Spent 5 days in Sydney, it was my first time to Australia, never thought it is so far away. What an isolated land: 11-hour flight from London to Shanghai, and another 11 hours from Shanghai to Sydney. It takes even longer from Sydney to America. The good side is it is away from pollution, blue sky, clean river, stark contrast with Shanghai, which is getting more terrible.Sydney is an interesting city: it has less Chinese than I was told, I saw more British faces there than in London; people...

Like other conference, the last day of the 24th Australasian Finance & Banking Conference witnessed fewer attendance and less active discussion: people have left or eager to leave. Fortunately or unfortunately, my session was in the afternoon and had even fewer audiences. Entropic Least-Squares Valuation of American Options Subject to Moment Constraints: improvement of pricing accuracy of American options by incorporating a set of risk-neutral moment constraints into an entropic pricing...

Benchmark Replication Portfolio Strategies: a novel approach to the benchmark replication problem which uses a minimum tracking error variance as an objective subject to a target expected outperformance. Options Trading and the Extent that Stock Prices Lead Future Earnings Information:  Findings in this study support the proposition that options trading results in more current information that is relevant for predicting future earnings being impounded into stock prices.The Lure of the...

On each day there are approximately 80 papers to be presented in 20 sessions, which is really a lot and hard to have a detailed and useful discussion, I would say too many presentations are the weak side of this 24th Australasian Finance & Banking Conference. I selected several papers of the first day based on my interests:Asymmetric Effects of the Financial Crisis: Collateral-Based Investment-Cash Flow Sensitivity Analysis: investment-cash flow sensitivity must be measured taking into account...

I am finally back China from the 24th Australasian Finance & Banking Conference, 22 hours long flight from London -> Shanghai -> Sydney is more challenging than I thought. In the following posts I will select a few papers I personally feel interesting, hope you can enjoy reading them as I do.Stock Market Fragility and the Quality of Governance of the Country: relationship between the quality of governance of a country and its degree of financial fragility.The Ultimate Irrelevance Proposition in...

My flight to Australia will be tomorrow, so this post is one ahead of schedule.mlpy - Machine Learning Python: mlpy is a free Python module for Machine Learning. It facilitates classification, regression, clustering and feature selection in Python.Global Optimization Algorithms – Theory and Application: a free ebook on global optimization, algorithms including Evolutionary Algorithms, Genetic Algorithms, Genetic Programming, Learning Classifier Systems, Hill Climbing, Simulated Annealing... Not...

Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week's review is highly concentrated on R language.R-code for the algorithm of Ait-Sahalia: the Closed-Form expansion for the transition densities of diffusions by Professor Yacine Aït-Sahalia facilitates the Maximum Likelihood Estimation, the...