point

 

 Remember me

Register  |   Lost password?


 

Recent members

 

 

Show:
Bala has joined MoneyScience 9 days ago
Quantitative Finance at arXiv wrote a new blog post titled Stacking with Neural network for Cryptocurrency investment. (arXiv:1902.07855v1 [stat.ML])
Predicting the direction of assets have been an active area of study and a difficult task. Machine learning models have been used to build robust models to model the above task. Ensemble methods is one of them showing results better than a single supervised method. In this paper, we have used generative and discriminative classifiers to create the stack, particularly 3 generative and 9 discriminative classifiers and optimized over one-layer Neural Network to model the direction of price cryptocurrencies. Features used are technical indicators used are not limited to trend, momentum, volume,...
58 days ago
Quantitative Finance at arXiv wrote a new blog post titled Deep Adaptive Input Normalization for Price Forecasting using Limit Order Book Data. (arXiv:1902.07892v1 [q-fin.CP])
Deep Learning (DL) models can be used to tackle time series analysis tasks with great success. However, the performance of DL models can degenerate rapidly if the data are not appropriately normalized. This issue is even more apparent when DL is used for financial time series forecasting tasks, where the non-stationary and multimodal nature of the data pose significant challenges and severely affect the performance of DL models. In this work, a simple, yet effective, neural layer, that is capable of adaptively normalizing the input time series, while taking into account the distribution of...
58 days ago
Quantitative Finance at arXiv wrote a new blog post titled What is the central bank of Wikipedia?. (arXiv:1902.07920v1 [cs.SI])
We analyze the influence and interactions of 60 largest world banks for 195 world countries using the reduced Google matrix algorithm for the English Wikipedia network with 5 416 537 articles. While the top asset rank positions are taken by the banks of China, with China Industrial and Commercial Bank of China at the first place, we show that the network influence is dominated by USA banks with Goldman Sachs being the central bank. We determine the network structure of interactions of banks and countries and PageRank sensitivity of countries to selected banks. We also present GPU oriented...
58 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
 How to trade Roku ahead of earnings and the view on Albemarle in #AskHalftime from CNBC. Wells Fargo’s bearish bank call from CNBC. Final Trades: Winnebago, Albemarle, Disney, Solid Bio & Monster Beverage from CNBC....
59 days ago
The Practical Quant wrote a new blog post titled The evolution and expanding utility of Ray
[A version of this post appears on the O'Reilly Radar.]There are growing numbers of users and contributors to the framework, as well as libraries for reinforcement learning, AutoML, and data science.In a recent post, I listed some of the early use cases described in the first meetup dedicated to Ray—a distributed programming framework from UC Berkeley’s RISE Lab. A second meetup took place a few months later, and both events featured some of the first applications built with Ray. On the development front, the core API has stabilized and a lot of work has gone into improving Ray’s performance...
59 days ago
Quantitative Finance at arXiv wrote a new blog post titled Market Impact: A Systematic Study of the High Frequency Options Market. (arXiv:1902.05418v3 [q-fin.TR] UPDATED)
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller pieces before being sent to the market on one of the main Asian markets. In line with our previous work on the equity market [Said et al., 2018], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar...
59 days ago
Quantitative Finance at arXiv wrote a new blog post titled Divestment may burst the carbon bubble if investors' beliefs tip to anticipating strong future climate policy. (arXiv:1902.07481v1 [q-fin.GN])
To achieve the ambitious aims of the Paris climate agreement, the majority of fossil-fuel reserves needs to remain underground. As current national government commitments to mitigate greenhouse gas emissions are insufficient by far, actors such as institutional and private investors and the social movement on divestment from fossil fuels could play an important role in putting pressure on national governments on the road to decarbonization. Using a stochastic agent-based model of co-evolving financial market and investors' beliefs about future climate policy on an adaptive social network,...
59 days ago