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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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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: ...
3 hours ago
Complexity Digest wrote a new blog post titled Cognitive mechanisms for human flocking dynamics
Low-level “adaptive” and higher-level “sophisticated” human reasoning processes have been proposed to play opposing roles in the emergence of unpredictable collective behaviors such as crowd panics, traffic jams, and market bubbles. While adaptive processes are widely recognized drivers of emergent social complexity, complementary theories of sophistication predict that incentives, education, and other inducements to rationality will suppress it. We show in a series of multiplayer laboratory experiments that, rather than suppressing complex social dynamics, sophisticated reasoning processes...
5 hours ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
Why Mario Gabelli thinks you should own CBS and Viacom from CNBC. Questions from Halftime’s viewership from CNBC. Mario Gabelli’s four Ts: Tariffs, taxes, ten-year treasuries and technology from CNBC. Susquehanna on Under Armour: “sell the rally” from CNBC. Gamco’s Gabelli: I wish the stock market would drop so I could get better bargains from......
18 hours ago
Musings on Markets wrote a new blog post titled Amazon and Apple at a Trillion $: A Follow-up on Uncertainty and Catalysts!
In my last post, I looked at Apple and Amazon, as their market caps exceeded a trillion dollars, tracing the journey that they took over the last two decades to get to that threshold and valuing them  given their current standing. While you can check out the stories that I told and the details of my valuation in that post, I valued Apple at $200, about 9% less than the market price, and Amazon at abut $1255, about 35% lower than its market price. I concluded the post with a teaser,...
20 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Unfolding the complexity of the global value chain: Strengths and entropy in the single-layer, multiplex, and multi-layer international trade networks. (arXiv:1809.07407v1 [physics.soc-ph])
The worldwide trade network has been widely studied through different data sets and network representations with a view to better understanding interactions among countries and products. Here, we investigate international trade through the lenses of the single-layer, multiplex, and multi-layer networks. We discuss differences among the three network frameworks in terms of their relative advantages in capturing salient topological features of trade. We draw on the World Input-Output Database to build the three networks. We then uncover sources of heterogeneity in the way strength is allocated...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Insider Trading with Penalties. (arXiv:1809.07545v1 [q-fin.TR])
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the demand of the insider and the price functions are in general non-linear and remain analytically tractable because the expected price function is linear. We use this result to investigate the trade off between price efficiency and 'fairness': we consider a regulator that wants to minimise post-trade standard deviation for a given level of uninformed traders'...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled On the quasi-sure superhedging duality with frictions. (arXiv:1809.07516v1 [q-fin.MF])
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under portfolio constraints and model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and liquidation under transaction costs in currency markets. Fin. Stoch., 3(2):237-248, 1999] adapted to the quasi-sure setup of [Bouchard, B. and Nutz, M., Arbitrage and duality in nondominated discrete-time models. Ann. Appl. Probab., 25(2):823-859, 2015]. Our results hold under the condition of No Strict Arbitrage and under the...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Geometric Local Variance Gamma model. (arXiv:1809.07727v1 [q-fin.PR])
This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017), and Carr and Itkin, 2018 (CI2018). As compared with the latest version of the model developed in CI2018 and called the ELVG (the Expanded Local Variance Gamma model), here we provide two innovations. First, in all previous papers the model was constructed based on a Gamma time-changed {\it arithmetic} Brownian motion: with no drift in CI2017, and with drift in CI2018, and the local variance to be a function of the...
2 days ago
All About Alpha wrote a new blog post titled 10 Years Later: Glasner Looks Back at the GFC
David Glasner, an economist with the Federal Trade Commission, in a new Mercatus Research Paper, offers what he calls a “deeper explanation of the financial crisis of 2008 and the subsequent recovery.” Deeper than what? Deeper than attributing the bust to the bursting of the housing price bubble. Glasner’s newRead More
2 days ago
Econometrics Beat wrote a new blog post titled Controlling My Heating Bill Using Bayesian Model Averaging
Where we live, in rural Ontario, we're not connected to "natural gas". Our home furnace runs on propane, and a local supplier sends a tanker to refill our propane tanks on a regular basis during the colder months. Earlier this month we had to make a decision regarding our contract with the propane retailer. Should we opt for a delivery price that can vary, up or down, throughout the coming fall and winter; or should we "lock in" at a fixed delivery price for the period from October to May of...
2 days ago
Complexity Digest wrote a new blog post titled Zipf’s and Taylor’s laws
Zipf’s law states that the frequency of an observation with a given value is inversely proportional to the square of that value; Taylor’s law, instead, describes the scaling between fluctuations in the size of a population and its mean. Empirical evidence of the validity of these laws has been found in many and diverse domains. Despite the numerous models proposed to explain the presence of Zipf’s law, there is no consensus on how it originates from a microscopic process of individual dynamics without fine-tuning. Here we show that Zipf’s law and Taylor’s law can...
2 days ago
The Reformed Broker wrote a new blog post titled RWM’s Fifth Anniversary – a Thank You from Michael, Kris and Josh
Barry is away in Iceland this week for a conference. Maybe it's like a Viking reenactment of some sort, who knows. ...
2 days ago
Complexity Digest wrote a new blog post titled Two postdoctoral positions in computational social science at the Network Science Institute
Two postdoctoral positions in computational social science are available at the Network Science Institute, to work with David Lazer and Christoph Riedl. Candidates will be expected to work on a combination of their own research and collaborative projects within the institute. Source: christophriedl.net
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Pricing American Options by Exercise Rate Optimization. (arXiv:1809.07300v1 [q-fin.CP])
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called optimal \emph{exercise regions}, which consist of points in time and space at which the option is exercised. In contrast, our method determines \emph{exercise rates} of randomized exercise strategies. We show that the supremum of the corresponding stochastic optimization problem provides the correct option price. By integrating analytically over the random...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Parameter Estimation of Heavy-Tailed AR Model with Missing Data via Stochastic EM. (arXiv:1809.07203v1 [stat.AP])
The autoregressive (AR) model is a widely used model to understand time series data. Traditionally, the innovation noise of the AR is modeled as Gaussian. However, many time series applications, for example, financial time series data are non-Gaussian, therefore, the AR model with more general heavy-tailed innovations are preferred. Another issue that frequently occurs in time series is missing values, due to the system data record failure or unexpected data loss. Although there are numerous works about Gaussian AR time series with missing values, as far as we know, there does not exist any...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Enabling Scientific Crowds: The Theory of Enablers for Crowd-Based Scientific Investigation. (arXiv:1809.07195v1 [q-fin.CP])
Evidence shows that in a significant number of cases the current methods of research do not allow for reproducible and falsifiable procedures of scientific investigation. As a consequence, the majority of critical decisions at all levels, from personal investment choices to overreaching global policies, rely on some variation of try-and-error and are mostly non-scientific by definition. We lack transparency for procedures and evidence, proper explanation of market events, predictability on effects, or identification of causes. There is no clear demarcation of what is inherently scientific,...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Complex market dynamics in the light of random matrix theory. (arXiv:1809.07100v1 [q-fin.CP])
We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An oft-encountered problem in computational finance is the choice of an appropriate epoch over which the empirical cross-correlation return matrix is computed. A long epoch would smoothen the fluctuations in the return time series and suffers from non-stationarity, whereas a short epoch results in noisy fluctuations in the return time series and the correlation matrices turn out to be highly singular. An effective...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled A revisit of the Borch rule for the Principal-Agent Risk-Sharing problem. (arXiv:1809.07040v1 [q-fin.RM])
In this paper we provide a new approach to tackle the Principal-Agent Risk-Sharing problem using optimal stochastic control technics. Our analysis relies on an optimal decomposition of the expected utility of the Principal in terms of the reservation utility of the Agent. In particular, this allows us to derive the Borch rule as a necessary optimality condition for this decomposition to hold, which sheds a new light on this economic concept. As a by-product, this approach provides a class of risk-sharing plans that satisfy the Borch rule; class to which the optimal plan belongs.
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Transport plans with domain constraints. (arXiv:1804.04283v2 [math.PR] UPDATED)
Let $\Omega$ be one of $\X^{N+1},C[0,1],D[0,1]$: product of Polish spaces, space of continuous functions from $[0,1]$ to $\mathbb{R}^d$, and space of RCLL (right-continuous with left limits) functions from $[0,1]$ to $\mathbb{R}^d$, respectively. We first consider the existence of a probability measure $P$ on $\Omega$ such that $P$ has the given marginals $\alpha$ and $\beta$ and its disintegration $P_x$ must be in some fixed $\Gamma(x) \subset \kP(\Omega)$, where $\kP(\Omega)$ is the set of probability measures on $\Omega$. The main application we have in mind is the martingale optimal...
3 days ago