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MoneyScience Financial Training: Introduction to QuantLib Development - London, March 13th-15th, 2017

 

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Quantitative Finance at arXiv wrote a new blog post titled Estimation for the Prediction of Point Processes with Many Covariates. (arXiv:1702.05315v1 [math.ST])
Estimation of the intensity of a point process is considered within a nonparametric framework. The intensity measure is unknown and depends on covariates, possibly many more than the observed number of jumps. Only a single trajectory of the counting process is observed. Interest lies in estimating the intensity conditional on the covariates. The impact of the covariates is modelled by an additive model where each component can be written as a linear combination of possibly unknown functions. The focus is on prediction as opposed to variable screening. Conditions are imposed on the...
7 hours ago
Quantitative Finance at arXiv wrote a new blog post titled The amazing power of dimensional analysis: Quantifying market impact. (arXiv:1702.05434v1 [q-fin.TR])
This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva \cite{kyle2016dimensional}. Our main theorem shows by a similar argument as usually applied in physics the following remarkable fact. If the market impact of a meta-order only depends on four well-defined and financially meaningful variables, then -- up to a constant -- there is only one possible form of this dependence. In particular, the market impact is proportional to the square root of the size of the meta-order. This theorem can be regarded as a special case of a more...
7 hours ago
Complexity Digest wrote a new blog post titled Immigrants Do Not Increase Crime, Research Shows
Across our studies, one finding remains clear: Cities and neighborhoods with greater concentrations of immigrants have lower rates of crime and violence, all else being equal. Source: www.scientificamerican.com
9 hours ago
The Reformed Broker wrote a new blog post titled What if brokerages graded their customers’ trading?
This is fascinating. My pal Larry Swedroe of Buckingham Strategic Wealth looks at the first study of its kind – an online brokerage informed 1500 of its customers about whether or not the trades they were doing added any value. Note that this stands in direct opposition of the goals of online brokerages – to encourage......
17 hours ago
The Aleph Blog wrote a new blog post titled Everyone Needs Good Advice
Picture Credit: jen collins===================================================I am a fiduciary in my work that I do for my clients. I am also the largest investor in my own strategies, promising to keep a minimum of 80% of my liquid net worth in my strategies, and 50% of my total net worth in them (including my house, etc.).I believe in eating my own cooking.  I also believe in treating my clients well.  I’ve treated part of this in an earlier post called It’s Their Money, where I describe how I try to give exiting clients a pleasant time on the way out.  For existing clients, I will...
21 hours ago
The Reformed Broker wrote a new blog post titled just a thought
Riding the post-election rally sure has been fun, and profitable! But it won’t go on forever. We don’t know when it will end, or from what level, or what the cause will be. A lot of times throughout history there didn’t even need to be a cause. Just one day, out of the blue, the......
2 days 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: ...
2 days ago
Journal of Finance wrote a new blog post titled Firm Age, Investment Opportunities, and Job Creation
ABSTRACT New firms are an important source of job creation, but the underlying economic mechanisms for why this is so are not well understood. Using an identification strategy that links shocks to local income to job creation in the nontradable sector, we ask whether job creation arises more through new firm creation or through the expansion of existing firms. We find that new firms account for the bulk of net employment creation in response to local investment opportunities. We also find significant gross job creation and destruction by existing firms, suggesting that positive local shocks...
2 days ago
Complexity Digest wrote a new blog post titled Control of finite critical behaviour in a small-scale social system
Many adaptive systems sit near a tipping or critical point. For systems near a critical point small changes to component behaviour can induce large-scale changes in aggregate structure and function. Criticality can be adaptive when the environment is changing, but entails reduced robustness through sensitivity. This tradeoff can be resolved when criticality can be tuned. We address the control of finite measures of criticality using data on fight sizes from an animal society model system (Macaca nemestrina, n=48). We find that a heterogeneous, socially organized system, like homogeneous,...
2 days ago
Complexity Digest wrote a new blog post titled THE GOLDEN AGE – How to Build a Better Digital Society
As it turns out, we are in the middle of a revolution – the digital revolution. This revolution isn’t just about technology: it will reinvent most business models and transform all economic sectors, but, it will also fundamentally change the organization of our society. The best way to imagine this transition may be the metamorphosis of a caterpillar into a butterfly. In a few years, the world will look very different…   The Golden Age: How to Build a Better Digital Society Dirk Helbing Source: futurict.blogspot.mx See Also: Chapter 1: At the...
2 days ago
Complexity Digest wrote a new blog post titled Don’t fear superintelligent AI
New tech spawns new anxieties, says scientist and philosopher Grady Booch, but we don’t need to be afraid an all-powerful, unfeeling AI. Booch allays our worst (sci-fi induced) fears about superintelligent computers by explaining how we’ll teach, not program, them to share our human values. Rather than worry about an unlikely existential threat, he urges us to consider how artificial intelligence will enhance human life. Source: www.ted.com
2 days ago
Musings on Markets wrote a new blog post titled My Snap Story: Valuing Snap ahead of it's IPO!
Five years ago, when my daughter asked me whether I had Snapchat installed on my phone, my response was “Snapwhat?". In the weeks following, she managed to convince the rest of us in the family to install the app on our phones, if for no other reason than to admire her photo taking skills. At the time, what made the app stand out was the impermanence of the photos that you shared with your circle, since they disappeared a few seconds after you viewed them, a big selling point for sharers...
3 days ago
The Reformed Broker wrote a new blog post titled Dodd-Frankly Speaking
The state of bank lending does not line up with "regulation is killing the banks"...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly. (arXiv:1702.04967v1 [q-fin.EC])
This paper studies welfare consequences of unit and ad valorem taxes in oligopoly with general demand, non-constant marginal costs, and a generalized type of competition. We present formulas providing connections between marginal cost of public funds, tax incidence, unit tax pass-through, ad valorem tax pass-through, and other economic quantities of interest. We show that there exists a simple, empirically relevant set of sufficient statistics for the marginal cost of public funds, namely the pass-through and the industry demand elasticity. Specializing to the case of price or quantity...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled PyCaMa: Python for cash management. (arXiv:1702.05005v1 [q-fin.CP])
Selecting the best policy to keep the balance between what a company holds in cash and what is placed in alternative investments is by no means straightforward. We here introduce PyCaMa, a Python module for multiobjective cash management based on linear programming that allows to derive optimal policies for cash management with multiple bank accounts in terms of both cost and risk of policies.
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Uncertain Volatility Models with Stochastic Bounds. (arXiv:1702.05036v1 [q-fin.MF])
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead of using two deterministic bounds, the uncertain volatility fluctuates between two stochastic bounds generated by its inherent stochastic volatility process. This brings better accuracy and is consistent with the observed volatility path such as for the VIX as a proxy for instance. We apply the regular perturbation analysis upon the worst case scenario...
3 days ago
All About Alpha wrote a new blog post titled Earnings Releases & Social Media: Listening to the Crowd
Earnings releases, and the “seasons” made up out of them, have become almost a comforting ritual in the investment world. The days leading up to a company’s release often incites a good deal of more or less well-informed guesswork. That guesswork may become significantly more informed through crowdsourcing. That isRead More
3 days ago
Complexity Digest wrote a new blog post titled Network Medicine: Complex Systems in Human Disease and Therapeutics
Big data, genomics, and quantitative approaches to network-based analysis are combining to advance the frontiers of medicine as never before. Network Medicine introduces this rapidly evolving field of medical research, which promises to revolutionize the diagnosis and treatment of human diseases. With contributions from leading experts that highlight the necessity of a team-based approach in network medicine, this definitive volume provides readers with a state-of-the-art synthesis of the progress being made and the challenges that remain. Medical researchers have long sought to...
3 days ago
Eze Castle Integration wrote a new blog post titled Then and Now: State of the Hedge Fund Industry
They say the more things change, the more they stay the same. Turns out it’s a pretty accurate assessment of the hedge fund industry then and now. You see, back in 2011 we hosted a “State of the Hedge Fund Industry” event that yielded some interesting trends and perspectives, and we thought it might be fun to not only look back at those trends, but compare them to what we’re seeing in today’s industry – more than five years later. Like I said: the more things change, the more they stay the same. Hedge Fund Market Trends & Challenges THEN (2011):...
3 days ago