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Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here

 

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Complexity Digest wrote a new blog post titled Complex Systems Postgraduate Entry Scholarship @ University of Sydney
Established in 2016, this Scholarship has been generously funded by the School of Civil Engineering to encourage and assist students with completing studies in complex systems at the University of Sydney. Applicants must have an unconditional offer of admission for the Masters of Complex Systems within the Faculty of Engineering and Information Technologies at the University of Sydney.Applicants must have achieved a WAM of 75 and above, or equivalent, in their previous tertiary studies.   Deadline: February 14th, 2019. Source: sydney.edu.au
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Optimal trading using signals. (arXiv:1811.03718v1 [q-fin.TR])
In this paper we propose a mathematical framework to address the uncertainty emergingwhen the designer of a trading algorithm uses a threshold on a signal as a control. We rely ona theorem by Benveniste and Priouret to deduce our Inventory Asymptotic Behaviour (IAB)Theorem giving the full distribution of the inventory at any point in time for a well formulatedtime continuous version of the trading algorithm.Since this is the first time a paper proposes to address the uncertainty linked to the use of athreshold on a signal for trading, we give some structural elements about the kind of signals...
18 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (arXiv:1811.03711v1 [cs.LG])
Volatility is a quantity of measurement for the price movements of stocks or options which indicates the uncertainty within financial markets. As an indicator of the level of risk or the degree of variation, volatility is important to analyse the financial market, and it is taken into consideration in various decision-making processes in financial activities. On the other hand, recent advancement in deep learning techniques has shown strong capabilities in modelling sequential data, such as speech and natural language. In this paper, we empirically study the applicability of the latest...
18 hours ago
Quantitative Finance at arXiv wrote a new blog post titled How does stock market volatility react to oil shocks?. (arXiv:1811.03820v1 [econ.EM])
We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural vector autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price...
18 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Endogeneous Dynamics of Intraday Liquidity. (arXiv:1811.03766v1 [q-fin.TR])
In this paper we investigate the endogenous information contained in four liquidity variables at a five minutes time scale on equity markets around the world: the traded volume, the bid-ask spread, the volatility and the volume at first limits of the orderbook. In the spirit of Granger causality, we measure the level of information by the level of accuracy of linear autoregressive models. This empirical study is carried out on a dataset of more than 300 stocks from four different markets (US, UK, Japan and Hong Kong) from a period of over five years. We discuss the obtained performances of...
18 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Risk-Neutral Pricing and Hedging of In-Play Football Bets. (arXiv:1811.03931v1 [q-fin.TR])
A risk-neutral valuation framework is developed for pricing and hedging in-play football bets based on modelling scores by independent Poisson processes with constant intensities. The Fundamental Theorems of Asset Pricing are applied to this set-up which enables us to derive novel arbitrage-free valuation formul\ae\ for contracts currently traded in the market. We also describe how to calibrate the model to the market and how trades can be replicated and hedged.
18 hours ago
Complexity Digest wrote a new blog post titled The Moral Machine experiment
With the rapid development of artificial intelligence have come concerns about how machines will make moral decisions, and the major challenge of quantifying societal expectations about the ethical principles that should guide machine behaviour. To address this challenge, we deployed the Moral Machine, an online experimental platform designed to explore the moral dilemmas faced by autonomous vehicles. This platform gathered 40 million decisions in ten languages from millions of people in 233 countries and territories. Here we describe the results of this experiment. First, we summarize global...
18 hours ago
All About Alpha wrote a new blog post titled Panayiotis Lambropoulos: The View from a Public Pension Manager’s Office
On Nov. 13, the 24th Annual National Pension and Institutional Investment Summit convenes in Dallas Texas. CAIA is a sponsor of this event. Panayiotis Lambropoulos, portfolio manager of hedge funds at the Employees Retirement System of Texas, will offer his insights at a panel on emerging hedge fund managers. Lambropoulos’Read More
20 hours ago
Complexity Digest wrote a new blog post titled Self-driving car dilemmas reveal that moral choices are not universal
When a driver slams on the brakes to avoid hitting a pedestrian crossing the road illegally, she is making a moral decision that shifts risk from the pedestrian to the people in the car. Self-driving cars might soon have to make such ethical judgments on their own — but settling on a universal moral code for the vehicles could be a thorny task, suggests a survey of 2.3 million people from around the world. Source: www.nature.com
20 hours ago
The Reformed Broker wrote a new blog post titled Lake Success
Our review of the new novel, in video form! ...
yesterday
The Reformed Broker wrote a new blog post titled My Favorite Tax
The point is in contributing to our freedoms in a way that federal or state taxes simply don't cover. ...
yesterday
The Reformed Broker wrote a new blog post titled The Poddys
It’s an honor just to be nominated ...
yesterday
Complexity Digest wrote a new blog post titled A Nobel opportunity for interdisciplinarity
Despite the growing interdisciplinarity of research, the Nobel Prize consolidates the traditional disciplinary categorization of science. There is, in fact, an opportunity for the most revered scientific reward to mirror the current research landscape.   A Nobel opportunity for interdisciplinarityMichael Szell, Yifang Ma & Roberta Sinatra Nature Physics volume 14, pages1075–1078 (2018) Source: www.nature.com
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
Complexity Digest wrote a new blog post titled Urban Swarms: A new approach for autonomous waste management
Modern cities are growing ecosystems that face new challenges due to the increasing population demands. One of the many problems they face nowadays is waste management, which has become a pressing issue requiring new solutions. Swarm robotics systems have been attracting an increasing amount of attention in the past years and they are expected to become one of the main driving factors for innovation in the field of robotics. The research presented in this paper explores the feasibility of a swarm robotics system in an urban environment. By using bio-inspired foraging methods such as...
3 days ago
The Reformed Broker wrote a new blog post titled Playing with Fire
"We've effectively brainwashed the core of our audience. And now it's gone too far."...
3 days ago
Knowing and Making wrote a new blog post titled A new team member and new plans
Hello, today it’s not Leigh posting, but me, Tara, his new colleague! I’ve recently started working for Inon and with Leigh on his cognitive economics work. I’ll be writing content on cognitive economics, spreading the word about cognitive economics to both academic and general audiences and also organising events around cognitive economics. I wanted to take this opportunity to introduce myself and also fill you in on some exciting events on cognitive economics coming up. All cards on the table...
3 days ago
Complexity Digest wrote a new blog post titled Quantifying reputation and success in art
In areas of human activity where performance is difficult to quantify in an objective fashion, reputation and networks of influence play a key role in determining access to resources and rewards. To understand the role of these factors, we reconstructed the exhibition history of half a million artists, mapping out the coexhibition network that captures the movement of art between institutions. Centrality within this network captured institutional prestige, allowing us to explore the career trajectory of individual artists in terms of access to coveted institutions. Early access to prestigious...
3 days ago
Complexity Digest wrote a new blog post titled How algorithmic popularity bias hinders or promotes quality
Algorithms that favor popular items are used to help us select among many choices, from top-ranked search engine results to highly-cited scientific papers. The goal of these algorithms is to identify high-quality items such as reliable news, credible information sources, and important discoveries–in short, high-quality content should rank at the top. Prior work has shown that choosing what is popular may amplify random fluctuations and lead to sub-optimal rankings. Nonetheless, it is often assumed that recommending what is popular will help high-quality content “bubble up” in practice. Here...
3 days ago