Dear MoneyScience Users and Friends,
A very brief note from me. I've been travelling and in a bit of a rush today since last night I attended the inaugural meeting of the Royal Institution's 14-10 Club, a new Science and Math Club exclusively for Financial Practitioners. Speakers last night included Club PatronsProf Alex Lipton, from Bank of America Merrill Lynch and David Harding from Hedge Fund, Winton Capital. Most interesting of all, though, was a talk given by Prof Chris Bishop of Microsoft Research; who talked about the machine learning technology behind Microsoft's Kinnect gaming device. Fascinating stuff.
I expect to have a big update for you next week. In the meantime, do be well, and enjoy the links below!
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- We are delighted to introduce our newly relaunched sister site, High Frequency Trading Review!
- Here’s a list of articles/postings of interest to anyone in the GPU space -
- Dilbert: "I have an MBA and yet I keep losing money in the stock market. How can this be?"
- The World Bank's Open Data initiative -
- Why Bounded Rationality? - nice addition to our behavioural finance library:
- EU's financial transaction tax is feasible, and if set right, desirable -
- Speed-Trading Firms Most Threatened By EU Transaction Tax -
- Science is about discarding models, not making them -
- The Ghost in the Banking Machines -
- Six Provocations for Big Data -
- Voices of finance: investment bank intern Joris Luyendijk
- Articles on the philosophy of Bayesian statistics
- Is Bayesianism Legal in Britain?
- Empirical Quantiles and Proxy Selection -
- Q&A: on model risks, why quantitative finance is not a theory, and bailout ethics -
- Bailouts are bad ethics and bad economics, argues philosopher Jamie Whyte.
- The Physics of Finance: Why game theory is often useless...
- Stiglitz: Of the 1%, by the 1%, for the 1% -
- The Big Ideas podcast: Adam Smith's 'invisible hand' - audio -
- What Quant Firms Can Learn From Steve Jobs -
- This might just be the most important piece of paper in US banking right now:
- Draft of 'Volcker Rule' Hits Internet, Rocks Wall Street -. Here's the document:
- MT : The Real and Financial Implications of Corporate Hedging - Journal of Finance -
- RT Interest linkages between the US, UK and German interest rates: should the UK join the European Monetary Union?
- Delve Deeper Into Books For Quants & Financial Engineers With Free Downloads - Wiley Finance Books
- London Metal Exchange: top hats and tales from the trading floor - Profile at MoneyScience
- Cass Business School - MSc in Quantitative Finance
- ICMA Centre - MSc Financial Engineering
- Manchester Business School - MSc Quantitative Finance: Financial Engineering -
- The Week in MoneyScience - Digest 30/09/11 -
- Deutsche Bank announce the launch of the "Autobahn App Market"
Finance and Banking
- Joshua M Brown paints a dire picture
- "We are experiencing the worst crisis since world war two." - Jean Claude-Trichet -
- Cries for a sustainable economy are a wake-up call for the investment community
- Systemic Risk Management
- on the psychology of risk and behavioral finance on The Financial Impact Factor radio program
- A German study suggests that traders' desire to win at all costs is stronger than that of psychopaths
- Catastrophe bond market expected to reach $15 billion within 3 to 5 years
- Euro-TARP: "Like a monster that needs to eat all the time, it will hoover up cash to secure the debts of the feckless."
- New instruments called social-impact bonds gaining acceptance--created by Social Finance, a UK PE firm Read more: http://t.co/sxoO6LYk
- The Bank of England has announced that the new-style £50 note will be introduced on 2 November -
- FTSE has worst quarter since dotcom crash -
- The penny has dropped that July's EU stress tests were not credible -
- Donations from the finance sector account for half of payments to the Conservative Party since 2010 general election
- Project Merlin signed on February 9. Banks promised to lend; Osborne concedes today it doesn't work.
- Risks increasing at Morgan Stanley?
- Currency wars: Lessons from the US experience -
- Are bail-outs inevitable for large European and US banks?
- Catastrophe Bond Risk Capital Outstanding
- UK finance minister Osborne claims UK banks "ran Ponzi schemes" ahead of 08 crash
- Italy downgrade by Moody's increases pressure to shore up eurozone banks
- What we've learnt from the markets' reaction to Bernanke, Obama and Trichet
- Book Review: "The Smartest Portfolio You’ll Ever Own"
- The 4-Trillion-Euro Fantasy -
- Hundreds of Occupy Wall Street protesters arrested
- An 'Occupy Wall Street' primer:
- On Wall Street, a Protest Matures -
Technology and Science
- HFT Review's Mike O'Hara discusses Computer-based Trading on Radio 4's Today Program
- Mark Buchanan: With High-Speed Trading, Market Cannot Hold -
- Light is not fast enough for high-speed stock trading - New Scientist
- What does high-frequency trading do to the markets?
- An oracle for object-oriented programmers -
- Innovative Brokers Evolving Their Social Media Strategies
- Slowly but surely, investment banks are hiring techies to develop iPad apps -
- Quantifying the role of complexity in a system's performance.
- The case against the Kindle Fire as a low end tablet disruption -
- What Every Computer Scientist Should Know About Floating-Point Arithmetic
- The Reinvention of Grand Theories of the Scientific / Scholarly Process (pdf)
- Princeton will prevent researchers from giving the copyright of scholarly articles to journal publishers
- FTL neutrinos (or not)
- Lack of detail on clock synchronization in FTL Neutrino paper may explain paucity of methodological critiques so far
- In terms of financial management "anyone between 43 and 63 is really in their cognitive sweet spot."
- Insurance for the unhappy: This column looks at data on religion and life satisfaction from across the globe
- Lobbying pays off handsomely - visual proof
- How Not To Apply For A Wall Street Job -
- 'Greatness' and the role of working memory -
- Simoleon Sense:- Weekly Roundup 147: A Curated Linkfest For The Smartest People On The Web
- User-level sentiment analysis incorporating social networks -
- Presentation: The Financial Judgment and Decision Making Process of Women: The Role of Negative Feelings
- Pricing stocks with yardsticks and sentiments -
- Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas (Compendium)
- Systemic Risk in the Financial System: Insights from Network Science -
- A Framework for Assessing the Systemic Risk of Major Financial Institutions -
- Regulatory Sanctions and Reputational Damage in Financial Markets -
- Held Hostage: How the Banking Sector Has Distorted Financial Regulation and Destroyed Technological Progress -
- arXiv: Pricing stocks with yardsticks and sentiments.
- arXiv: The Lehman Brothers Effect and Bankruptcy Cascades.
- arXiv: Arbitrage Opportunities in Misspecified Stochastic volatility Models.
- arXiv: On Mean-Variance Analysis.
- arXiv: Hedging of Game Options With the Presence of Transaction Costs.
- arXiv: Identification of Demand through Statistical Distribution Modeling for Improved Demand Forecasting.
- arXiv: Hedging strategies with a put option and their failure rates.
- arXiv: Risk Premia and Optimal Liquidation of Defaultable Securities.
- arXiv: Pricing and Portfolio Optimization Analysis in Defaultable Regime-Switching Markets.
- arXiv: Modeling Multiple Risks: Hidden Domain of Attraction.
- arXiv: Returns in futures markets and $\nu=3$ t-distribution.
- arXiv: Long Horizons, High Risk Aversion, and Endogeneous Spreads.
- arXiv: Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dyn...
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Taylor and Francis
Cass Business School
Henley Business School
Manchester Business School
Numerical Algorithms Group
Capital Markets Academy
London Metal Exchange
New York Institute of Finance
Institute for New Economic Thinking
The Royal Institution 14-10 Club
The Financial Services Club
High Frequency Trading Review
Knowing and Making
Money Managers Live
Musings on Markets
Rick Bookstaber's Blog
The Aleph Blog
The Physics of Finance
The Risk Telescope
J Doyne Farmer