Remember me

Register  |   Lost password?




Introduction to QuantLib Development with Luigi Ballabio - London, September 19-21st, 2016 - http://bit.ly/QuantLib-2016

Recent members

The Reformed Broker wrote a new blog post titled Best. Crisis. Ever.
Watch the video inside. ...
10 hours ago
OptiRisk Systems wrote a new blog post titled BREXIT: Human Behavior impacts financial markets
Human behavior and actions lead to Extreme events which have ‘Big’ political, economic, social and technological impacts on the global financial markets. Merve Alanyali and Tobias Preis are thought leaders in this domain; they explain the journey from News to … Continue reading →
14 hours ago
The Reformed Broker wrote a new blog post titled An Outside Year?
Today the S&P sits just 31% above the high posted 16 years ago in 2000. ...
16 hours ago
The Practical Quant wrote a new blog post titled Building intelligent applications with deep learning and TensorFlow
[A version of this post appears on the O’Reilly Radar.]The O’Reilly Data Show Podcast: Rajat Monga on the current state of TensorFlow and training large-scale deep neural networks.Subscribe to the O’Reilly Data Show Podcast to explore the opportunities and techniques driving big data and data science. Find us on Stitcher, TuneIn, iTunes, SoundCloud, RSS.In this episode of the O’Reilly Data Show, I spoke with Rajat Monga, who serves as a director of engineering at Google and manages the TensorFlow engineering team. We talked about how he ended up working on deep learning, the current state of...
2 days ago
The Reformed Broker wrote a new blog post titled Hot Links: Not Out of the Woods
What I'm reading this morning ...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement. (arXiv:1606.08984v1 [q-fin.EC])
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumption, housing, investment, bequest and government provided means-tested Age Pension. We account for mortality risk and risky investment assets, and introduce a health proxy to capture the decreasing level of consumption for older retirees. Then we find optimal housing at retirement, and optimal consumption and optimal risky asset allocation depending on age and wealth. The model is solved numerically as a...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled A multilayer approach for price dynamics in financial markets. (arXiv:1606.09194v1 [q-fin.TR])
We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to previous studies, the order book dy- namics, by considering two assets with variable fundamental prices. Fat tails in the probability distributions of normalized returns are observed, together with other features of real financial markets. DONATE to arXiv: One hundred percent of your contribution will fund improvements and new initiatives to benefit arXiv's...
2 days ago
Musings on Markets wrote a new blog post titled The Brexit Effect: The Signals amidst the Noise
96 Normal 0 false false false EN-US X-NONE X-NONE ...
3 days ago
The Bank for International Settlements wrote a new blog post titled 29Jun/CPMI-IOSCO release guidance on cyber resilience for financial market infrastructures
Press release about CPMI-IOSCO releasing guidance on cyber resilience for financial market infrastructures, 29 June 2016
3 days ago
Understanding Uncertainty wrote a new blog post titled The risks of Big Data – or why I am not worried about brain tumours.
In a careful study published last week, Socioeconomic position and the risk of brain tumour: a Swedish national population-based cohort study, the authors examined the association between the socio-economic status of men and women in Sweden with diagnosis of brain tumours over 18 years. One of the main findings is shown below. Part of a table showing a significantly increased incidence of gliomas in men with more education: the final column shows the relative risks adjusted for marital status and income. The press release was moderately over-enthusiastic. It correctly said that no causal...
3 days ago
Wealth and Capital Markets Blog wrote a new blog post titled Post-Brexit questions loom over Europe
The post-Brexit environment is still quite hazy, but the politicians and regulators in the EU are trying to lay markers for future discussions and negotiations. There have been several comments that betray a fear of further demands for exits from  the EU by the politicians and citizens of other countries that have high levels of Euro-scepticism, such as the Netherlands, France and Greece.  The French president recently stated that clearing for Euro-denominated securities would no longer happen in London and this "could serve as a...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Complex Systems and a Computational Social Science Perspective on the Labor Market. (arXiv:1606.08562v1 [cs.SI])
Labor market institutions are central for modern economies, and their polices can directly affect unemployment rates and economic growth. At the individual level, unemployment often has a detrimental impact on people's well-being and health. At the national level, high employment is one of the central goals of any economic policy, due to its close association with national prosperity. The main goal of this thesis is to highlight the need for frameworks that take into account the complex structure of labor market interactions. In particular, we explore the benefits of leveraging tools from...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Replica approach to mean-variance portfolio optimization. (arXiv:1606.08679v1 [q-fin.RM])
We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with the application of the replica method borrowed from the statistical physics of disordered systems. We find that the replica symmetry of the solution does not need to be assumed, but emerges as the unique solution of the optimization problem. We also check the stability of this solution and find that the eigenvalues of the Hessian are positive for $r=N/T<1$, where $N$ is the dimension of the portfolio and $T$ the...
3 days ago
The Reformed Broker wrote a new blog post titled Up and down the 405
Posting will be light today as I’m currently traveling back up to Los Angeles after a couple of great days in Orange County. I had never spent any time in Laguna/ Dana Point before – now I don’t understand why I don’t live here. Place is sick. Yesterday at the IMN Global Indexing and ETFs......
4 days ago
The Bank for International Settlements wrote a new blog post titled 28Jun/Implementation monitoring of the PFMI: Third update to Level 1 assessment report
Press release about the release of the "Implementation monitoring of the PFMI: Third update to Level 1 assessment report" by CPMI and IOSCO, 28 June 2016
4 days ago
Quantitative Finance at arXiv wrote a new blog post titled A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities. (arXiv:1606.07831v1 [q-fin.CP])
Managing and hedging the risks associated with Variable Annuity (VA) products require intraday valuation of key risk metrics for these products. The complex structure of VA products and computational complexity of their accurate evaluation have compelled insurance companies to adopt Monte Carlo (MC) simulations to value their large portfolios of VA products. Because the MC simulations are computationally demanding, especially for intraday valuations, insurance companies need more efficient valuation techniques. Recently, a framework based on traditional spatial interpolation techniques has...
4 days ago
Quantitative Finance at arXiv wrote a new blog post titled An agent behavior based model for diffusion price processes with application to phase transition and oscillations. (arXiv:1606.08269v1 [math.PR])
We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price dynamics. We furthermore establish the circumstances under which the dynamics converge to diffusion processes in the large market limit. To demonstrate the applicability of a separation of behavior and price process, we show how herding behavior of market participants can lead to equilibria transition and oscillations in diffusion price processes. DONATE to...
4 days ago