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Rob Daly wrote a new blog post titled Getting the Blockchain Blues
Getting the Blockchain Blues I spent the first part of this week attending CoinDesk’s Consensus 2016 blockchain conference in Midtown Manhattan. It was a great event with good content and a huge audience. However, now I’m having a post-blockchain crash. (It’s like the crash after a sugar high, but more forgiving on the teeth and waistline.) Yes, blockchain will change… The Daly Post
3 hours ago
The Reformed Broker wrote a new blog post titled What else do you need to know?
What else do you need to know? ...
4 hours ago
The Reformed Broker wrote a new blog post titled How older investors are manipulated by financial ads
Financial fraudsters often attempt to evoke strong emotions in their victims to convince them to hand over money...
5 hours ago
The Practical Quant wrote a new blog post titled Recent trends in recommender systems
[A version of this post appears on the O'Reilly Radar.]The O’Reilly Data Show Podcast: Danny Bickson on recommenders, data science, and applications of machine learning.Subscribe to the O'Reilly Data Show Podcast to explore the opportunities and techniques driving big data and data science. Find us on Stitcher, TuneIn, iTunes, SoundCloud, RSS.In this episode of the O’Reilly Data Show, I spoke with Danny Bickson, co-founder and VP at Dato, and the principal organizer of the Data Science Summit (full disclosure: I’m a member of the conference organizing committee). Among machine learning...
6 hours ago
The Reformed Broker wrote a new blog post titled QOTD: Stocks can suck
stocks can suck for a long, long time....
6 hours ago
Complexity Digest wrote a new blog post titled Habituation in non-neural organisms: evidence from slime moulds
Learning, defined as a change in behaviour evoked by experience, has hitherto been investigated almost exclusively in multicellular neural organisms. Evidence for learning in non-neural multicellular organisms is scant, and only a few unequivocal reports of learning have been described in single-celled organisms. Here we demonstrate habituation, an unmistakable form of learning, in the non-neural organism Physarum polycephalum. In our experiment, using chemotaxis as the behavioural output and quinine or caffeine as the stimulus, we showed that P. polycephalum learnt to ignore quinine or...
7 hours ago
The Reformed Broker wrote a new blog post titled Hot Links: The Number One Predictor
What I'm reading this morning ...
8 hours ago
Wealth and Capital Markets Blog wrote a new blog post titled Moving towards a more stable and healthier OTC derivatives market
The Bank for International Settlements (BIS) recently reported that there was a decline in the cost of replacing outstanding OTC derivatives, the first since the financial crisis. There was a similar decline in the gross notional amount outstanding as well. While this indicates the tough regulatory regimes worldwide in the aftermath of the crisis, it also a sign of a healthier and more resilient OTC derivatives market. Due to the rising regulation-related costs of trading, market participants are looking to make their OTC derivatives trading more efficient. Tools such as trade compression and...
8 hours ago
G. Charles-Cadogan wrote a new blog post titled New: Expected Utility Theory and Inner and Outer Measures of Loss Aversion
We introduce a weak rank dependent utility (RDU) model, with one extra parameter compared to the canonical expected utility (EUT) model, which makes many of the same predictions as cumulative prospect theory (CPT). The model extends a set of nonconvex preferences to its maximal inner convex subset, satisfies stochastic dominance principles, resolves the Allais paradox, predicts CPT fourfold pattern of risk attitudes, and characterizes reference dependent preferences. Unlike extant RDU models that transform probability weighting functions (pwfs), our model transforms ranked choice sets while...
14 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Regrets, learning and wisdom. (arXiv:1605.01052v1 [physics.soc-ph])
This contribution discusses in what respect Econophysics may be able to contribute to the rebuilding of economics theory. It focuses on aggregation, individual vs collective learning and functional wisdom of the crowds.
19 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics. (arXiv:1605.01071v1 [math.AP])
We analyse two classes of $(1+2)$ evolution equations which are of special interest in Financial Mathematics, namely the Two-dimensional Black-Scholes Equation and the equation for the Two-factor Commodities Problem. Our approach is that of Lie Symmetry Analysis. We study these equations for the case in which they are autonomous and for the case in which the parameters of the equations are unspecified functions of time. For the autonomous Black-Scholes Equation we find that the symmetry is maximal and so the equation is reducible to the $(1+2)$ Classical Heat Equation. This is not the case...
19 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Arbitrage and hedging with liquid American options. (arXiv:1605.01327v1 [q-fin.MF])
We generalize the fundamental theorem of asset pricing (FTAP) and hedging dualities in \cite{ZZ8} to the case where the investor can short American options. Following arXiv:1502.06681, we assume that the longed American options are divisible. As for the shorted American options, we show that the divisibility plays no role regarding arbitrage property and hedging prices. Then using the method of enlarging probability spaces proposed in arXiv:1604.05517, we convert the shorted American options to European options, and establish the FTAP and sub- and super-hedging dualities in the enlarged space...
19 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Electoral Systems Used around the World. (arXiv:1605.01343v1 [q-fin.EC])
We give an overview of the diverse electoral systems used in local, national, or super-national elections around the world. We discuss existing methods for selecting single and multiple winners and give real-world examples for some more elaborate systems. Eventually, we elaborate on some of the better known strengths and weaknesses of various methods from both the theoretical and practical points of view.
19 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Modeling and Simulation of the Economics of Mining in the Bitcoin Market. (arXiv:1605.01354v1 [q-fin.TR])
In January 3, 2009, Satoshi Nakamoto gave rise to the "Bitcoin Block Chain" creating the first block of the chain hashing on his computers central processing unit (CPU). Since then, the hash calculations to mine Bitcoin have been getting more and more complex, and consequently the mining hardware evolved to adapt to this increasing difficulty. Three generations of mining hardware have followed the CPU's generation. They are GPU's, FPGA's and ASIC's generations. This work presents an agent based artificial market model of the Bitcoin mining process and of the Bitcoin transactions. The goal of...
19 hours ago
Econometrics Beat wrote a new blog post titled My Latest Paper About Dummy Variables
Over the years I've posted a number of times about various aspects of using dummy variables in regression models. You can use the "Search" window in the right sidebar of this page if want to take a look at those posts. One of my earlier working papers on this topic has now been accepted for publication. The paper is titled, "On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables". Here's the abstract:"In this paper we consider the asymptotic...
21 hours ago
The Reformed Broker wrote a new blog post titled Notes from the 2016 Ira Sohn Conference, Part III
  Welcome to the final part of my notes from today. Check out Part I (Druckenmiller) and Part II (Gundlach!) in case you missed them. Here’s the conclusion:  ***   Dan Ariely, James B. Duke Professor of Psychology & Behavioral Economics, Duke University OK, this is hot. Ariely is a genius academic who wrote a very......
22 hours ago
The Reformed Broker wrote a new blog post titled Notes from the 2016 Ira Sohn Conference, Part II
  Gray skies outside, and nothing the brilliance inside the building.  See Part I if you missed it, includes Stanley Druckenmiller and Eli Manning! ***   Jeffrey Gundlach, Chief Executive Officer, DoubleLine Capital LP Jeff’s mentor (and biggest financial backer) Howard Marks of Oaktree Capital comes out to introduce him. Oaktree invested $20 million in......
23 hours ago
Complexity Digest wrote a new blog post titled Decongestion of urban areas with hotspot-pricing
The rapid growth of population in urban areas is jeopardizing the mobility and air quality worldwide. One of the most notable problems arising is that of traffic congestion which in turn affects air pollution. With the advent of technologies able to sense real-time data about cities, and its public distribution for analysis, we are in place to forecast scenarios valuable to ameliorate and control congestion. Here, we propose a local congestion pricing scheme, hotspot-pricing, that surcharges vehicles traversing congested junctions. The proposed tax is computed from the estimation of the...
Complexity Digest wrote a new blog post titled Past the power law: Complex systems and the limiting law of restricted diversity
Probability distributions have proven effective at modeling diversity in complex systems. The two most common are the Gaussian normal and skewed-right. While the mechanics of the former are well-known; the latter less so, given the significant limitations of the power-law. Moving past the power-law, we demonstrate that there exists, hidden-in-full-view, a limiting law governing the diversity of complexity in skewed-right systems; which can be measured using a case-based version of Shannon entropy, resulting in a 60/40 rule. For our study, given the wide range of approaches to measuring...