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Magic, Maths and Money wrote a new blog post titled Quaker bankers: building trust on the basis of sincerity, reciprocity and charity
This post follows discussions of the norms sincerity, reciprocity and charity in financial markets. It suggests that the success of Quaker finance, that funded the British Industrial Revolution (the Darby's of Coalbrookdale, the Stockton and Darlington Railway) was based on trust built on the norms. A full argument is in a working paper Discourse Ethics for Debt Markets.Trust is defined as “a firm belief in the reliability, truth or ability of someone”. Accounts of how trust is developed vary, however they involve terms connected to sincerity, such as: honesty, integrity,...
an hour ago
Quantitative Finance at arXiv wrote a new blog post titled Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices. (arXiv:1602.01960v1 [q-fin.ST])
The assessment of co-movement among metals is crucial to better understand the behaviors of the metal prices and the interactions with others that affect the changes in prices. In this study, both Wavelet Analysis and VARMA (Vector Autoregressive Moving Average) models are utilized. First, Multiple Wavelet Coherence (MWC), where Wavelet Analysis is needed, is utilized to determine dynamic correlation time interval and scales. VARMA is then used for forecasting which results in reduced errors. The daily prices of steel, aluminium, copper and zinc between 10.05.2010 and 29.05.2014 are analyzed...
10 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Issues with the Smith-Wilson method. (arXiv:1602.02011v1 [q-fin.PR])
The objective of the present paper is to analyse various features of the Smith-Wilson method used for discounting under the EU regulation Solvency II, with special attention to hedging. In particular, we show that all key rate duration hedges of liabilities beyond the Last Liquid Point will be peculiar. Moreover, we show that there is a connection between the occurrence of negative discount factors and singularities in the convergence criterion used to calibrate the model. The main tool used for analysing hedges is a novel stochastic representation of the Smith-Wilson method. Further, we...
10 hours ago
All About Alpha wrote a new blog post titled AIMA Suggests Third Method For Leverage Measurement
At present, AIFMD allows for either a gross or a commitment method of measuring leverage. AIMA has suggested a third method. The Context The European Commission has issued a “call for evidence” on the EU regulatory framework for financial services. One of the comments the EC received on this subjectRead More
12 hours ago
Complexity Digest wrote a new blog post titled What is Information?
Information is a precise concept that can be defined mathematically, but its relationship to what we call "knowledge" is not always made clear. Furthermore, the concepts "entropy" and "information", while deeply related, are distinct and must be used with care, something that is not always achieved in the literature. In this elementary introduction, the concepts of entropy and information are laid out one by one, explained intuitively, but defined rigorously. I argue that a proper understanding of information in terms of prediction is key to a number of disciplines beyond engineering, such as...
14 hours ago
The Reformed Broker wrote a new blog post titled This Week on TRB
These were the most read posts on the site this week, in case you missed it: ...
20 hours ago
The Reformed Broker wrote a new blog post titled We’re going down!
Watch the video inside. ...
23 hours ago
Complexity Digest wrote a new blog post titled P-values: misunderstood and misused
P-values are widely used in both the social and natural sciences to quantify the statistical significance of observed results. The recent surge of big data research has made p-value an even more popular tool to test the significance of a study. However, substantial literature has been produced critiquing how p-values are used and understood. In this paper we review this recent critical literature, much of which is routed in the life sciences, and consider its implications for social scientific research. We provide a coherent picture of what the main criticisms are, and draw together and...
Complexity Digest wrote a new blog post titled How ecosystems change
Human impacts on the planet, including anthropogenic climate change, are reshaping ecosystems in unprecedented ways. To meet the challenge of conserving biodiversity in this rapidly changing world, we must understand how ecological assemblages respond to novel conditions (1). However, species in ecosystems are not fixed entities, even without human-induced change. All ecosystems experience natural turnover in species presence and abundance. Taking account of this baseline turnover in conservation planning could play an important role in protecting biodiversity.How ecosystems change Anne E....
Complexity Digest wrote a new blog post titled In retrospect: The selfish gene
Books about science tend to fall into two categories: those that explain it to lay people in the hope of cultivating a wide readership, and those that try to persuade fellow scientists to support a new theory, usually with equations. Books that achieve both — changing science and reaching the public — are rare. Charles Darwin's On the Origin of Species (1859) was one. The Selfish Gene by Richard Dawkins is another. From the moment of its publication 40 years ago, it has been a sparkling best-seller and a scientific game-changer.In retrospect: The selfish geneMatt RidleyNature 529,...
2 days ago
Steve Keen's Debtwatch wrote a new blog post titled Our Dysfunctional Monetary System
The great tragedy of the global economic malaise is that it is caused by a shortage of something that is essentially costless to produce: money. Click here to read the rest of this post.
2 days ago
Complexity Digest wrote a new blog post titled Sentiment analysis and the complex natural language
There is huge amount of content produced online by amateur authors, covering a large variety of topics. Sentiment analysis (SA) extracts and aggregates users’ sentiments towards a target entity. Machine learning (ML) techniques are frequently used as the natural language data is in abundance and has definite patterns. ML techniques adapt to domain specific solution at high accuracy depending upon the feature set used. The lexicon-based techniques, using external dictionary, are independent of data to prevent overfitting but they miss context too in specialized domains. Corpus-based...
2 days ago
Complexity Digest wrote a new blog post titled Disentangling the Effects of Social Signals
In peer recommendation systems, social signals affect item popularity about half as much as position and content do, and further create a "herding" effect that biases people's judgments about the content.Disentangling the Effects of Social SignalsTad Hogg & Kristina Lerman ·Human Computation 2(2)http://hcjournal.org/ojs/index.php?journal=jhc&page=article&op=view&path%5B%5D=59&path%5B%5D=59 See it on Scoop.it, via Papers
2 days ago
Complexity Digest wrote a new blog post titled Introduction to the modeling and analysis of complex systems: a review
Hiroki Sayama’s book “Introduction to the Modeling and Simulation of Complex Systems” is therefore a unique and welcome addition to any instructor’s collection. What makes it valuable is that it not only presents a state-of-the-art review of the domain but also serves as a gentle guide to learning the sophisticated art of modeling complex systems.The book is primarily composed of three types of chapters: preliminary chapters followed by logically interspersed modeling and analysis chapters. It has been designed for use both in basic as well as advanced courses spanning...
2 days ago
Complexity Digest wrote a new blog post titled System under large stress: Prediction and management of catastrophic failures
The tensile strength of a chain is determined by its weakest link. Does this idea apply to more complex systems too? For instance, does the weakest thread of a spider web initiate cascading failure, when a strong wind gust is stretching the web to its limit? What happens to a computer when both the supply voltage and the ambient temperature are more than 20% outside its normal range of operations?Climate change, an increasingly more densely populated world and the rapid change of technology seem to put more systems under large stress. Engineering sustainable...
2 days ago
Complexity Digest wrote a new blog post titled Innovation diffusion on time-varying activity driven networks
Since its introduction in the 1960s, the theory of innovation diffusion has contributed to the advancement of several research fields, such as marketing management and consumer behavior. The 1969 seminal paper by Bass [F.M. Bass, Manag. Sci. 15, 215 (1969)] introduced a model of product growth for consumer durables, which has been extensively used to predict innovation diffusion across a range of applications. Here, we propose a novel approach to study innovation diffusion, where interactions among individuals are mediated by the dynamics of a time-varying network. Our approach is based on...
2 days ago
The Bank for International Settlements wrote a new blog post titled 05Feb/Signs of global liquidity tightening for emerging markets
Press release about the lecture "Credit, commodities and currencies" by Mr Jaime Caruana, General Manager of the BIS, at the London School of Economics and Political Science, London, 5 February 2016.
3 days ago
Complexity Digest wrote a new blog post titled Google AI algorithm masters ancient game of Go
A computer has beaten a human professional for the first time at Go — an ancient board game that has long been viewed as one of the greatest challenges for artificial intelligence (AI).The best human players of chess, draughts and backgammon have all been outplayed by computers. But a hefty handicap was needed for computers to win at Go. Now Google’s London-based AI company, DeepMind, claims that its machine has mastered the game.Complexity Digest's insight:See Also: Mastering the game of Go with deep neural networks and tree searchDavid Silver, Aja Huang, Chris J. Maddison,...
3 days ago
Complexity Digest wrote a new blog post titled Crucial steps to life: From chemical reactions to code using agents
The concepts of the origin of the genetic code and the definitions of life changed dramatically after the RNA world hypothesis.See it on Scoop.it, via Papers
3 days ago