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Unit Roots & Structural Breaks

June 23, 2017 by Econometrics Beat   Comments (0)

The open-access journal, Econometrics (of which I'm happy to be an Editorial Board member), has recently published a special issue on the topic of "Unit Roots and Structural Breaks".  This issue is guest-edited by Pierre Perron, and it includes eight really terrific papers. You can find the special issue here. © 2017, David E. Giles

Opposite Day

June 23, 2017 by The Reformed Broker   Comments (0)

This is backwards. It’s also the reason God sent financial advisors into the world. Unless the bulk of these millennials are on the verge of buying their first home (doubtful), they should have no more than a few months’ salary in cash and very little fixed income exposure. But they think they’re being prudent by......

Political and Financial Crises

June 23, 2017 by Magic, Maths and Money   Comments (0)

My book, Ethics in Quantitative Finance, was motivated by the wish to understand the relationship between mathematics and financial ethics in the aftermath of the Credit Crisis (GFC).  While the GFC occured a decade ago, the topics discussed in Ethics in Quantitative Finance are still relevant today as the UK endures a "Great Political Crisis", a year after voting to leave the European Union.  Had someone drawn a connection between mathematics, ethics and politics for me in 2006 I...

Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets. (arXiv:1706.07216v1 [q-fin.EC])

June 22, 2017 by Quantitative Finance at arXiv   Comments (0)

This study empirically examines interdependencies between BitCoin and altcoin
markets in the short- and long-run. We apply time-series analytical mechanisms
to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual
currencies) and two Altcoin price indices for the period 2013-2016. Our
empirical findings confirm that indeed BitCoin and Altcoin markets are
interdependent. The BitCoin-Altcoin price relationship is significantly
stronger in the short-run than in the long-run. We...

Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (arXiv:1706.07375v1 [q-fin.CP])

June 22, 2017 by Quantitative Finance at arXiv   Comments (0)

We consider a class of stochastic path-dependent volatility models where the
stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is
multiplied by a (leverage) function of the spot price, its running maximum, and
time. We propose a Monte Carlo simulation scheme which combines a log-Euler
scheme for the spot process with the full truncation Euler scheme or the
backward Euler-Maruyama scheme for the squared stochastic volatility component.
Under some mild regularity...

Numerix Vantage Point Series | New Best Practices for Operating in Today's Capital Markets Reality

June 22, 2017 by Numerix LLC   Comments (0)

Title: Numerix Vantage Point Series | New Best Practices for Operating in Today's Capital Markets RealityPublication Date & Time: Thu, 06/22/2017 - 00:00NUMERIX VANTAGE POINT SERIES Steven O'Hanlon, President and Chief  Executive Officer of Numerix, discusses what he sees as the new best practices capital markets players need to undertake to succeed in today's capital markets reality. Since 2010, when the first of a series of critical reforms were implemented, namely...

A scalable time-series database that supports SQL

June 22, 2017 by The Practical Quant   Comments (0)

[A version of this post appears on the O'Reilly Radar.]The O’Reilly Data Show Podcast: Michael Freedman on TimescaleDB and scaling SQL for time-series.Subscribe to the O’Reilly Data Show Podcast to explore the opportunities and techniques driving big data, data science, and AI. Find us on Stitcher, TuneIn, iTunes, SoundCloud, RSS.In this episode of the Data Show, I spoke with Michael Freedman, CTO of Timescale and professor of computer science at Princeton University. When I first heard that...