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The Reformed Broker wrote a new blog post titled Hot Links: Devil’s Advocate
What I'm reading this morning ...
4 hours ago
The Psy-Fi Blog wrote a new blog post titled The Future is Made in the Bedroom, Not the Boardroom
RIP Hans Rosling Hans Rosling was, if you’re a data geek like me, a hero. His life was spent not just combating fake facts and opinion based decision making but also in finding new and imaginative ways of visualising real data. And he was in demand by corporations across the world because his work showed them where to invest. So obviously Rosling wasn’t an economist: he was a population statistician who built his ideas on data, rather than models. And what his data suggests is that the future is made in the bedroom, not the boardroom. Pollyanna? Unlike many people in his profession Rosling...
7 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Cohort effects in mortality modelling: a Bayesian state-space approach. (arXiv:1703.08282v1 [q-fin.ST])
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the generalised linear modelling framework. In this paper we approach the problem of mortality modelling with cohort factors incorporated through a novel formulation under a state-space methodology. In the process we demonstrate that cohort factors can be formulated naturally under the state-space framework, despite the fact that cohort factors are...
16 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping. (arXiv:1703.08534v1 [math.OC])
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an initial condition and view the problem as a stochastic control problem; we establish the corresponding dynamic programming principle.
16 hours ago
All About Alpha wrote a new blog post titled Survey Respondents: Market Volatility is the Gravest Threat Just Now
Natixis Global Asset Management is out with its annual survey of institutional investors and their views about alternative investors. The survey included institutions around the world and of many distinct classes: corporate and public pension funds, insurance funds, sovereign wealth funds, endowments/foundations, managing amongst them $15.5 trillion. The break-down ofRead More
16 hours ago
Econometrics Beat wrote a new blog post titled In Praise of Two Giants of Econometrics
Two giants in our field, now deceased, are celebrated in recent Working Papers by Peter Phillips and Timo Teräsvirta. Peter's paper is titled, "Tribute to T. W. Anderson", is in an issue of Econometric Theory that also includes ted's last published research paper. Timo's paper, which will be appearing in The Journal of Pure and Applied Mathematics, "Sir Clive Granger's contributions to nonlinear time series and econometrics". Both papers are essential reading, whether you have a...
23 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: ...
yesterday
Complexity Digest wrote a new blog post titled Network theory may explain the vulnerability of medieval human settlements to the Black Death pandemic
Epidemics can spread across large regions becoming pandemics by flowing along transportation and social networks. Two network attributes, transitivity (when a node is connected to two other nodes that are also directly connected between them) and centrality (the number and intensity of connections with the other nodes in the network), are widely associated with the dynamics of transmission of pathogens. Here we investigate how network centrality and transitivity influence vulnerability to diseases of human populations by examining one of the most devastating pandemic in human history, the...
2 days ago
Econometrics Beat wrote a new blog post titled A "Journal of Insignificant (Economic) Results"?
The Replication Network carried a guest blog post by Andrea Menclova this week. The post was titled, "Is it Time for a Journal of Insignificant Results?" I was previously unaware of the existence of such journals in Psychology, Biomedicine, and Ecology and Evolutionary Biology. Andrea calls for the introduction of such a journal in Economics, and she makes a really good point. Take a look at what she has to say! © 2017, David E. Giles
2 days ago
Complexity Digest wrote a new blog post titled Levitation of heavy particles against gravity in asymptotically downward flows
In the fluid transport of particles, it is generally expected that heavy particles carried by a laminar fluid flow moving downward will also move downward.  We establish a theory to show, however, that particles can be dynamically levitated and lifted by such flows, thereby moving against the flow and against gravity, even when they are orders of magnitude denser than the fluid. We suggest that this counterintuitive effect has potential implications for the air-transport of water droplets and the lifting of sediments in water.   Levitation of heavy particles against gravity and...
3 days ago
The Reformed Broker wrote a new blog post titled Hot Links: The Rules
What I'm reading this morning ...
3 days ago
OptiRisk Systems wrote a new blog post titled Bringing Financial applications of Sentiment Analysis to India and Hong Kong
In March 2017, OptiRisk were proud to have partnered with Indian Institute of Management Calcutta and UNICOM seminars to present at two conferences in Asia: AI, Machine Learning and Sentiment Analysis Applied to • Financial Markets • Consumer Markets 8-9 … Continue reading →
3 days ago
Mathematical Finance wrote a new blog post titled Super‐replication in fully incomplete markets
Abstract In this work, we introduce the notion of fully incomplete markets. We prove that for these markets, the super‐replication price coincides with the model‐free super‐replication price. Namely, the knowledge of the model does not reduce the super‐replication price. We provide two families of fully incomplete models: stochastic volatility models and rough volatility models. Moreover, we give several computational examples. Our approach is purely probabilistic.
3 days ago
The Bank for International Settlements wrote a new blog post titled Follow-up Basel III implementation assessment reports published by the Basel Committee
Press release about the Basel Committee publishing follow-up Basel III implementation assessment reports, 24 March 2017.
3 days ago
All About Alpha wrote a new blog post titled Investing in Renewable Energy’s Infrastructure
As AllAboutAlpha’s readers likely know, in December 2015, in Paris, representatives of 195 countries adopted a framework for the mitigation of the effects of the emissions of greenhouse gases. The framework (known simply as the Paris Agreement) aims to confine the increase in global average temperature to just 2? CRead More
4 days ago
Eze Castle Integration wrote a new blog post titled Essential Building Blocks to Hedge Fund Cyber Risk Management
The following article originally appeared in HFMWeek's Cyber Compliance Focus. It’s not enough to have strong security policies. And it’s not enough to have robust technologies in place to ward off cyber threats. In truth, it’s not even enough to have both of these. An effective cybersecurity program, rather, can only be achieved through a consistent and comprehensive strategy that touches layers across the entirety of the organization – from perimeter security and access control to policy enforcement and employee training. Without each of these building blocks,...
4 days ago
The Practical Quant wrote a new blog post titled Natural language analysis using Hierarchical Temporal Memory
[A version of this post appears on the O'Reilly Radar.]The O'Reilly Data Show Podcast: Francisco Webber on building HTM-based enterprise applications.Subscribe to the O’Reilly Data Show Podcast to explore the opportunities and techniques driving big data, data science, and AI. Find us on Stitcher, TuneIn, iTunes, SoundCloud, RSS.In this episode of the Data Show, I spoke with Francisco Webber, founder of Cortical.io, a startup that is applying tools based on Hierarchical Temporal Memory (HTM) to natural language understanding. While HTM has been around for more than a decade, there aren’t many...
4 days ago
The Reformed Broker wrote a new blog post titled Not to be missed!
Crazy schedule today – taking my kid to a doctor and then back to back to back calls. But I wanted to call your attention to a few things that are not to be missed… First, Ben Carlson, my firm’s director of institutional asset management, interviewed the founder of one of the non-profits we invest for. It’s......
4 days ago