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Quantitative Finance at arXiv wrote a new blog post titled Stability of zero-growth economics analysed with a Minskyan model. (arXiv:1704.08161v1 [q-fin.EC])
As humanity is becoming increasingly confronted by Earth's finite biophysical limits, there is increasing interest in questions about the stability and equitability of a zero-growth capitalist economy, most notably: if one maintains a positive interest rate for loans, can a zero-growth economy be stable? This question has been explored on a few different macroeconomic models, and both `yes' and `no' answers have been obtained. However, economies can become unstable whether or not there is ongoing underlying growth in productivity with which to sustain growth in output. Here we attempt, for...
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled High-Frequency Jump Analysis of the Bitcoin Market. (arXiv:1704.08175v1 [q-fin.ST])
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps are frequent events and they cluster in time. The order flow imbalance and the preponderance of aggressive traders, as well as a widening of the bid-ask spread predict them. Jumps have short-term positive impact on market activity and illiquidity and see a persistent change in the price.
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (arXiv:1704.08234v1 [q-fin.PM])
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic volatility and a defaultable corporate bond. We discuss the optimal investment strategy into two subproblems: a pre-default case and a post-default case. We show the existence of a classical solution to a pre-default case via super-sub solution techniques and give an explicit characterization of the optimal reinsurance and investment policies that maximize...
5 hours ago
Complexity Digest wrote a new blog post titled Robustness and efficiency in interconnected networks with changes in network assortativity
In this study, the effect of assortativity on the robustness and efficiency of interconnected networks was investigated. This involved constructing a network that possessed the desired degree of assortativity. Additionally, an interconnected network was constructed wherein the assortativity between component networks possessed the desired value. With respect to single networks, the results indicated that a decrease in assortativity provided low hop length, high information diffusion efficiency, and distribution of communication load on edges. The study also revealed that excessive...
10 hours ago
Complexity Digest wrote a new blog post titled Research days on self-organization and swarm intelligence in cyber physical systems – Lakeside Labs
The 2017 Research Days comprises a three-day workshop on self-organization and swarm intelligence in cyber physical systems (CPS). A group of experts in this domain will introduce their research topics in invited talks. Keynote speaker is Gianni A. Di Caro from Carnegie Mellon University (USA). The program also includes laboratory sessions with training on micro-robots. The workshop takes place from July 10 – 12, 2017 in the Lakeside Science and Technology Park, Klagenfurt, Austria. Registration is possible for a limited number of people. Interested researchers should apply as soon as...
14 hours ago
Fidessa wrote a new blog post titled Be careful what you wish for
Those of us who remember the good old days will recall the industry debate as to how much dark liquidity was really in existence. In one corner were the exchanges who, through FESE, claimed that the amount of malevolent dark trading going on was unacceptably high. In response the brokers claimed through their trade body, AFME, that actually it was pretty low. And, as we all know, FESE won the day and successfully convinced ESMA of its cause and so, like it or not, we now have dark pool caps coming into force in a few months’ time. But, as the old saying goes “be careful what you wish for”...
17 hours ago
Numerical Algorithms Group wrote a new blog post titled To users of NAG Library Documentation - MathJax
The NAG Library documentation makes use of the MathML format for displaying mathematics within web pages. This is supported natively in the Firefox browser, but for users of other browsers we use the freely available MathJax javascript library. Unfortunately the MathJax consortium is having to shut down its server as detailed here. As detailed in that page, users may instead use a locally installed copy of MathJax, or may use a different freely available server. The copies of the NAG Library documentation on our website have already been updated, for example Fortran Library...
18 hours ago
The Reformed Broker wrote a new blog post titled Via Chicago
I am told by Morningstar's Tricia Rothschild that we'll be speaking in front of more than 2000 people...
18 hours ago
Implementing QuantLib wrote a new blog post titled A visual history of QuantLib
Greetings. A couple of weeks ago, I came across an interesting tool called Gource. Fair warning: my colleagues and I instantly lost every last bit of productivity for the day as we ran it over our repositories.
23 hours ago
The Reformed Broker wrote a new blog post titled Contra Einhorn
"there's no sex in the champagne room"...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles. (arXiv:1704.07597v1 [q-fin.MF])
Black-Scholes (BS) is the standard mathematical model for option pricing in financial markets. Option prices are calculated using an analytical formula whose main inputs are strike (at which price to exercise) and volatility. The BS framework assumes that volatility remains constant across all strikes, however, in practice it varies. How do traders come to learn these parameters? We introduce natural models of learning agents, in which they update their beliefs about the true implied volatility based on the opinions of other traders. We prove convergence of these opinion dynamics using...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Pricing and Referrals in Diffusion on Networks. (arXiv:1509.06544v4 [q-fin.EC] CROSS LISTED)
When a new product or technology is introduced, potential consumers can learn its quality by trying the product, at a risk, or by letting others try it and free-riding on the information that they generate. We propose a dynamic game to study the adoption of technologies of uncertain value, when agents are connected by a network and a monopolist seller chooses a policy to maximize profits. Consumers with low degree (few friends) have incentives to adopt early, while consumers with high degree have incentives to free ride. The seller can induce high-degree consumers to adopt early by offering...
yesterday
All About Alpha wrote a new blog post titled Generation Two Liquid Alternatives
Beachhead Capital Management has published a white paper on what it calls the “second generation of liquid alternatives.” To begin at the beginning, “liquid alternatives” are investment products, available to retail investors, for example through mutual funds or ETFs, which are designed to provide the diversification and absolute-return benefits typicallyRead More
yesterday
The Reformed Broker wrote a new blog post titled Michael Kitces and I cover everything
INBOX: Josh, Just wanted to let you know that your podcast episode is live today! Thanks again SO much for joining in! You also have the great honor of being the first podcast guest where my editing team had to ask “Umm… do we need to bleep this guy’s language?” Thanks for keeping us on......
2 days ago
The Reformed Broker wrote a new blog post titled There is no Obamacare Repeal and there is no Wall.
Margaret Hartmann (New York Magazine): For seven years, Republicans ran and won on the idea that they had a plan to repeal Obamacare and replace it with something better and cheaper. When they finally got the opportunity to turn these promises into an actual law, all they could come up with was a plan that......
2 days ago