thoughts from Robert Shiller - reut.rs/xTa4QP
  • BBC Video - Richard Branson: Virgin Money can shake up banking - bbc.in/xsfMdG
  • MF Global clients may have to put more money in to get money out - bit.ly/woSsMf

Hedge Funds

  • Chase Coleman’s Tiger Global Management finished 2011 up 45% making it perhaps the best performing hedge fund last year bit.ly/xeVq1u
  • Profile: Charles Payson Coleman III, Tiger Management LLC - bloom.bg/zQxx1b
  • What do hedge funds make of the eurozone crisis? bbc.in/Agx0sc
  • These Big Funds Had Happy Shareholders in 2011 bit.ly/zog5Nb
  • Prior Perceptions, Personality Characteristics and Portfolio Preferences among Fund Managers bit.ly/w5NQVk
  • Hedge Funds, Leverage, and the Lessons of Long-Term Capital Management - Alan Greenspan et al (1999) bit.ly/yQrBb9
  • Risk Management Lessons from Long-Term Capital Management - bit.ly/kp6YMx
  • Deutsche Bank and FRM partner to launch first hedge fund seeding managed account platform bit.ly/y2lkA5
  • 2011, like all other years, produced a mixed-bag of hedge fund returns for the biggest names in the business bit.ly/zQfcXh
  • Hedge Fund Research Library at MoneyScience bit.ly/lbbKi1

Technology and Science

  • 2012: a bank technology outlook - bit.ly/z4Caou
  • Morgan Stanley is testing software that could turn its Microsoft browsers into Google browsers - bit.ly/Abbsm3
  • Voices of finance: #HFT computer programmer at a trading company - bit.ly/xwt9OD
  • The number one priority for Wall Street hiring managers is to find talented IT professionals, according to a new study bit.ly/AjowBw
  • @SunGard Lists Ten Historical Market Data Trends for 2012 bit.ly/wNKn2C
  • Diversity, Liquidity & #HFT: An Exchange Perspective bit.ly/ySJf80
  • Spanish banking giant BBVA is switching its 110,000 staff to use Google's range of enterprise software - bit.ly/A6PAhR
  • IBM have shrunk the number of iron atoms it takes to store a bit of data from about one million to 12 bit.ly/yg8INA
  • Computer Runtimes and the Length of Proofs - bit.ly/A4Tp4g

General Interest

  • PHD Comics: Academic Interaction Feynman Diagrams bit.ly/yxNXYi
  • By the 17th Century there was widespread anxiety that the sheer volume of available knowledge was getting out of hand bbc.in/wJrjQ9
  • Welcome, economist, to the desert of the real bit.ly/xFq5fV - @Noahpinion
  • For young college graduates, the case for economics wapo.st/z2fbVH
  • Yoram Bauman is a trained economist and stand-up comedian. New Scientist spoke to him about his new book bit.ly/ykqldG
  • Rolls-Royce has reported the highest sales in its 107 year history - bbc.in/waizZ2
  • 'The Bloomberg Way': An Inside Look at How the News Organization Covers News - bit.ly/zJFFwG
  • Sins of Emission and Omission in Durban - bit.ly/AAaJ6p
  • Crikey: Time-Lapse video of 30-story building built in 15 days - bit.ly/yvtHAf
  • Fraud and folly: The untold story of General Electric’s subprime debacle - bit.ly/zHzGfg
  • The social and physical capital of women in higher education bit.ly/xYe0X4
  • A spectacular bar tab in Dubai - on.wsj.com/yBmSDm
  • Laurence Kotlikoff for President? money.cnn.com/2012/01/05/new…


  • arXiv: Risk Measures on $\mathcal{P}(\mathbb{R})$ and Ambiguity for the Value At Risk: $\Lambda V@R$. bit.ly/wPgQeH
  • arXiv: Modeling international crisis synchronization in the World Trade Web. bit.ly/wwrsSk
  • arXiv: A Simplified Approach to modeling the credit-risk of CMO. bit.ly/ziczAC
  • arXiv: Contr\^ole impulsionnel appliqu\'e \`a la gestion de changement de technologie dans une entreprise. bit.ly/ywsT6p
  • arXiv: Exponential utility with non-negative consumption. bit.ly/xxCfLe
  • arXiv: Understanding the source of multifractality in financial markets. bit.ly/woG0Tp
  • arXiv: Deriving consensus rankings via multicriteria decision making methodology. bit.ly/zhorio
  • arXiv: Smiles all around: FX joint calibration in a multi-Heston model. bit.ly/zR7jQz
  • arXiv: A Goal Programming Model for Optimal Portfolio Diversification. bit.ly/xXuOQu
  • arXiv: Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type. bit.ly/zFubp3
  • arXiv: Heat kernel methods in finance: the SABR model. bit.ly/wrO0aH
  • arXiv: Set-Valued Dynamic Risk Measures. bit.ly/yrWngy
  • arXiv: Null Models of Economic Networks: The Case of the World Trade Web. bit.ly/wPnZai
  • arXiv: Triadic motifs and dyadic self-organization in the World Trade Network. bit.ly/xbjotN
  • arXiv: Futures pricing in electricity markets based on stable CARMA spot models. bit.ly/ybHFwL
  • arXiv: Incomplete Continuous-time Securities Markets with Stochastic Income Volatility. bit.ly/yVnQXN

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