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Introduction to QuantLib Development with Luigi Ballabio June 29th - July 1st, London

Sentiment Analysis in Finance 

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The Bank for International Settlements wrote a new blog post titled 21Apr/Basel Committee removes selected national discretions and replies to frequently asked question on funding valuation adjustment
Press release about the Basel Committee removing selected national discretions and replying to frequently asked question on funding valuation adjustment (21 April 2015)
41 minutes ago
The Aleph Blog wrote a new blog post titled On Negative Interest Rates
Photo Credit: Alcino || What is the sound of negative one hand clapping?As with many of my articles, this one starts with a personal story from my insurance business career (skip down four paragraphs to the end of the story if you want):25 years ago, when it was still uncommon, I wanted to go to an executive course at the Wharton School for actuaries that wanted to better understand investment math and markets.  I went to my boss at AIG (a notably tight-fisted firm on expenses) and asked if the company would pay for me to go… it was an exclusive course, and very expensive compared to...
2 hours ago
Complexity Digest wrote a new blog post titled Nonlinear Physics of Ecosystems (by Ehud Meron)
Nonlinear Physics of Ecosystems introduces the concepts and tools of pattern formation theory and demonstrates their utility in ecological research using problems from spatial ecology. Written in language understandable to both physicists and ecologists in most parts, the book reveals the mechanisms of pattern formation and pattern dynamics. It also explores the implications of these mechanisms in important ecological problems.The first part of the book gives an overview of pattern formation and spatial ecology, showing how these disparate research fields are strongly related to one another....
9 hours ago
Complexity Digest wrote a new blog post titled Work, Sex, and Power: The Forces that Shaped Our History (by Willie Thompson)
Determining the forces that have shaped our history is always a contentious matter. Seen through the work of authors from Jared Diamond to Eric Hobsbawm, people’s fascination with what drives the actions of the human race is inexhaustible. In Work, Sex and Power, Willie Thompson deploys decades of experience as a historian in order to re-establish a materialist narrative of the entire span of human history, drawing on a vast range of contemporary research. This book seeks to reach a much wider audience than his previous, more academic books. Purged of any jargon, this volume will be...
9 hours ago
Complexity Digest wrote a new blog post titled Nonlinear Dynamics of Financial Crises: How to Predict Discontinuous Decisions (by Ionut Purica)
When just a handful of economists predicted the 2008 financial crisis, people should wonder how so many well educated people with enormous datasets and computing power can be so wrong. In this short book Ionut Purica joins a growing number of economists who explore the failings of mainstream economics and propose solutions developed in other disciplines, such as sociology and evolutionary biology. While it might be premature to call for a revolution, Dr. Purica echoes John Maynard Keynes in believing that economic ideas are "dangerous for good or evil." In recent years evil seems to have had...
9 hours ago
Complexity Digest wrote a new blog post titled Chaos, complexity and transport: CCT'15
CCT'15 is the third edition of the "Chaos, Complexity and Transport" conference series, following CCT'07 and CCT'11 . It will be held in Marseilles in the Pharo area from the 1st to 5th June 2015.The aim of this international conference is to bring together experimentalists and theoriticians from various fields to discuss non-linear phenomenas related to chaos, complexity and transport. The committees will thus encourage interdisciplinary contributions as well as contributions related to the following topics : Chaos, Transport, Complex systems, Self-organization, Hamiltonian systems, Mixing,...
9 hours ago
FINalternatives wrote a new blog post titled Global Hedge Fund Assets Hit New Record in First Quarter 2015
Global hedge fund assets surged to a new record in the beginning 2015, as first-quarter performance gains through the volatile macroeconomic environment attracted the largest capital inflow since the second quarter of 2014.  read more
9 hours ago
The Reformed Broker wrote a new blog post titled Did IBM’s Watson nail my personality?
Here's what Watson spit out about me, based on a recent post I wrote: ...
9 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs. (arXiv:1504.04682v1 [q-fin.TR])
This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal times to enter and subsequently exit the market, when prices are driven by an exponential Ornstein-Uhlenbeck process. In addition, we analyze a related optimal switching problem that involves an infinite sequence of trades, and identify the conditions under which the double stopping and switching problems admit the same optimal entry and/or exit timing strategies. Among our results, we find that the investor...
9 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Time-consistency of risk measures with GARCH volatilities and their estimation. (arXiv:1504.04774v1 [q-fin.RM])
In this paper we study time-consistent risk measures for returns that are given by a GARCH$(1,1)$ model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study in detail our construction for the risk measures Value-at-Risk (VaR) and Average Value-at-Risk (AVaR). While in the VaR case we can derive an analytical formula for its time-consistent counterpart, in the AVaR case we derive lower and upper bounds to its time-consistent version. Furthermore, we incorporate techniques from Extreme Value Theory (EVT) to...
9 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Forecasting the term structure of crude oil futures prices with neural networks. (arXiv:1504.04819v1 [q-fin.GN])
The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed framework is empirically tested on 24 years of crude oil futures prices covering several important recessions and crisis periods. We find 1-month, 3-month, 6-month and 12-month-ahead forecasts obtained from focused time-delay neural network to be significantly more accurate than forecasts from other benchmark...
9 hours ago
All About Alpha wrote a new blog post titled Tax & Election Seasons Create Alternative Altercations in the US
As a general rule, politicians [mostly] on the Democratic side benefit by raising the issue of the taxation of carried interest during campaigns and then quietly letting it die, as their donors expect, when the legislature is actually working on tax bills. It's a way of signaling who is a "populist" and who isn't.
10 hours ago
Numerix LLC wrote a new blog post titled Structured Products Update: Embracing Model Risk Challenges and Opportunities
Numerix CMO Jim Jockle discusses Fed Guidance SR 11-7 and the latest challenges and opportunities involved with implementing an effective model risk framework.
14 hours ago
Complexity Digest wrote a new blog post titled 1st Collaborative Data Science Conference
The financial industry is experiencing unprecedented transformation. This period is giving rise to challenges and tremendous opportunities. This first ever conference at TD Ameritrade is designed to bring together business and academia to collaborate and advance theoretical knowledge to find impactful solutions. Additionally, it's designed to stimulate novel applied research activity that provides actionable insights for investors, regulators, innovators and scientists.1st Collaborative Data Science ConferenceJune 10-11, 2015 | Jersey City, NJhttp://www.datasciencecollab.comSee it on...
16 hours ago
FINalternatives wrote a new blog post titled AQR Shutters $445M Reinsurance Unit
Global investment management giant AQR Capital has exited the reinsurance business. read more
17 hours ago
FINalternatives wrote a new blog post titled H.I.G. Capital Appoints Penchas to Latin America Advisory Board
Private equity firm H.I.G. Capital announced it has appointed Henri Penchas to its Latin America Advisory Board. read more
17 hours ago
FINalternatives wrote a new blog post titled Hedge Funds Increasingly Bullish on Crude Oil as Production Drops
Slowing U.S. production of crude oil is encouraging hedge funds to take more bullish positions on the commodity. read more
17 hours ago
FINalternatives wrote a new blog post titled TPG Taps Sisitsky as North American PE Head
Private equity firm TPG Capital has put Todd Sisitsky in charge of its North American private equity business. read more
17 hours ago
The Reformed Broker wrote a new blog post titled Chart o’ the Day: Americans have all the feels again
Gallup: WASHINGTON, D.C. — A majority of Americans, 52%, say their financial situation is “getting better,” the highest percentage to say this since 2004. It is also the first time since the recession that this sentiment has reached the majority level. These data are from a Gallup’s annual Economy and Finance survey, poll conducted April......
17 hours ago