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MoneyScience Financial Training: Introduction to QuantLib Development with Luigi Ballabio - September 22-24, London, UK - Further Information
GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi - October 29-31, London, UK - Further Information

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Quantitative Finance at arXiv wrote a new blog post titled One-level limit order books with sparsity and memory. (arXiv:1407.5684v1 [q-fin.TR])
Motivated by Cont and Larrard (2013)'s seminal Limit Order Book (LOB) model, we propose two continuous-time models for the level I of a LOB in which the arrivals of limit orders, market orders, and cancellations are assumed to be mutually independent, memoryless, and stationary, but, unlike the aforementioned paper, the proposed models also account for some of the sparsity and memory exhibited by real LOB dynamics. Specifically, the first proposed model allows for variable price shifts after each price change in order to account for some of the larger-than-usual "gaps" between levels...
an hour ago
Quantitative Finance at arXiv wrote a new blog post titled Linear vector optimization and European option pricing under proportional transaction costs. (arXiv:1407.5877v1 [q-fin.PR])
A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Lohne & Rudloff (2014) is compared to a special case of the algorithms for American type derivatives due to Roux & Zastawniak (2014). An equivalence between these two approaches is established by means of a general result linking the support function of the upper image of a linear vector optimisation problem with the lower image of the dual linear optimisation problem.
an hour ago
All About Alpha wrote a new blog post titled Winner Takes All, and Liquidity Takers Win
It does appear that speed is helpful in generating alpha. How is it helpful? Here there are two views, and the less HFT-friendly of these views has received some scholarly/empirical support.
2 hours ago
Eze Castle Integration wrote a new blog post titled BCP Testing Outside the Conference Room: Hello, Real World
When most people envision Business Continuity Planning (BCP) and testing, they conjure up images of conference rooms, hardcopy documents, projectors and key personnel. But the real world is a different reality. In recent memory, there have been many situations that have disrupted businesses - be it by natural disaster or as a result of human interference. In either event, people need to be able to reestablish essential business functions, communicate, and make decisions as quickly and easily as possible. Although many organizations do an annual BCP review, the big question is whether they...
6 hours ago
Cardinal wrote a new blog post titled NAPIER PARK GLOBAL CAPITAL ANNOUNCES THE COMPLETION OF CITI’S $2.4 BILLION REDEMPTION; CLIENT AUM AT APPROXIMATELY $6 BILLION
Napier Park Global Capital (“Napier Park”), the $6 billion global alternative asset management firm that spun out of Citi in March 2013, today announced that in just 18 months it has successfully replaced Citi’s  $2.4 billion, LP investment through both existing and new institutional investors. As a result, Citi is no longer an investor in any of Napier Park’s hedge funds.  
8 hours ago
Asymptotix wrote a new blog post titled STRESS-TESTS: EU FINANCIAL REGULATORS COMPLY WITH POLITICAL BIAS MORE THAN BASEL II
STRESS-TESTS: EU FINANCIAL REGULATORS COMPLY WITH POLITICAL BIAS MORE THAN BASEL II LAWS TO OFFER ABSURD MACRO-ECONOMICS NARRATIVES? by Robert McDowell Stress-tests are supposedly harmonised, at least for banks in the banking sectors of each country, but not across all EU member states, to test for shocks to a country's banking system when current risk assessments are suddenly inverted by falls in investment, in consumer demand, savings, loans, and by fast rising long term bond yields, and when presumably wholesale financial markets become 'one-way' (either buy-buy or...
10 hours ago
TradingSmarter wrote a new blog post titled Lee Sanders Discusses AXA IM’s Move to TradingScreen for FX
Recent changes in the marketplace and increased regulation have  changed the demands of the buyside traders, as they seek the most cost effective way to have direct market access, best execution, and capture more liquidity. In the Summer 2014 issue of Best Execution, Lee Sanders, the Head of Execution for FX & MM and UK & Asia Fixed Income Trading at AXA Investment Managers, discusses why AXA has moved to TradingScreen for Foreign Exchange.   “There are around 33 fixed income trading initiatives in the market and one of the big questions that the buyside will ask is which...
10 hours ago
iMFdirect wrote a new blog post titled Euro Area: An Unbalanced Rebalancing?
By John Bluedorn and Shengzu Wang Since the financial crisis, the euro area current account, made up mostly of the trade balances of the individual countries, has moved from rough balance into a clear surplus. But the underlying rebalancing across economies within the euro area has been highly asymmetric, with some debtors, like Greece, Ireland, and Spain, seeing large current account improvements (sometimes into surplus), while creditors, like Germany and the Netherlands, have basically maintained their surpluses (Chart 1). A set of new staff papers look at the drivers of the improvements in...
11 hours ago
FINalternatives wrote a new blog post titled Allergan Plans Job Cuts As Ackman Pushes For Vote
Allergan Inc. and Pershing Square Capital Management are making their pitches for their opposing views on a proposed $53 billion deal for the Botox maker. Allergan today announced stronger-than-expected second-quarter profits and boosted its earnings outlook for the rest of the year. It also announced plans to cut 13% of its workforce, a move that will save $475 million next year. read more
15 hours ago
FINalternatives wrote a new blog post titled Ackman Ready To Hammer ‘Latest Nail To Herbalife’s Coffin’
Does William Ackman finally have the goods on Herbalife, the nutritional supplements company he’s branded a pyramid scheme? read more
15 hours ago
FINalternatives wrote a new blog post titled Highfields Risk Chief Co-Founder Of Ex-SAC Exec.’s New Firm
Highfields Capital Management’s chief risk officer is the co-founder of former SAC Capital Advisors chief operating officer Solomon Kumin’s new hedge fund. read more
15 hours ago
FINalternatives wrote a new blog post titled Azentus Bounces Back In Q2
Prominent Asian hedge fund Azentus Capital Management put an end to its slide in the second quarter. read more
15 hours ago
FINalternatives wrote a new blog post titled Hedge Fund Assets Hit $2.8 Trillion
Another quarter, another all-time high for hedge fund assets. read more
15 hours ago
FINalternatives wrote a new blog post titled Hedge Funds Expect Returns Of Less Than 6% This Year
Hedge fund investors disappointed by last year’s subpar returns should expect more—or, perhaps more accurately, less—of the same this year. read more
15 hours ago
FINalternatives wrote a new blog post titled RenTech Co-CEO Brown To Testify On Tax Strategy
One of Renaissance Technologies’ two co-CEOs will travel to Capitol Hill tomorrow to defend his firm’s use of a controversial tax practice. read more
15 hours ago
FINalternatives wrote a new blog post titled Hedge Funds Slash Long Oil Holdings
Hedge funds exited bullish bets on oil en masse earlier this month. read more
15 hours ago
FINalternatives wrote a new blog post titled Citi Prime Brokerage’s Roe To Quit
A top Citigroup prime brokerage executive is set to leave the bank after more than a decade. read more
15 hours ago
FINalternatives wrote a new blog post titled Lichtenstein Can’t Escape Huge Child Support Order
Steel Partners founder Warren Lichtenstein must continue to pay $50,000 per month in child support to his ex-girlfriend, a New York judge has ruled. read more
15 hours ago
Tales from a Trading Desk wrote a new blog post titled Corporate Data Architecture – Fast Data and Big Data.
The VoltDB blog has a number of interesting articles on Corporate Data Architecture.  The Fast Data stack is somewhat different from a lambda architecture that has been discussed on various blog in the context of real-time big data.  Clearly Fast Data is a VoltDB database based on VoltDB’s view of the world. However, summingbird and other such stacks also have merit.  As does samza and Kafka. Lets assume I want to serve knowledge and analytics from ingesting web site click data, pricing, execution and trade data, to power a salespersons trading cockpit.  What should/could I use?
15 hours ago
The Financial Services Club wrote a new blog post titled Financial Institutions Unprepared For Digital Future
My good friend Jim Marous who recently joined The Financial Brand, asked me to make a comment about this new report from Bain. It’s not a bad report and is a slight improvement on this one from McKinsey on The Rise of the Digital Bank, but it’s not as strong as what you will hear from leading digital innovators.  So Jim kindly asked Brett King and I to provide input on the report, and here's the result.  Interesting. Financial Institutions Unprepared For Digital Future July 21, 2014  There is no question that banking is quickly becoming a digital...
15 hours ago