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Introduction to QuantLib Development with Luigi Ballabio - London, November 14 - 16th, 2016 - http://bit.ly/QuantLib-2016

All site blogs

Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach. (arXiv:1608.07694v1 [q-fin.ST])

August 29, 2016 by Quantitative Finance at arXiv   Comments (0)

There are many studies dealing with the analysis of similarity among
currencies in foreign exchange market by using network analysis approach. In
those studies, each currency is represented by a univariate time series of
exchange rate return. This is the standard practice to analyze the underlying
information in the foreign exchange market. In this paper, Escoufier's RV
coefficient is applied to measure the similarity among currencies where each of
them is represented by bivariate time series....

Financial Market Dynamics: Superdiffusive or not?. (arXiv:1608.07752v1 [q-fin.ST])

August 29, 2016 by Quantitative Finance at arXiv   Comments (0)

The behavior of stock market returns over a period of 1-60 days has been
investigated for S&P 500 and Nasdaq within the framework of nonextensive
Tsallis statistics. Even for such long terms, the distributions of the returns
are non-Gaussian. They have fat tails indicating long range correlations
persist. In this work, a good fit to a Tsallis q-Gaussian distribution is
obtained for the distributions of all the returns using the method of Maximum
Likelihood Estimate. For all the regions of...

Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship. (arXiv:1608.07796v1 [q-fin.CP])

August 29, 2016 by Quantitative Finance at arXiv   Comments (0)

We study the multi-scale temporal correlations and causality connections
between the New York Stock Exchange (NYSE) and Bombay Stock Exchange (BSE)
monthly average closing price indexes for a period of 300 months, encompassing
the time period of the liberalisation of the Indian economy and its gradual
global exposure. In multi-scale analysis; clearly identifiable 1, 2 and 3 year
non-stationary periodic modulations in NYSE and BSE have been observed, with
NYSE commensurating changes in BSE at 3...

Rethinking Financial Contagion. (arXiv:1608.07831v1 [q-fin.RM])

August 29, 2016 by Quantitative Finance at arXiv   Comments (0)

How, and to what extent, does an interconnected financial system endogenously
amplify external shocks? This paper attempts to reconcile some apparently
different views emerged after the 2008 crisis regarding the nature and the
relevance of contagion in financial networks. We develop a common framework
encompassing several network contagion models and show that, regardless of the
shock distribution and the network topology, precise ordering relationships on
the level of aggregate systemic losses...

Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential L\'evy models With Local Volatility. (arXiv:1608.07863v1 [q-fin.MF])

August 29, 2016 by Quantitative Finance at arXiv   Comments (0)

In this article, we consider the small-time asymptotics of options on a
Leveraged Exchange-Traded Fund (LETF) when the underlying Exchange Traded Fund
(ETF) exhibits both local volatility and jumps of either finite or infinite
activity. Our main results are closed-form expressions for the leading order
terms of off-the-money European call and put LETF option prices, near
expiration, with explicit error bounds. We show that the price of an
out-of-the-money European call on a LETF with positive...

Networks: An Economic Perspective. (arXiv:1608.07901v1 [physics.soc-ph])

August 29, 2016 by Quantitative Finance at arXiv   Comments (0)

We discuss social network analysis from the perspective of economics. We
organize the presentaion around the theme of externalities: the effects that
one's behavior has on others' well-being. Externalities underlie the
interdependencies that make networks interesting. We discuss network formation,
as well as interactions between peoples' behaviors within a given network, and
the implications in a variety of settings. Finally, we highlight some empirical
challenges inherent in the statistical...

US market portrait 2016 week 35

August 29, 2016 by Patrick Burns   Comments (0)

US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by Wikipedia on 2016 January 16) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however you like

Computing Biology

August 28, 2016 by Complexity Digest   Comments (0)

Is Computational Biology increasingly—and steadily—progressing toward addressing the mammoth challenge of actually computing biology? That is, have we reached the stage where we do not support biological research but drive it? This question is vitally important for all—young and established computational biologists. Even though forecasting future research can be risky, we still venture to predict that the future will see considerably more research projects drifting toward this...