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Introduction to QuantLib Development with Luigi Ballabio - London, November 14 - 16th, 2016 - http://bit.ly/QuantLib-2016

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The Reformed Broker wrote a new blog post titled The Opposite of the Evidence-Based Investment Conference
Here's the opposite of our event. Knock yourself out: ...
5 hours ago
The Practical Quant wrote a new blog post titled Why businesses should pay attention to deep learning
[A version of this post appears on the O'Reilly Radar.]The O’Reilly Data Show Podcast: Christopher Nguyen on the early days of Apache Spark, deep learning for time-series and transactional data, innovation in China, and AI.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 O’Reilly Data Show, I spoke with Christopher Nguyen, CEO and co-founder of Arimo. Nguyen and Arimo were among the first adopters and proponents of Apache Spark, Alluxio,...
10 hours ago
Numerical Algorithms Group wrote a new blog post titled Calling NAG Routines from Julia
Julia Computing was founded in 2015 by the co-authors of the Julia programming language to help private businesses, government agencies and others develop and implement Julia-based solutions to their big data and analytics problems. Julia is an open-source language for high-performance technical computing created by some of the best minds in mathematical and statistical computing. Reid Atcheson, Accelerator Software Engineer, NAG, and Andy Greenwell, Senior Application Engineer, Julia Computing, have teamed up to ensure that NAG Library routines can be called from the Julia language. Read...
11 hours ago
The Reformed Broker wrote a new blog post titled Hot Links: A Bad Rap
What I'm reading this morning ...
12 hours ago
The Aleph Blog wrote a new blog post titled Watch Net Income Double in Two Years, Not
Data Source: Media General || Note: Do not cite or republish this graph without publishing the limitations paragraph below.=====================Before I start this evening, I want to state again that I welcome comments at this blog. It may not seem so from the last few months, but I have shaken the bugs out of the software that protects my blog, which was hypersensitive on comments. The only thing I ask of commenters is that you be polite and clean in your speech. Disagree with me as you like — hey, even I have doubts about my more extreme positions. LimitationsThe graph above and the...
14 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Centrality measures in networks based on nodes attributes, long-range interactions and group influence. (arXiv:1610.05892v1 [cs.SI])
We propose a new method for assessing agents influence in network structures, which takes into consideration nodes attributes, individual and group influences of nodes, and the intensity of interactions. This approach helps us to identify both explicit and hidden central elements which cannot be detected by classical centrality measures or other indices.
24 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Network reconstruction via density sampling. (arXiv:1610.05494v1 [physics.soc-ph] CROSS LISTED)
Reconstructing weighted networks from partial information is necessary in many important circumstances, e.g. for a correct estimation of systemic risk. It has been shown that, in order to achieve an accurate reconstruction, it is crucial to reliably replicate the empirical degree sequence, which is however unknown in many realistic situations. More recently, it has been found that the knowledge of the degree sequence can be replaced by the knowledge of the strength sequence, which is typically accessible, complemented by that of the total number of links, thus considerably relaxing the...
24 hours ago
Timing Logic wrote a new blog post titled The Age Of Ignorance Gives Way To The Age Of Enlightenment (Aquarius)
I’m literally the only person on this planet who has written about so many things that are unfolding in the world today.  And things I was writing about many years ago are now starting to reveal themselves. Things just about no one ever could consider as possible.  That doesn’t mean in any way I am some kind of savant. But, what I do attribute it to is the unprecedented level of brainwashing that exists. Almost no one who could care to write anything for general consumption about sociology, economics, monetary theory or whatnot seems to know who they really are.  They are all...
The Reformed Broker wrote a new blog post titled QOTD: On Doing Nothing
The quote above perfectly describes the in-house research program...
The Reformed Broker wrote a new blog post titled RIAs smile more than brokers
TD Ameritrade Institutional, my firm’s primary custodian and the third largest in the industry, just commissioned an Investment News survey of advisors who have recently moved their business. The advisors who left the brokerage world to become RIAs are reporting the highest overall levels of satisfaction. This is obvious to me, having spent a decade,......
The Bank for International Settlements wrote a new blog post titled 19Oct/Eleventh progress report on adoption of Basel III standards published by the Basel Committee
Press release about the Basel Committee publishing eleventh progress report on adoption of Basel III standards (19 October 2016).
2 days ago
The Bank for International Settlements wrote a new blog post titled 19Oct/Harmonisation of critical OTC derivatives data elements (other than UTI and UPI) - second batch, consultative report issued by CPMI-IOSCO
Press release about CPMI and IOSCO issuing consultative report on "Harmonisation of key OTC derivatives data elements (other than UTI and UPI) - second batch", 19 October 2016
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Detection of intensity bursts using Hawkes processes: an application to high frequency financial data. (arXiv:1610.05383v1 [q-fin.TR])
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external perturbation to the system. In this paper we propose a novel procedure for the detection of intensity bursts within the Hawkes process framework. By using a model selection scheme we show that our procedure can be used to detect intensity bursts when both their occurrence time and their total number is unknown. Moreover, the initial time of the burst can be...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression. (arXiv:1610.05448v1 [stat.ML])
We study model evaluation and model selection from the perspective of generalization ability (GA): the ability of a model to predict outcomes in new samples from the same population. We believe that GA is one way formally to address concerns about the external validity of a model. The GA of a model estimated on a sample can be measured by its empirical out-of-sample errors, called the generalization errors (GE). We derive upper bounds for the GE, which depend on sample sizes, model complexity and the distribution of the loss function. The upper bounds can be used to evaluate the GA of a...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Price Dynamics Via Expectations, and the Role of Money Therein. (arXiv:1610.05583v1 [q-fin.EC])
Beyond its obvious macro-economic relevance, fiat money has important micro-economic implications. They matter for addressing No. 8 in Smale's "Mathematical Problems for the Next Century": extend the mathematical model of general equilibrium theory to include price adjustments. In the canonical Arrow-Debreu framework, equilibrium prices are set by a fictitious auctioneer. Removing that fiction raises the question of how prices are set and adjusted by decentralised actors with incomplete information. We investigate this question through a very basic model where a unique factor of production,...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled "Butterfly Effect" vs Chaos in Energy Futures Markets. (arXiv:1610.05697v1 [q-fin.ST])
In this paper we test for the sensitive dependence on initial conditions (the so called "butterfly effect") of energy futures time series (heating oil, natural gas), and thus the determinism of those series. This paper is distinguished from previous studies in the following points: first, we reread existent works in the literature on energy markets, enlightening the role of \emph{butterfly effect} in chaos definition (introduced by Devaney), using this definition to prevent us from misleading results about ostensible chaoticity of the price series. Second, we test for the time series for...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques. (arXiv:1610.05703v1 [q-fin.EC])
The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage their portfolios of financial instruments traded on a stock exchange with the use of linear, integer, and mixed programming techniques. Unlike previous authors publications on the subject, besides standard securities, the present publication considers derivative financial instruments such as futures and options contracts.
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Approximate pricing of European and Barrier claims in a local-stochastic volatility setting. (arXiv:1610.05728v1 [q-fin.MF])
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process. Rigorous accuracy results are provided for European-style claims. For barrier-style claims, we include several numerical examples to illustrate the accuracy and versatility of our approximations.
2 days ago