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Introduction to QuantLib Development with Luigi Ballabio - London, November 14 - 16th, 2016 - http://bit.ly/QuantLib-2016

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Musings on Markets wrote a new blog post titled Mean Reversion: Gravitational Super Force or Dangerous Delusion?
In my last post on the danger of using  single market metric to time markets, I made the case that though the Shiller CAPE was high, relative to history, it was not a sufficient condition to conclude that US equities were over valued. In the comments that followed, many disagreed. While some took issue with measurement questions, noting that I should have looked at 10-year correlations, not five and one-year numbers, others argued that this metric was never meant for market timing and that...
5 hours ago
The Reformed Broker wrote a new blog post titled The Vanguard 500 Index Fund Turns 40
That number is f***ing bonkers....
9 hours ago
The Reformed Broker wrote a new blog post titled Why Bull Markets Make Everyone Miserable
You might have expected a bit of elation on Wall Street about the massive performance the US stock market has exhibited off of the February lows. You’d have been wrong. There’s no joy to be found, with the S&P 500 once again hovering just below last year’s all-time high. No one you’ll talk to believes......
10 hours ago
Finance Clippings wrote a new blog post titled Pension Fund Fees keep on growing.
Last Friday, Cullen Browder reported on the level of fees now being paid by the NC Pension Fund.   In the process, he interviewed yours truly.   The video is here: http://www.wral.com/fees-grow-faster-than-nest-egg-in-nc-employees-pension-fund/15963461/ A big thank you goes to Ron Elmer who blogged about the fees on his investorcookbooks blog. Ron compared the fund today vs. what it would have looked like had the asset allocation in 2000 been maintained using Vanguard index funds....
11 hours ago
The Bank for International Settlements wrote a new blog post titled 31Aug/BIS, FSB and IMF publish elements of effective macroprudential policies
Press relase about the BIS, FSB and IMF publishing elements of effective macroprudential policies, 31 August 2016.
12 hours ago
Quantitative Finance at arXiv wrote a new blog post titled What is the Contribution of Intra-household Inequality to Overall Income Inequality? Evidence from Global Data, 1973-2013. (arXiv:1608.08210v1 [q-fin.GN])
Intra-household inequality continues to remain a neglected corner despite renewed focus on income and wealth inequality. Using the LIS micro data, we present evidence that this neglect is equivalent to ignoring up to a third of total inequality. For a wide range of countries and over four decades, we show that at least 30 per cent of total inequality is attributable to inequality within the household. Using a simple normative measure of inequality, we comment on the welfare implications of these trends.
21 hours ago
Quantitative Finance at arXiv wrote a new blog post titled On the Market-Neutrality of Optimal Pairs-Trading Strategies. (arXiv:1608.08268v1 [q-fin.PM])
We consider the problem of optimal investment in a market with two cointegrated stocks and an agent with CRRA utility. We extend the findings of Liu and Timmermann [The Review of Financial Studies, 26(4):1048-1086, 2013] by paying special attention to when/if the associated stochastic control problem is well-posed and providing a verification result. Our new findings lead to a sharp well-posedness condition which is, surprisingly, also the necessary and sufficient condition for the optimal investment to be market-neutral (i.e. having offsetting long/short positions in the stocks). Hence, we...
21 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Risk measures and Margining control. (arXiv:1608.08283v1 [q-fin.RM])
This document constitutes the final report of the contractual activity between Directa SIM and Dipartimento di Automatica e Informatica, Politecnico di Torino, on the research topic titled "quantificazione del rischio di un portafoglio di strumenti finanziari per trading online su device fissi e mobili."
21 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Discrete hierarchy of sizes and performances in the exchange-traded fund universe. (arXiv:1608.08582v1 [q-fin.GN])
Using detailed statistical analyses of the size distribution of a universe of equity exchange-traded funds (ETFs), we discover a discrete hierarchy of sizes, which imprints a log-periodic structure on the probability distribution of ETF sizes that dominates the details of the asymptotic tail. This allows us to propose a classification of the studied universe of ETFs into seven size layers approximately organized according to a multiplicative ratio of 3.5 in their total market capitalization. Introducing a similarity metric generalising the Herfindhal index, we find that the largest ETFs...
21 hours ago
Finance Clippings wrote a new blog post titled Indexing Pension Funds
This is a bit of a repost - but is relevant as we talk about fees. Back in February I wrote a white paper that was a back of the envelope analysis of the fees paid buy the pension fund, including some hidden fees such as trading costs.   You can read the paper here.    It was referenced in this article on Forbes that talks about indexing pension funds.
24 hours ago
Finance Clippings wrote a new blog post titled Are markets efficient?
A must watch discussion between Richard Thaler and Gene Fama - both from the University of Chicago. http://review.chicagobooth.edu/economics/2016/video/are-markets-efficient#
yesterday
Complexity Digest wrote a new blog post titled How computers are learning to be creative
We’re on the edge of a new frontier in art and creativity — and it’s not human. Blaise Agüera y Arcas, principal scientist at Google, works with deep neural networks for machine perception and distributed learning. In this captivating demo, he shows how neural nets trained to recognize images can be run in reverse, to generate them. The results: spectacular, hallucinatory collages (and poems!) that defy categorization. “Perception and creativity are very intimately connected,” Agüera y Arcas says. “Any creature, any being that is able to do...
yesterday
Complexity Digest wrote a new blog post titled Assistant Professor on Quantitative Models of Human Communication @UCDavis
Assistant Professor (Tenure Track) or Associate Professor, Quantitative Models of Human Communication. For this position, we seek a scholar with research interests focused on quantitative model building in communication. Human communication is an essential building block in the emergence of complex social systems. Models aimed at understanding and identifying the fundamental theoretical building blocks of human communication have the potential to inform all the social sciences, which includes areas such as cooperation and coordination, trust and goal manipulations, contagion and diffusion,...
yesterday
The Reformed Broker wrote a new blog post titled Everyone is a Closet Technician
Everyone knows this, but many have not come to terms with it yet....
yesterday
The Aleph Blog wrote a new blog post titled On Pricing Grids, Part 1a
Photo Credit: Doug Waldron-==-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=Before I write this evening, I would like to point out what is going on with Horsehead Holdings [ZINCQ].  There was an article in the New York Times on it recently.  It’s an interesting situation where an equity committee exists in a bankruptcy, largely because the management team looks like it is not trying to maximize the value of the bankruptcy estate, but is perhaps instead trying to sell the company off to creditors cheaply in an effort to receive a benefit later from the new owners.  Worth a look, because if the...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach. (arXiv:1608.07694v1 [q-fin.ST])
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate return. This is the standard practice to analyze the underlying information in the foreign exchange market. In this paper, Escoufier's RV coefficient is applied to measure the similarity among currencies where each of them is represented by bivariate time series. Based on that coefficient, we analyze the topological structure of the currencies. An example of...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Financial Market Dynamics: Superdiffusive or not?. (arXiv:1608.07752v1 [q-fin.ST])
The behavior of stock market returns over a period of 1-60 days has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such long terms, the distributions of the returns are non-Gaussian. They have fat tails indicating long range correlations persist. In this work, a good fit to a Tsallis q-Gaussian distribution is obtained for the distributions of all the returns using the method of Maximum Likelihood Estimate. For all the regions of data considered, the values of the scaling parameter q, estimated from one day returns, lie in the...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship. (arXiv:1608.07796v1 [q-fin.CP])
We study the multi-scale temporal correlations and causality connections between the New York Stock Exchange (NYSE) and Bombay Stock Exchange (BSE) monthly average closing price indexes for a period of 300 months, encompassing the time period of the liberalisation of the Indian economy and its gradual global exposure. In multi-scale analysis; clearly identifiable 1, 2 and 3 year non-stationary periodic modulations in NYSE and BSE have been observed, with NYSE commensurating changes in BSE at 3 years scale. Interestingly, at one year time scale, the two exchanges are phase locked only during...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Rethinking Financial Contagion. (arXiv:1608.07831v1 [q-fin.RM])
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of contagion in financial networks. We develop a common framework encompassing several network contagion models and show that, regardless of the shock distribution and the network topology, precise ordering relationships on the level of aggregate systemic losses hold among models. We argue that the extent of contagion crucially depends on the amount of...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility. (arXiv:1608.07863v1 [q-fin.MF])
In this article, we consider the small-time asymptotics of options on a Leveraged Exchange-Traded Fund (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite activity. Our main results are closed-form expressions for the leading order terms of off-the-money European call and put LETF option prices, near expiration, with explicit error bounds. We show that the price of an out-of-the-money European call on a LETF with positive (negative) leverage is asymptotically equivalent, in short-time, to the price of an...
2 days ago