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The Bank for International Settlements wrote a new blog post titled Central bank Governors welcome global code of conduct for currency markets
Press release about "Central bank Governors welcoming global code of conduct for currency markets", 25 May 2017.
3 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A Quantum-like Model of Selection Behavior. (arXiv:1705.08536v1 [q-fin.EC])
In this paper, we introduce a new model of selection behavior under risk that describes an essential cognitive process for comparing values of objects and making a selection decision. This model is constructed by the quantum-like approach that employs the state representation specific to quantum theory, which has the mathematical framework beyond the classical probability theory. We show that our quantum approach can clearly explain the famous examples of anomalies for the expected utility theory, the Ellsberg paradox, the Machina paradox and the disparity between WTA and WTP. Further, we...
10 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Financial Time Series Forecasting: Semantic Analysis Of Economic News. (arXiv:1705.08545v1 [q-fin.GN])
The paper proposes a method of financial time series forecasting taking into account the semantics of news. For the semantic analysis of financial news the sampling of negative and positive words in economic sense was formed based on Loughran McDonald Master Dictionary. The sampling included the words with high frequency of occurrence in the news of financial markets. For single-root words it has been left only common part that allows covering few words for one request. Neural networks were chosen for modeling and forecasting. To automate the process of extracting information from the...
10 hours ago
Complexity Digest wrote a new blog post titled Warnings and Caveats in Brain Controllability
In this work we challenge the main conclusions of Gu et al work (Controllability of structural brain networks. Nature communications 6, 8414, doi:10.1038/ncomms9414, 2015) on brain controllability. Using the same methods and analyses on four datasets we find that the minimum set of nodes to control brain networks is always larger than one. We also find that the relationships between the average/modal controllability and weighted degrees also hold for randomized data and the there are not specific roles played by Resting State Networks in controlling the brain. In conclusion, we show that...
19 hours ago
Complexity Digest wrote a new blog post titled Unintended Consequences with Complexity Scientist Yaneer Bar-Yam
Stream 055 – Unintended Consequences with Complexity Scientist Yaneer Bar-Yam by HumanCurrent Source: soundcloud.com
20 hours ago
The Bank for International Settlements wrote a new blog post titled Implementation monitoring of the PFMI: Level 2 assessment report for Hong Kong SAR
Press release about the "Implementation monitoring of the PFMI: Level 2 assessment report for Hong Kong SAR" issued by CPMI-IOSCO, May 2017.
22 hours ago
The Reformed Broker wrote a new blog post titled Mission to Boston
I'm on a Top Secret mission to Boston today......
22 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies. (arXiv:1705.08022v1 [q-fin.TR])
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive performance, a multiple pairs trading strategy on major currency pairs was implemented. To improve the algorithm's performance, machine learning forecasts of a series of pertinent macroeconomic variables were factored in, by optimizing the weights of the trading signals. This resulted in a clear improvement in the APR over the evaluation period, demonstrating...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Can Everyone Benefit from Social Integration?. (arXiv:1705.08033v1 [q-fin.EC])
There is no matching mechanism that satisfies integration monotonicity and stability. If we insist on integration monotonicity, not even Pareto optimality can be achieved: the only option is to remain segregated. A weaker monotonicity condition can be combined with Pareto optimality but not with path independence, which implies that the dynamics of social integration matter. If the outcome of integration is stable, integration is always approved by majority voting, but a non-vanishing fraction of agents always oppose segregation. The side who receives the proposals in the deferred...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Herding boosts too-connected-to-fail risk in stock market of China. (arXiv:1705.08240v1 [q-fin.GN])
The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and accordingly miss the exact knowledge of how panic contagion leads to abrupt crash. In this paper, by networking stocks of sharing common mutual funds, a new methodology of investigating the the market crash from the perspective of investor behavior is presented. It is surprisingly revealed that the herding, which origins in the mimic of seeking for high...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Sensitivity analysis of the utility maximization problem with respect to model perturbations. (arXiv:1705.08291v1 [q-fin.PM])
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled with a general utility function, we obtain a second-order expansion of the value function, a first-order approximation of the terminal wealth, and construct trading strategies that match the indirect utility function up to the second order. If a risk-tolerance wealth process exists, using it as a num\'eraire and under an appropriate change of measure, we...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Data and uncertainty in extreme risks; a nonlinear expectations approach. (arXiv:1705.08301v1 [math.ST])
Estimation of tail quantities, such as expected shortfall or Value at Risk, is a difficult problem. We show how the theory of nonlinear expectations, in particular the Data-robust expectation introduced in [4], can assist in the quantification of statistical uncertainty for these problems. However, when we are in a heavy-tailed context (in particular when our data are described by a Pareto distribution, as is common in much of extreme value theory), the theory of [4] is insufficient, and requires an additional regularization step which we introduce. By asking whether this regularization is...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate. (arXiv:1705.08411v1 [q-fin.MF])
Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual risk model, under a stochastic interest rate, assuming the discounting factor follows a geometric Brownian motion or exponential L\'evy process. We will show that closed form solutions can be obtained.
yesterday
Complexity Digest wrote a new blog post titled A Guide to Temporal Networks
Network science offers a powerful language to represent and study complex systems composed of interacting elements from the Internet to social and biological systems. In its standard formulation, this framework relies on the assumption that the underlying topology is static, or changing very slowly as compared to dynamical processes taking place on it, e.g., epidemic spreading or navigation. Fuelled by the increasing availability of longitudinal networked data, recent empirical observations have shown that this assumption is not valid in a variety of situations. Instead, often the network...
yesterday
Complexity Digest wrote a new blog post titled Chaos, Information Processing and Paradoxical Games: The Legacy of John S Nicolis
This volume provides a self-contained survey of the mechanisms presiding information processing and communication. The main thesis is that chaos and complexity are the basic ingredients allowing systems composed of interesting subunits to generate and process information and communicate in a meaningful way. Emphasis is placed on communication in the form of games and on the related issue of decision making under conditions of uncertainty. Biological, cognitive, physical, engineering and societal systems are approached from a unifying point of view, both analytically and by numerical...
2 days ago
Complexity Digest wrote a new blog post titled Benoit Mandelbrot: A Life in Many Dimensions
This is a collection of articles, many written by people who worked with Mandelbrot, memorializing the remarkable breadth and depth of his work in science and the arts. Contributors include mathematicians, physicists, biologists, economists, and engineers, as expected; and also artists, musicians, teachers, an historian, an architect, a filmmaker, and a comic. Some articles are quite technical, others entirely descriptive. All include stories about Benoit. Also included are chapters on fractals and music by Charles Wuorinen and by Harlan Brothers, on fractals and finance by Richard Hudson and...
2 days ago
Econometrics Beat wrote a new blog post titled Staying on Top of the Literature
Recently, 'Michael' placed the following comment on one of my posts: "Thanks for sharing this interesting list of articles! I'm wondering, how do you go about finding these types of articles to read? Are you a subscriber to these publications/do you regularly check for new updates online? I'd like to start keeping more up to date with academic articles, but I'm not sure where to start." Well, that's a good question, Michael. And I'm sure that there are many undergraduate students and...
2 days ago
The Reformed Broker wrote a new blog post titled Hot Links: If Wishes Come True
What I'm reading this morning ...
2 days ago
Journal of Finance wrote a new blog post titled What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach
ABSTRACT I decompose the variation of credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses. Using a log‐linearized pricing identity and a vector autoregression applied to micro‐level data from 1973 to 2011, I find that expected returns contribute to the cross‐sectional variance of credit spreads nearly as much as expected credit loss does. However, most of the time‐series variation in credit spreads for the market portfolio corresponds to risk premiums.
2 days ago