MoneyScience Digest - 23/10/12 - MoneyScience's blog

Featured

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 High Frequency Traders http://bit.ly/TbNvuf

Research: A New Kind of Finance http://bit.ly/PN7xL0

Olsen Ltd commits licensing software services and financial market data to FuturICT project. http://bit.ly/SNeGek (pdf)

The End of Stock Market Crashes? http://bit.ly/RQGX4M

Mark Buchanan: Why diversification doesn't work http://bit.ly/QMM0T8

The risks of trading by banks http://bit.ly/RL9c7s

After the Crash: Video - Wall Street Week episode from Friday October 23, 1987 http://bit.ly/RH83M3 via @Ritholtz

Vanity Fair's Jamie Dimon profile: http://vnty.fr/R382Sd

Mathbabe: “Causal versus causal” http://bit.ly/T04bEA

Why there’s less high-frequency trading - Felix Salmon http://reut.rs/S2X3v1

HFT and Regulation: "...the sheriff with 2 deputies doesn't have a whole lot of power or credibility in Deadwood..." http://bit.ly/QNQkmj

It takes a certain type of economist to know what to do when a belligerent fleet attacks an interstellar trading post http://wapo.st/VAIiT7

'Get rich quick' foreign exchange training seminars put to the test. http://bbc.in/QgYdPI

Amazing read: the rise and fall of the "Mighty" Sean Quinn, once Ireland's richest man http://bit.ly/QVdKZa

UK Treasury select committee to investigate whether Bank of England's QE policy has made some people worse off http://bit.ly/PpFVB1

Research suggests Quantitative Easing only benefits the financial sector http://bit.ly/SNHs35

Will econ blogging hurt your career? http://bit.ly/RdG8X0

The Rise of the celebrity economist http://bit.ly/SOYakt

Economic Research vs. the Blogosphere http://bit.ly/SOna5C

Why banks shouldn’t trade http://reut.rs/QRYkF5

Regulatory Omniscience is A Fictional Conceit - http://bit.ly/R73KsJ

How Basel 2.5 beached the London whale (pdf) http://bit.ly/SL381z

BAE has found a formidable opponent in fund manager Neil Woodford http://bit.ly/SOSAIH

Empirics and Psychology: Eight of the World’s Top Young Economists Discuss Where Their Field Is Going http://bit.ly/OQ0NkY

Conflicts of Interest at the SEC. http://bit.ly/QQmhg4

Daniel Kahneman's open e-mail to researchers who work on social priming http://bit.ly/VQ1oTI

Felix Salmon: The problem with high frequency trading http://reut.rs/Q7gDUd

The Rostow Doctrine http://bit.ly/TlcSiH

This isn't a joke: An Interview With the World’s Youngest, Most Charmingly Oblivious Hedge Fund http://bit.ly/R6BeuO

How British companies pour cash into the American elections http://bit.ly/SFTKwd

Video - Activists crash UK Investment Banking Awards to present award for "Innovation in Interest Rate Manipulation" http://bit.ly/RsKfMd

Justin Fox: Why Data Will Never Replace Thinking http://bit.ly/UmHKkf

"As We May Think:" A 1945 Essay on Information Overload, "Curation" and Open-Access Science http://bit.ly/Ur4H52

Great article about 'the birthday problem' and how wrong our intuition can be about coincidences http://nyti.ms/T9VKHb

Excerpt from Plutocrats: The Rise of the New Global Super-Rich and the Fall of Everyone Else, published this week http://reut.rs/WgLd3A

Research on the "what is beautiful is good" stereotype. http://bit.ly/P6zgvz

Research Library: Toward a Value Inclusive Theory of Economic Decision- Making: A 'New Science' Model http://bit.ly/PPd6sj

Research Library: The Deeper Causes of the Financial Crisis - Mortgages Alone Cannot Explain It http://bit.ly/PPd8QU

Research Library: A Plea for (Good) Simulations: Nudging Economics Toward an Experimental Science (pdf) http://bit.ly/PPd8QM

Economics Nobel 2012 awarded to Game Theorists Alvin E. Roth and Lloyd S. Shapley http://bit.ly/PxGskt

Alvin Roths Game Theory, Experimental Economics, and Market Design Page http://bit.ly/T55cBQ

SSRN Author Page for Novel Prize Winner Alvin E. Roth http://bit.ly/RLOWRw

List of Publications by Lloyd Shapley http://bit.ly/SW9Fot

"How Game Theory is Reinventing Crime Fighting" - http://t.co/61NV2U4q

A Nobel for economics that really works - http://bit.ly/QNehdE

Research by Nobel Prize-Winning Economists Raises Doubts About Derivatives Regulation http://bit.ly/XhaatU

Events

MoneyScience Training - Introduction to QuantLib Development with Luigi Ballabio - London, Dec 10-12 http://bit.ly/WVVeB2

Upcoming Training from the London Metal Exchange http://bit.ly/SBMb7R

LME metals seminar presentations available here: http://bit.ly/UepE2W

First Asian Quantitative Finance Conference - January 2013 http://bit.ly/WuDRHe

Wiley WILMOTT Summit - Risk and Modeling in Finance feat. Paul Wilmott, Ed Thorpe, Aaron Brown http://t.co/G5Ltb7yX

Welcome to the MoneyScience Digest! To get a copy in your email box every week, you can SIGN UP HERE, or to see previous editions go HERE.

Fractal Friday - October 19, 2012

Click for High Res Version

London Metal Exchange: Financial Training Events Coming Up - http://bit.ly/NNVoXq
New Finance Bulletin from Palgrave Macmillan http://bit.ly/Rc1roB
The making of “1000x” – unbalanced supercomputing http://bit.ly/T47Zen
LME dinner speech: GH Financial expected to go live by the end of the year http://bit.ly/Wz6zaW
LME's Michael Warren won the Financial News CTO of the Year Award 2012: http://bit.ly/PUWsrg

Download the 2012 Finance & Banking Catalogue

Featured Books

Wiley Finance: Risk and Quantitative Finance Catalogue 2012 http://t.co/4y25czxz

Featured Book: Risk Culture- A Practical Guide to Building and Strengthening the Fabric of #Risk Management http://t.co/IU4J5diJ
Featured Book: Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing http://t.co/gbcirQvK
Featured Book: Commercial and Investment Banking and the International Credit and Capital Markets http://t.co/0jNs6i0y

Financial Accounting, General Ledger Software Network Version , 8th Edition http://bit.ly/R14kcq
The Permanent Portfolio: Harry Browne's Long-Term Investment Strategy http://bit.ly/VT3vHS
Trend Trading Set-Ups: Entering and Exiting Trends for Maximum Profit http://bit.ly/VT3wf9
Socially Responsible Finance and Investing: Financial Institutions, Corporations, Inve... http://bit.ly/VT3wf5
Cash Cows, Pigs and Jackpots: The Simplest Personal Finance Strategy Ever http://bit.ly/RbnATG
Investing For Dummies, 2nd Australian Edition http://bit.ly/PVTzqa
Practical Risk-Adjusted Performance Measurement http://bit.ly/QE3djp

Follow @moneyscience

Follow @risk_mgmt

Follow @fin_tech

Follow @businessschools

Follow @hedgefundfocus

Finance and Banking

Cries of Abuse Grow with Use of Complex Hidden Stock Orders http://bit.ly/XJEqgY
Can there be such a thing as "financial panic management"? Complexity and the madness of crowds http://wp.me/p1tpdQ-1bG
UK Gov accepts recommendations from the Wheatley Review of LIBOR in full http://bit.ly/UrhBzX
Ethical investment criteria which let fund managers back firms many might deem unethical http://bit.ly/Tb6Yvh
Banking union for Europe - risks and challenges http://bit.ly/X0wIjl
Lord Turner: 'UK banks could have recovered with a bigger bailout' http://gu.com/p/3b5vd
More on the Hedge Fund that took physical control of a ship belonging bo Argentina's Navy http://read.bi/PWIvKE
Bucking the trend, the London Metal Exchange may add morning rounds of open-outcry trading http://reut.rs/QZq21i
Goodbye VaR: “When Wall Street Firms Change Risk Models” http://nyti.ms/QMHFPU
Credit Derivative Trade Ebbs as 'Naked' CDS Ban Nears http://on.wsj.com/RPjdyr
Have superstar traders lost their magic? http://gu.com/p/3b98z
The stock market crash of October 1987: What have we learned? http://bbc.in/WIODL7
UK to legislate reforms of Libor http://reut.rs/WmqPhz via @reuters
The Deeper Causes of the Financial Crisis - Mortgages Alone Cannot Explain It http://bit.ly/SI3VAc via @Ritholtz
How exactly are regulators proposing to control high-speed trading and what impact could they have on liquidity? http://bit.ly/UyIQJY
BoE's Tucker: Worst may still be ahead for banking http://bbc.in/OHzjN8
Funds of Hedge Funds: Mayhem, mergers and managing money after Madoff http://bit.ly/WrzP4Z - via @TMSchoenberger
RBS has suspended one of its most senior traders in London in the latest development in the Libor fixing scandal http://bit.ly/TXtmxR
Basel liquidity rules and their impact on the interbank money market http://bit.ly/S0Y4nj
75% of banks aren't checking for money launderers http://bit.ly/QIsrfW
When bank boards flex their muscles http://reut.rs/RybzIC
How Black Monday sowed the seeds for the current financial crisis http://bit.ly/Tqr7O1
How to become an ethical investor http://bit.ly/Pvgw9a
UK Universities Enter Bond Market http://on.wsj.com/VZXIPf
RBS sale of 318 branches to Santander collapses http://bbc.in/SXfvri
Money-Fund Pioneer Defends His Actions http://on.wsj.com/Rs5UDs
Goldman Sachs 'muppet' book says unsophisticated clients targeted http://bit.ly/VtRSs0
Official Goldman Sachs response to Greg Smiths Book http://bit.ly/QBqEdn
An overlooked currency war in Europe? http://bit.ly/SNFEXP
Trading-Limit Ruling Appeal Considered by CFTC http://bloom.bg/Rz5zjb
Large Hedge Funds Have Performed Better Than Small Funds In Down Years http://bit.ly/SSAX0C
Time Not On Our Side: Tough Decisions Needed to Strengthen Financial Stability http://bit.ly/PX8dxm
What Do Investment Bankers Actually Do? Or what's it like to become a 'travelling money salesman' http://n.pr/VO83zo
Perry Mehrling: It’s Time to Redefine ‘Financial Regulation' http://yhoo.it/OSNCzH
IMF Sees ‘Alarmingly High’ Risk of Deeper Global Slump http://bloom.bg/R6ZgCv
Almost half of Wall Street employees expect their year-end bonuses to be higher this year than they were a year ago http://bloom.bg/SOOuGt
Goldman Sachs agree to pay $6.75m to 8 US exchanges to settle claims over options trades between Jan '04 & May '10 http://bloom.bg/QgaNQt
Irish oil find expected to yield 280m barrels of oil http://bit.ly/ROFcYm
Newcastle United sponsorship by Wonga criticised by insolvency experts http://bit.ly/ReKdqF
£1m isn't rich anymore": the rise and fall of investment banking http://bit.ly/SOSrVv
UK gov says £35m of fines imposed for LIBOR manipulation & other bad behaviour to support UK Armed Forces http://bit.ly/UC61D8
Single algo made up 4% of all quote traffic in the U.S. stock market last week http://bit.ly/Q9Vvxs

Blogs and Comment

Merton vs. Low Vol http://bit.ly/Vua7h8 - Falkenblog
Happiness, equality and the search for economic growth http://bit.ly/SdvsHn - Robert Skidelsky
Book Review: Investing in the High Yield Municipal Market http://bit.ly/XB1hve - AlephBlog
Match Assets and Liabilities http://bit.ly/WIzlWW - AlephBlog
India's commitment to financial reform hangs in the balance http://bit.ly/Udrst3
Google Stop Per Regulations http://bit.ly/Qzjggv - Falkenblog
"Put Cathy O’Neil on the board of Goldman. That would be awesome." http://reut.rs/RaY6Yr - Felix Salmon
Total Return Versus Long Liabilities http://bit.ly/Xr0htI - AlephBlog
I Would Destroy Half the Value for Half the Price http://bit.ly/Xr0htG - Falkenblog
Spain's Dangerous Waiting Game http://bit.ly/WyfJVo
Debt in a Time of Protests http://bit.ly/Ww601Q - IMFNews
Book Review: The Financial Domino Effect http://bit.ly/Wh0JMV - AlephBlog
Vol of Vol http://bit.ly/WrXJMg - Falkenblog
Book Review: How To Really Ruin Your Financial Life and Portfolio http://bit.ly/UWU4If - AlephBlog
Europe's imagined financial centres I: History http://wp.me/p1tpdQ-UB II: On collective memory and cultural identity http://wp.me/p1tpdQ-X0
Ego and the Low Vol Premium http://bit.ly/Q3MYtZ - Falkenblog
Confirmation of Low Vol Dominance http://bit.ly/WMpIW4 - Falkenblog
Risk decisions that matter http://bit.ly/Uz9wKC - Celent_Research
Short Sales as a Coasian Solution http://bit.ly/TjkIcC - Falkenblog
Straw Man Argument http://bit.ly/VBu3NW - Falkenblog

Science and General Interest

PHD Comics: notFinal.doc http://bit.ly/RAr1Hh
Tips for Applying to Ph.D. Programs in Economics http://bit.ly/Wpezv2
According to this study, rejection of an academic paper improves its ultimate impact http://bit.ly/R0zmU3
Chaos theory helps to predict the outcome at the roulette table http://bit.ly/Rgq70I
The 'Bernie Madoff of the violin world' http://bit.ly/RcTylH
How did a self-described German hippie pull off one of the biggest, most lucrative cons in art-world history? http://vnty.fr/Rgprbr
Secret to happiness is 'saving £50 a month' http://bbc.in/T8ehYL
Math Paper Hoax recalls Sokal, and make some uncomfortable points about Peer Review - http://bit.ly/X7qAG0 via @annareitman
How to maneuver in space: The battle for a bigger share of the commercial satellite market is heating up http://bit.ly/Vif4JT
Error sees Google stock suspended http://bbc.in/QuVFQr
Online passwords: keep it complicated. http://gu.com/p/3aptz
So why aren't marketing professors tweeting? http://buswk.co/RJGLrF
UK report raises serious concerns about the readiness to cope with 3D printing http://bit.ly/V9RWri
Metals Storage: A fifth of total aluminum stocks, in an area the size of 40 football fields. http://reut.rs/RaZWZj
The cost of "poverty jobs" in London http://bit.ly/T1qoCn
World science academies release report to promote research integrity http://bit.ly/Tw2fEx
On Ada Lovelace Day, An Interview "That brain of mine is something more than merely mortal" http://bit.ly/PzhG3l
Back From Yet Another Adventure, Indiana Jones Checks His Mail And Discovers That His Bid For Tenure Has Been Denied http://bit.ly/S0VIVh
“So many numbers, so little time” - Tim Harford on Complexity http://bit.ly/SY96Gg
Thought provoking. The Self-Destruction of the 1 Percent: http://tinyurl.com/9xu6ntk
Oil painting by the artist Gerhard Richter has sold for £21m ($34m) - an auction record for a work by a living artist http://bbc.in/WnoLED
Woah. The UK’s Templeton Foundation has awarded a $200k grant to look for Dyson spheres http://bit.ly/X03n7H
Hobbit coins to become legal tender in New Zealand http://bit.ly/RTbYYs
The Ecosystem of Research Information is Changing: A wake-up call. http://bit.ly/SWaW0E
Proposed new web-based model for sharing research datasets could have huge benefits http://bit.ly/VYIQCk
Cambridge Uni to raise £350m through 40-year security bond a week after being handed AAA rating http://bit.ly/SSWlD3
Use of population-genetic data to predict economic success sparks war of words http://bit.ly/Oqx2pt
Applying information theory to linguistics. http://bit.ly/Ql0oDc
The good, the bad, and the guilty: Anticipating feelings of guilt predicts ethical behavior http://bit.ly/SNGjs8
According to this study bad news in the media increases female sensitivity to stressful situations, but not male http://bit.ly/SNFW0W
The Marshmallow Study revisited: Delaying gratification depends as much on nurture as on nature http://bit.ly/Q0QkxD
With funding from the Amazon founder and the CIA's investment arm, Quantum Computing company D-Wave is gaining momentum http://bit.ly/UNqNdv
When "nudge" is just another word for "advert" http://bit.ly/Pm0pe2
Oops! The Economist Fixes Its New Business School Ranking http://bit.ly/UNe9LE
Google no longer plans to end support for old Microsoft Office file formats. http://bit.ly/PeDPnw

Finance and Technology

Significantly fewer bitcoins are in circulation than previously presumed http://bit.ly/VagQXO
The Reputational Risk and IT Relationship http://bit.ly/U9r92t
It's Time to Get Serious About Software Testing, Says SEC Roundtable http://bit.ly/UN9yJ9
The Big Data revolution: Big Bang or loud noise? http://bit.ly/SNeZGh
Statwing Simplifies Data Analysis http://bit.ly/PFk56X
"Banging the beehive", "spoofing" & the "Boston zapper" Natural-Gas Market Stung by High-Speed Traders http://on.wsj.com/S3fXla
If You Can't Eliminate, Mitigate http://bit.ly/RE52f3
Spark 0.6 Improves Performance and Accessibility http://bit.ly/TZeWNy
What really happened when the RBS payment system failed http://bit.ly/WDnwkM
The future of payments and technology http://bit.ly/Vua7hc
'One article doth not make a trend' or '5 reasons why HFT isn't going anywhere, any time soon' http://bit.ly/QNQkmj
SEC Charges Dark-Pool Operator for Sharing Confidential Data http://buswk.co/SXBZ9Q
High-Speed Trading No Longer Hurtling Forward - Yahoo! Finance http://yhoo.it/OBpRe2 via @victorricciardi
With the rise of big data, mainframe computers are enjoying a resurgence of sorts http://bit.ly/STDwcC
Parallella: A Supercomputer For Everyone http://j.mp/QAYFfy via @msgbi
TransOS: An operating system in the cloud http://bit.ly/WPVktV
On track for terabyte optical discs http://bit.ly/WPUdus
Stuffing your terabytes & petabytes willy-nilly into a Big Data environment will not solve your problems @TheDalyPost http://bit.ly/VO1JYM
Avoid Big Data's Hype http://bit.ly/WNPFVs - @rob_daly
Anatomy Of A Brokerage IT Meltdown http://bit.ly/TlYDKx
The future of the cash machine http://bit.ly/Uz9wKy - @Chris_Skinner
Glitch wipes nearly $60bn off Indian stock index http://bit.ly/SElBge

Research

The Importance of Psychology in Economic Activity: Evidence from Terrorist Attacks http://bit.ly/KQWy1K
This paper tries to incorporate leisure time into a theory of economic growth http://bit.ly/O4fsTT
Rogoff & Reinhart: This Time is Different: A Panoramic View of Eight Centuries of Financial Crises http://bit.ly/xYYHEy
Andrew Haldane: Risk Off (2011) http://bit.ly/RmfdrY
Ethics and Finance: the role of mathematics http://bit.ly/WZMxqk
Simple arbitrage http://bit.ly/WZMxqg
Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation http://bit.ly/RnCIyk
Ethics and Finance: the role of mathematics. http://bit.ly/UpDcc9
Simple arbitrage. http://bit.ly/QLh99y
High order splitting schemes with complex timesteps and their application in mathematical finance. http://bit.ly/QLh99u
Optimal Investment with Stocks and Derivatives. http://bit.ly/UpDcc3
Valuation of asset and volatility-dependent derivatives using decoupled time-changed L\'evy processes.... http://bit.ly/UpDcbX
Redistribution spurs growth by using a portfolio effect on human capital http://bit.ly/UjZwUy
Designing Informative Securities. http://bit.ly/UbRrkv
Weighted Sets of Probabilities and MinimaxWeighted Expected Regret: New Approaches for Representing Un... http://bit.ly/QyWR2N
Probability and Asset Updating using Bayesian Networks for Combinatorial Prediction Markets. http://bit.ly/UbRoW5
An Approximate Solution Method for Large Risk-Averse Markov Decision Processes. http://bit.ly/QyWQMy
Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation. http://bit.ly/QyWQMw
Quantifying the Behavior of Stock Correlations Under Market Stress http://bit.ly/QxPkkU
How are academic age, productivity and collaboration related to citing behavior of researchers? http://bit.ly/WDxYc3
Profit Maximization over Social Networks http://bit.ly/R1xwAj
Econoinformatics meets Data-Centric Social Sciences. http://bit.ly/U6D80z
Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach. http://bit.ly/U6D7Kh
Modeling Spatial Equilibrium in Cities: the Isobenefit Lines. http://bit.ly/XlgsbV
Physical assets replacement: an analytical approach http://bit.ly/Wg3ZZ2
Redistribution spurs growth by using a portfolio effect on human capital. http://bit.ly/Wg3YnY
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance. http://bit.ly/Wg3YnW
Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adju... http://bit.ly/RvVWku
Russian interbank networks: main characteristics and stability with respect to contagion. http://bit.ly/RvVWks
How We Tend To Overestimate Powerlaw Tail Exponents http://bit.ly/V1Ped1
Optimal order placement in limit order markets http://bit.ly/V1PecY
Three state herding model of the financial markets http://bit.ly/XegpP3
Strong random correlations in networks of heterogeneous agents http://bit.ly/V1PecT
Connect and win: The role of social networks in political elections http://bit.ly/XegpOV
Financial Reforms and Capital Flows: Insights from General Equilibrium http://bit.ly/WoK4p9
Asset Pricing and the Credit Market http://bit.ly/V0wYRc
Characterizing the development of sectoral Gross Domestic Product composition. http://bit.ly/QFU6hG
Blinded by Growth http://bit.ly/X17hx5
Valuation with Market Multiples: How to Avoid Pitfalls When Identifying and Using Comparable Companies http://bit.ly/UQFsdC
A Semi-Markov Modulated Interest Rate Model. http://bit.ly/VX04Af
The role of distances in the World Trade Web. http://bit.ly/VX04Ab
Strong random correlations in networks of heterogeneous agents. http://bit.ly/VX06Ik
11Oct/Dealing with domestic systemically important banks: framework issued by the Basel Committee http://bit.ly/WVBq0P
Banking and Trading - IMF Working Paper http://bit.ly/WVBq0N
Characterization of Differentiable Copulas. http://bit.ly/UJF9RQ
The solution of discretionary stopping problems with applications to the optimal timing of investment ... http://bit.ly/UFlqm8
On random convex analysis--the analytic foundation of the module approach to conditional risk measures... http://bit.ly/VTBnTE
On parameter estimation for critical affine processes. http://bit.ly/QOD2GU
How We Tend To Overestimate Powerlaw Tail Exponents. http://bit.ly/VTBoH0
Research: Fostering Project Scheduling and Controlling Risk Management.http://bit.ly/QOD2GM
Research: Smooth Nonparametric Bernstein Vine Copulas. http://bit.ly/VTBoGY
The Diversity of High Frequency Traders http://bit.ly/VG6jbq
Bank ratings: What determines their quality? http://bit.ly/PPd6bS
Do Political Blogs Matter? Corruption in State-Controlled Companies, Blog Postings, and DDoS Attacks http://bit.ly/PPd8Aw
08Oct/Basel III implementation progress report published by the Basel Committee http://bit.ly/Uy3utA
Portfolio Choice in Markets with Contagion.http://bit.ly/PN7xKW
Optimal order placement in limit order markets. http://bit.ly/TjshQt
Three state herding model of the financial markets.http://bit.ly/PN7w9K

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