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Introduction to QuantLib Development with Luigi Ballabio - London, September 19-21st, 2016 - http://bit.ly/QuantLib-2016

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Eze Castle Integration wrote a new blog post titled A Look at the FCA's IT Outsourcing Guidance for Financial Services Firms
Financial services firms are increasingly interested relying on third-party service providers to increase efficiencies and benefit from industry expertise. While outsourcing has grown, however, regulatory bodies such as the Securities & Exchange Commission (US) and Financial Conduct Authority (UK) have begun to evaluate outsourced relationship and provide guidance around how investment management firms should engage and manage these partnerships. In 2015, the FCA drafted a “guidance for firms outsourcing to the ‘cloud’ and other third party services.” The document...
26 minutes ago
The Reformed Broker wrote a new blog post titled The Conditions You’d Want Are Already Here
Have we corrected through time, rather than through price enough to spark the next leg higher of the bull? No new high since last May, a flat market over two years and change, median stock declines for individual stocks of 30% – not enough or plenty to set up a rally? That’s the question on......
6 hours ago
The Bank for International Settlements wrote a new blog post titled 26May/First phase of a global code of conduct for currency markets published
Press release about "First phase of a global code of conduct for currency markets published" (May 2016)
7 hours ago
The Bank for International Settlements wrote a new blog post titled 26May/Central bank governors welcome progress on currency code of conduct
Press release about "Central bank governors welcome progress on currency code of conduct" (May 2016)
7 hours ago
The Reformed Broker wrote a new blog post titled Hot Links: Dividend Kings
What I'm reading this morning ...
8 hours ago
The Reformed Broker wrote a new blog post titled “I don’t know” hits a 26-year high
Nobody knows what to do right now. Peter Boockvar notes that “I don’t know” sentiment just hit a 26-year high in the latest polls… Following the II data seen yesterday which saw about a 5 pt drop in Bulls which was a good contrarian set up for the rally this week, the AAII individual read......
8 hours ago
Wealth and Capital Markets Blog wrote a new blog post titled Benchmark manipulation and market surveillance
The CFTC has recently revealed the instant messages written by Citigroup traders related to benchmark manipulation. Having recently published a report on Market Surveillance industry trends and soon to publish another one on the leading vendors, this seemed quite relevant. Current surveillance systems, be it for trade or communications surveillance, use the latest technology to capture possible instances of market abuse or manipulation. The capabilities are far beyond what was available a few years ago, and are holistic and comprehensive in nature. But in the end, the system is only as...
11 hours ago
Understanding Uncertainty wrote a new blog post titled The importance of what you don’t see
Remember all those autism stories over the last few weeks? You don’t? There’s a reason for that. The first story you did not hear about concerned a claimed association between autism and aerial crop-spraying of pyrethroids, arising from a press release from the American Association of Pediatrics of a non-peer-reviewed poster at a conference. The Science Media Centre asked for quotes from their cohort of scientists while the story was still embargoed, and the comments received were so uniformly negative that it received no coverage in the UK. Even in the US there were only limited...
16 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Generalized Subjective Lexicographic Expected Utility Representation. (arXiv:1605.07680v1 [math.ST])
We provide foundations for decisions in face of unlikely events by extending the standard framework of Savage to include preferences indexed by a family of events. We derive a subjective lexicographic expected utility representation which allows for infinitely many lexicographically ordered levels of events and for event-dependent attitudes toward risk. Our model thus provides foundations for models in finance that rely on different attitudes toward risk (e.g. Skiadas [9]) and for off-equilibrium reasonings in infinite dynamic games, thus extending and generalizing the analysis in Blume,...
20 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Risk Arbitrage and Hedging to Acceptability. (arXiv:1605.07884v1 [q-fin.MF])
The classical discrete time model of transaction costs relies on the assumption that the increments of the feasible portfolio process belong to the solvency set at each step. We extend this setting by assuming that any such increment belongs to the sum of an element of the solvency set and the family of acceptable positions, e.g. with respect to a dynamic risk measure. We formulate several no risk arbitrage conditions and explore connections between them. If the acceptance sets consist of non-negative random vectors, that is the underlying dynamic risk measure is the conditional...
20 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Trading VIX Futures under Mean Reversion with Regime Switching. (arXiv:1605.07945v1 [q-fin.CP])
This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switches among a finite number of states. For the trading strategies, we analyze the timings and sequences of the investor's market participation, which leads to several corresponding coupled system of variational inequalities. The numerical approach is developed to solve these optimal double stopping problems by using projected-successive-over-relaxation (PSOR) method with Crank-Nicolson scheme. We illustrate the optimal...
20 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Foreign exchange risk premia: from traditional to state-space analyses. (arXiv:1605.08025v1 [q-fin.EC])
This paper examines foreign exchange risk premia from simple univariate regressions to the state-space method. The adjusted traditional regressions properly figure out the existence and time-evolving property of the risk premia. Successively, the state-space estimations overall are quite rationally competent in examining the essence of time variability of the unobservable risk premia. To be more precise, the coefficients on the lagged estimated time-series are significant and the disturbance combined from the observation and transition equations in the state-space system, rational and...
20 hours ago
The Reformed Broker wrote a new blog post titled Expect the Unexpected
"Whenever you hear people in the investment business say 'Never', that's when you know it's about to happen." ...
yesterday
The Reformed Broker wrote a new blog post titled Hot Links: Zombieland
What I'm reading this morning ...
yesterday
Implementing QuantLib wrote a new blog post titled A quick look at the QuantLib 1.8 release
Hello everybody. One week ago, I released QuantLib 1.8. (You don’t have it yet? You can download it here.) This post is a quick look at the release.
2 days ago
Complexity Digest wrote a new blog post titled Simulating the interaction of road users: A glance to complexity of Venezuelan traffic
Automotive traffic is a classical example of a complex system, being the simplest case the homogeneous traffic where all vehicles are of the same kind, and using different means of transportation increases complexity due to different driving rules and interactions between each vehicle type. In particular, when motorcyclists drive in between the lanes of stopped or slow-moving vehicles. This later driving mode is a Venezuelan pervasive practice of mobilization that clearly jeopardizes road safety. We developed a minimalist agent-based model to analyze the interaction of road users with and...
2 days ago
Complexity Digest wrote a new blog post titled Social and Spatial Clustering of People at Humanity's Largest Gathering
Macroscopic behavior of scientific and societal systems results from the aggregation of microscopic behaviors of their constituent elements, but connecting the macroscopic with the microscopic in human behavior has traditionally been difficult. Manifestations of homophily, the notion that individuals tend to interact with others who resemble them, have been observed in many small and intermediate size settings. However, whether this behavior translates to truly macroscopic levels, and what its consequences may be, remains unknown. Here, we use call detail records (CDRs) to examine the...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Deep Portfolio Theory. (arXiv:1605.07230v1 [q-fin.PM])
We construct a deep portfolio theory. By building on Markowitz's classic risk-return trade-off, we develop a self-contained four-step routine of encode, calibrate, validate and verify to formulate an automated and general portfolio selection process. At the heart of our algorithm are deep hierarchical compositions of portfolios constructed in the encoding step. The calibration step then provides multivariate payouts in the form of deep hierarchical portfolios that are designed to target a variety of objective functions. The validate step trades-off the amount of regularization used in the...
2 days ago