Remember me

Register  |   Lost password?


 

MoneyScience Blog Header 2015 2


MoneyScience Monster Linkfest - Digest 17/02/12

Fri, 17 Feb 2012 12:33:00 GMT

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

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

Featured

  • MoneyScience and Luigi Ballabio present 'An Introduction to QuantLib Development', London, 21-23rd May, 2012 - 15% 'Early Bird' before March 31st - bit.ly/wa68Hh
  • Financial black swans driven by ultrafast machine ecology - bit.ly/wXOPyH - Updated with 4 sources of commentary
  • Video: The Financial Markets' Network Crisis - bit.ly/wcrTQM @FOCproject
  • The Physics of Finance: How markets become efficient (answer: they don't) bit.ly/zQ1CcS and Minority Games "markets as ecologies of interacting agents" bit.ly/xhgfOS
  • Early Detection of Collapse Waves in the Global Financial Markets - A New Methodology bit.ly/wsS7O5
  • Statistical Signatures in Times of Panic: Markets as a Self-Organizing System - bit.ly/ywYaX5
  • Black-Scholes had as much to do with the Credit Crisis as Daimler-Maybach with bombing Hiroshima bit.ly/xhWGVM - @TCJUK
  • Financial Markets, Systemic Risk and Fossil Fuel Investment: A response from the Bank of England bit.ly/z723m6
  • Flash Crash Research by Filimonov and Sornette - @substructural blog on MoneyScience bit.ly/AxhTfW
  • Via @FelixSalmon and pretty much everyone else here's a copy of the Occupy the SEC: Comment letter on the Volcker Rule bit.ly/w9SuOP
  • Political Uncertainty and Corporate Investment Cycles - bit.ly/wxug95
  • The Relative Significance of Finance Journals, Authors and Articles: An Update - bit.ly/vyIGC6
  • Fascinating: Analysis of Newly Submitted Preprints at arXiv: Article Downloads, Twitter Mentions, Citations - bit.ly/yRd5Yk
  • @alea_ on Credit Risk Transfer Governance: The Good, the Bad, and the Savvy bit.ly/wWOJHH
  • Nasdaq Data Center Introduces Computing Cabinets with Chimneys - bit.ly/y3npLX
  • 14 Valentines from an Economist - bit.ly/zcYWWH via @ritholtz - and while I'm at it: xkcd: The Valentine Prisoners Dilemma - bit.ly/wDXZwM
  • Interview: Ernest P. Chan Quantitative Trading - Quantitative Finance Code Collector at MoneyScience bit.ly/wAR8wi via @a_biao
  • Via @SSRN - Relative Strength and Portfolio Management - bit.ly/AgDZKf
  • High-Frequency Trading - A study commissioned by Deutsche Borse Group - bit.ly/wG9Omn
  • GPU-computing in econophysics & statistical physics - T. Preis bit.ly/wBciv7
  • Financial Crisis Research: A Library - bit.ly/jLGUiT
  • Oracle Integrates R Statistical Programming Language into Oracle Database 11g - bit.ly/Aw3YXI
  • "A rumor in real-time": The logic of a Thomson Reuters takeover of the Financial Times - bit.ly/y8n98T
  • The Credit Suisse Global Investment Returns Yearbook 2012 - bit.ly/zq9q4i via @AbnormalReturns. Thanks Tadas.
  • Remuneration in the Bank - Research on Competition for Traders and Risk - bit.ly/z2DsP5
  • Bayesian Methods in Portfolio Credit Risk Management - Asymptotix's blog at MoneyScience bit.ly/wpR880
  • Myron Scholes: Risk management is capital optimization bit.ly/yUEDxL via @asymptotix @SASsoftware
  • Dead and alive: Beliefs in contradictory conspiracy theories. bit.ly/wsxWYK
  • "...the smallest possible deterministic model of financial complexity..." bit.ly/Au6W1s
  • Experimental results suggest thinking about time in terms of money "changes the way you actually experience time" bit.ly/wDAnW1
  • Quantitative Behavioral Finance - @substructural at MoneyScience bit.ly/wy1mi3
  • I'm not sure I quite 'get' this research: War Games: Simulating Collins’ Theory of Battle Victory - bit.ly/w451xM - Via @ComDig
  • Research: "Very Happy People" (2002) "Being very happy does not seem to be a malfunction..." bit.ly/w1GVdG - Via @SimoleonSense
  • What Moral Philosophy Tells Us About Income Inequality bit.ly/xCpGmt - Via @SimoleonSense
  • A slice of S&P 500 kurtosis history bit.ly/ztGltr a tale of long tails #finance #rstats - @portfolioprobe
  • arXiv: Predatory trading and risk minimisation: how to (b)eat the competition. bit.ly/w11HvU

Sponsored

Announcements

  • We now have more than 50 financial bloggers contributing at MoneyScience - bit.ly/vFhvST
  • How MoneyScience works with Business Schools and Universities: bit.ly/y0M2VD
  • New and Updated: Financial Education Focus - The RSS Feed - bit.ly/zUkI8s
  • I've been redeveloping the homepage on MoneyScience - check it out for an overview of what's been going on - bit.ly/1h5IiX
  • The Google Search Feature at MoneyScience works really rather well - bit.ly/zh1KAe
  • List of Risk Management Consultants at MoneyScience bit.ly/oKmGVW
  • I am systematically rebuilding the MoneyScience Vendor Community: bit.ly/pqPGwF
  • Already rebuilt section for firms offering #Analytics and Financial Libraries - bit.ly/qXB0BG Get in touch if you'd like to feature.
  • Traders in MoneyScience's home town launch their own currency - bbc.in/wMgYhY more: bit.ly/zb88JC @thebristolpound
  • Woohoo! Thanks for following @dquayle - you are @MoneyScience 's 3000th follower. Appreciated.
  • Woohoo - Thanks for following @lmisiaszek - you are @businessschool 's 4000 follower.

Finance and Banking

  • The unfolding #LIBOR scandal - reut.rs/Ajr82c
  • The Vatican's Calls for Global Financial Reform - fam.ag/yq4t4t
  • Credit Suisse traders 'manipulated IT systems' to hide losses bit.ly/wx0RAQ
  • ESMA kicks off consultations for developing technical standards for new #derivatives and short-selling regulation bit.ly/wytY0Y
  • MiFID II is threat to swaps liquidity, warns ISDA - bit.ly/xiAKpg
  • Is This the End of Wall Street As They Knew It? - New York Magazine bit.ly/A7fTZq - Via @ReformedBroker
  • Political responses to UK credit rating threat - bit.ly/y8LTmU
  • New insider-trading prosecutions serve as a warning to those too young to recall crackdowns during the Reagan Era bit.ly/yYsnUW
  • Greg Secker's company, Knowledge To Action, makes grand claims about its forex trading courses, too grand for some bit.ly/zWu1I0
  • MF Global collapse prompts regulatory rethink in Washington bit.ly/yz0A8J
  • MF Global Chief Risk Officer Says He Was Outsed After Raising Red Flags bit.ly/wRImOW
  • Barclays announces it is capping cash bonuses at £65,000 and reports a 3% fall in profits to £5.9bn bit.ly/xFC9xG
  • Failed forecasts and the financial crisis: How to resurrect economic modelling - bit.ly/yAR7eB
  • What is working as an actuary really like? bit.ly/wrbIKo - Via @Freakonometrics
  • New standards to combat money laundering and terrorist financing - bit.ly/zkAtYC
  • Voices in Finance: VP of a major western bank in Tokyo compares the banking cultures of Japan and the west bit.ly/AiFoA1
  • How much will it cost to clean up Lloyds Banking Group? bit.ly/wtY93W
  • RBS boss Stephen Hester speaks out after bonus row bit.ly/A99Yi6
  • Bank of England maintains Bank Rate at 0.5% and increases size of Asset Purchase Programme by £50 bn to £325 bn bit.ly/xeeu4E
  • FIX Protocol Engine Test Results - Tales from a Trading Desk bit.ly/xAe2Ho - Via @Matt_Davey
  • Nazi counterfeiting "destroyed" confidence in the British currency by the end of WW2, according to MI5 files bbc.in/znoo1S
  • Judge issues arrest warrant for Kazakh billionaire accused of committing one of the world's biggest ever frauds bit.ly/zSDk3W
  • Musings on Markets: The IPO of the decade? Damodaran's valuation of Facebook bit.ly/Aq8Xpr
  • Former Merrill Lynch broker fined £350,000 for 'serious market abuse' bit.ly/yIAIS6
  • It's increasingly clear that Project Merlin wasn't worth the paper it was written on bit.ly/wfViUT via @Real_Business
  • Video: ICAP boss, Michael Spence: Financial transaction tax 'would kill City of London' bbc.in/xuHuke
  • If you're in banking, not only your wallet will be fat. Says this study on.wsj.com/yRRYkN - Via @JLbankingblog
  • Holy Money Laundering! Four Priests Charged In Vatican Banking Scandal - bit.ly/zGFgBK
  • Survey of risk managers, analysts and academics on MF Global and the role of risk managers bit.ly/xZ8eL0 - @GARP_risk
  • Banning Synthetic CDOs Could Increase Risk and Regulatory Arbitrage - bit.ly/xVmnuD
  • Will poor corporate bond liquidity drive the market to CDS? bit.ly/zdlohm
  • I'm not sure he'll get the job: @ritholtz Application for Head of Public Relations at Goldman Sachs - bit.ly/ySbecw
  • RT @CleartradeX: French short-selling ban expires - source via.lc/Lc5Fz
  • Indian authorities are probing whether Google broke domestic FX transaction rules while shifting funds abroad bit.ly/wxGtsM
  • Nathaniel Rothschild loses libel case following a 2010 story which he said portrayed him as a "puppet-master" bbc.in/zZ7xyk
  • Shareholder governance group, Pirc says Barclays flatters its results leaving deferred bonuses off balance sheet bit.ly/xK77Tw
  • How Goldman Sachs Became the Most Hated Bank on Earth bit.ly/znHCho
  • #Facebook IPO: Mark Zuckerberg Orders Banks to Stop Leaking - bit.ly/xbbyss
  • UK Treasury failings exposed by new accounts system, MPs say bbc.in/wV3pHu
  • One of the last tweets from @MFGlobal was a video of Jon Corzine on CNBC - bit.ly/AvDF4l
  • Europe’s new fiscal compact is seen by some as the death of Keynesian government spending. bit.ly/x1C86f
  • Wealth Managers Give #Facebook a Sobering Look - bit.ly/yVkEaw
  • Infrastructure as an Asset Class: Investment Strategies, Project Finance and PPP - bit.ly/AnbIwg

Hedge Funds

Financial Technology

  • Financial Technology Focus: The RSS Feed - bit.ly/xT5qjl
  • Training: An Introduction to QuantLib Development - Luigi Ballabio - London, 21-23rd May, 2012 bit.ly/wa68Hh
  • NYSE Euronext Announces Acquisition of Strategic Shareholder Interest in Fixnetix - bit.ly/ysWG30
  • Introducing: The Electronic Cheque - bit.ly/AfdC1M - @Chris_Skinner
  • The God Box: Searching for the Holy Grail storage array - bit.ly/zi2bqE
  • MiFID II algo proposals “no issue” – Knight Capital bit.ly/zZxYwJ
  • Technology Will Eventually Reverse Fragmentation, Says Trading Roundtable - wallstreettech bit.ly/xy3A0D
  • Goldman Sachs is planning to spin off the REDI Technologies electronic trading software group - bit.ly/z7pq3G
  • Data Markets in the Cloud: An Opportunity for the Database Community - bit.ly/xyxn5p
  • Managed Futures Case Study: Interview with Jay R.Feuerstein & Bruce Mumford of 2100 Xenon - bit.ly/yV7OW0
  • White Papers on Software Architecture for Financial Services by @asymptotix bit.ly/wJDGCE @clansman2
  • Wall Street Disrupted: Silicon Valley's New Elite vs Banking Giants - bit.ly/A0oWx9
  • With technology evolving so rapidly, entering into lengthy enterprise IT contracts seems foolish - bit.ly/xxTV9l
  • NASDAQ, BATS and the CBOE were knocked offline earlier this week by hacktivists, anonymous bit.ly/xMUago
  • STOCK BROS from University of Nebraska win the TradeKing #API Campus Challenge. bit.ly/xDOfHT
  • More on the University of Nebraska team winning TradeKing 's $100K #API Campus Challenge - bit.ly/wNa3av
  • An ancient Greek method uncovers flaws in RSA algorithm for public-key cryptography - bit.ly/yRuTZC
  • For the big players in enterprise technology algorithms, it’s about finding big patterns beyond the data itself bit.ly/zZzOoL
  • Study analyzes emotions in software engineering bit.ly/AkKmJK
  • The arrival of the Titan Supercomputer with fundamental new architectures will challenge every science discipline bit.ly/y7GuXC

Science and General Interest

  • Friday Perspective: Globular cluster NGC 6752 - bit.ly/wWSrrW - more here: bit.ly/yYH4sZ
  • MIT Computer Scientist offers $100k award for proof that scalable quantum computing impossible in physical world bit.ly/yUbpGn
  • Cosma Shalizi on the pushback against power laws - bit.ly/x16V9n
  • Taxicab Economics - econ.st/AceykA
  • Traffic Jam Economics - nyti.ms/zi6q0u
  • Something about #Seedcamp (London) - bit.ly/yTKP4s
  • Identifying poverty levels requires new statistical models - bit.ly/xlXiHO
  • The '94 case of Gordon & Breach v. AIP & APS: interesting to those who care about scientific journals bit.ly/yVdrS8
  • Funny: Academia Translation Guide - bit.ly/A2UFgJ - Via @Ritholtz
  • The parable of the farmers and the Teleporting Duplicator - bit.ly/yrMNWT
  • Journal Publishing Reform: loads of information, opinion, activism & issues concerning #research journal publishers bit.ly/weEf2a
  • The pros and cons of austerity. Excellent piece conducted by @evanHD bbc.in/aJUpPQ audio: bit.ly/yX5cp1
  • The intellectual void at the heart of the Occupy movement bit.ly/xR8pVM
  • Black Bloc: The Cancer in Occupy - bit.ly/zuN0Tm
  • Methodology of Metal Criticality Determination" - New methodology assesses risk of scarce metals bit.ly/zZKx42
  • Citigroup Says Peak Oil Is Dead - on.wsj.com/yRybZo
  • Weird art-valuation justifications of the day, Sarah Thornton edition - reut.rs/yrwVy4
  • The Euro MBA market: conservative, competitive - Ethical evangelism among academics appeals to only 15% of applicants bit.ly/ywXVKQ
  • Don't try this at home: @Noahpinion: How I survived the Economics Job Market bit.ly/xulMgH
  • An oil boom is set to transform the Falkland Islands - bit.ly/wEstKT
  • Research on the "Enron corpus" a body of 500k emails shows language predicts if mssgs sent up/down the org chart bit.ly/yFO7WH
  • Motherhood – and the policies that make it incompatible with a tenure-track research career - bit.ly/x9BApH
  • Pretty Cool, UK Energy company Ecotricity advert: Collapsing Cooling Towers bit.ly/xKHc70
  • Statistical Insight into the Typical University of Chicago Student - bit.ly/AfRWaG @uchicagonews
  • Meet the Yahoo Boys: Nigeria's email scammers exposed bit.ly/yFmCqo @newscientist
  • Very depressing: "the bleak reality of America's poverty crisis" bbc.in/y7QEob
  • "Terrifying Efficiency" How to make make your cover-letter go viral - yhoo.it/zuzQdC
  • Learning foreign languages: an economist’s rationale bit.ly/wFPOZr
  • The Financial 'Brain Drain' Of The U.S. Economy bit.ly/x80L6w
  • Mark Zuckerberg’s $2 Billion Tax Bill - on.wsj.com/zh8w9h
  • This really is pretty embarrassing: The FBI & Scotland Yard anti-hacking Conference Call - bit.ly/yEbHj8
  • More Science than Money: The youngest individual on Earth to achieve nuclear fusion - bit.ly/wUuuVE @popsci

Research

  • European Central Bank paper: Financial integration, specialization and systemic #risk - bit.ly/AF3Cw8 - Via @alea_
  • And while I'm at it, here's another 16 papers on Systemic #Risk - bit.ly/zUuVZS I just love to curate.
  • Wages and Human Capital in the U.S. Financial Industry: 1909-2006 (2002) - Philippon & Reshef - bit.ly/Az73Mr
  • A History of Behavioural Finance in Published Research: 1944 - 1988 - bit.ly/yoybEY
  • Interesting paper on how regulation diminishes the advantages of big mutual fund families. @SSRN stks.co/2Qex - via @abnormalreturns
  • Confidence, Opinions of Market Efficiency, and Investment Behavior of Finance Professors - bit.ly/wzwDmB
  • A Note On Confidence Momentum And Term Structure of Confidence with Applications to Financial Markets bit.ly/yKyMnK
  • A Dynamical Approach to Operational Risk Measurement - Quantitative Finance at arXiv - bit.ly/yEiAWA
  • Risk Management at Crunch Time: Are Chief Risk Officers Compliance Champions or Business Partners? bit.ly/zu8OhL
  • Bank Herding as Management Challenge bit.ly/AzdbyT
  • The Law of Opposites: Illusory profits in the financial sector bit.ly/w2vppB
  • Early Detection of Collapse Waves in the Global Financial Markets - A New Methodology bit.ly/wsS7O5
  • The Iron Fist vs The Invisible Hand: Interventionism and Libertarianism in Environmental Economic Discourses bit.ly/yqJcaU @pmaymin
  • Via @SSRN - Engineering an Orderly Greek Debt Restructuring by Gaurang Gulati and Jeromin Zettelmeyer bit.ly/A2ao3x
  • The trade effects of natural disasters: New evidence from developing countries - bit.ly/w0o8tM
  • Commutative Prospect Theory and Confident Behaviour under Risk and Uncertainty in Psychological Space bit.ly/AoxUEk
  • Speculative Dynamics I: Imperfect Competition, and the Implications for High Frequency Trading bit.ly/ymevnN - Via @CarlCarrie
  • arXiv: Ensemble properties of high frequency data and intraday trading rules. (arXiv:1202.2447v1 [q-fin.TR]) bit.ly/x2SSmb
  • Can High-Frequency Traders Game Futures? bit.ly/whX64M - Via @ialdridge
  • arXiv: Loan and nonloan flows in the Australian interbank network. bit.ly/yxvckn
  • arXiv: Quasi-Monte Carlo methods for the Heston model. bit.ly/zLlYq2
  • arXiv: Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance. bit.ly/xMaAfq
  • arXiv: A Dynamical Approach to Operational Risk Measurement. bit.ly/xbJhZ2
  • arXiv: Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application ... bit.ly/ycvsHK
  • arXiv: Minimax Option Pricing Meets Black-Scholes in the Limit. bit.ly/whFkrw
  • arXiv: A Bayesian Networks Approach to Operational Risk. bit.ly/xarGIK
  • arXiv: Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. bit.ly/wkhKD6
  • arXiv: Choix strat\'egiques de la firme et contr\^ole financier.bit.ly/yXA1Ho
  • arXiv: A mathematical treatment of bank monitoring incentives. bit.ly/yxjIUW
  • arXiv: Quantum Financial Economics of Games of Strategy and Financial Decisions. bit.ly/ziplfV
  • arXiv: Perturbed Copula: Introducing the skew effect in the co-dependence. bit.ly/zPOB8N
  • arXiv: Identifying States of a Financial Market. bit.ly/weCOQI
  • aXiv: Abstract, Classic, and Explicit Turnpikes. bit.ly/xk3Y3u
  • arXiv: Short-time asymptotics for marginal distributions of semimartingales. bit.ly/zCPMbr
  • arXiv: Financial black swans driven by ultrafast machine ecology. bit.ly/Aadi9P
  • arXiv: An Econophysics Model for the Migration Phenomena. bit.ly/wqV3Sj
  • arXiv: Geometric Arbitrage Theory and Market Dynamics. bit.ly/zulLJm
  • arXiv: A tractable LIBOR model with default risk. bit.ly/wYTpXQ
  • arXiv: Understanding agent-based models of financial markets: a bottom-up approach based on order parameters and... bit.ly/xISxIS
  • arXiv: Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility. bit.ly/zB7EEH
  • arXiv: Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets. bit.ly/y2qxlY

, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,