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Universal Exponential Structure of Income Inequality: Evidence from 60 Countries. (arXiv:1612.01624v1 [q-fin.EC])

December 6, 2016 by Quantitative Finance at arXiv   Comments (0)

Economic competition between humans leads to income inequality, but, so far,
there has been little understanding of underlying quantitative mechanisms
governing such a collective behavior. We analyze datasets of household income
from 60 countries, ranging from Europe to Latin America, North America and
Asia. For all of the countries, we find a surprisingly universal rule: Income
distribution for the great majority of populations (low and middle income
classes) follows an exponential law. To...

Stability of calibration procedures: fractals in the Black-Scholes model. (arXiv:1612.01951v1 [q-fin.MF])

December 6, 2016 by Quantitative Finance at arXiv   Comments (0)

Usually, in the Black-Scholes pricing theory the volatility is a positive
real parameter. Here we explore what happens if it is allowed to be a complex
number. The function for pricing a European option with a complex volatility
has essential singularities at zero and infinity. The singularity at zero
reflects the put-call parity. Solving for the implied volatility that
reproduces a given market price yields not only a real root, but also
infinitely many complex roots in a neighbourhood of the...

Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion. (arXiv:1612.01979v1 [q-fin.PR])

December 6, 2016 by Quantitative Finance at arXiv   Comments (0)

We construct a binomial tree model fitting all moments to the approximated
geometric Brownian motion. Our construction generalizes the classical
Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The
new binomial model is used to resolve a discontinuity problem in option
pricing.

Let’s say you’re not optimistic about the next four years…

December 6, 2016 by The Reformed Broker   Comments (0)

Call it an emotional hedge with the added kicker that you might actually make some money should your worst fears be realized. ...

Sugar Pills

December 6, 2016 by The Reformed Broker   Comments (0)

I know I’m doing a lot of stuff about the alleged “Trump Rally” lately but I have good reasons: First of all, it’s the most dominant story in the market place by far now that the Fed is basically PGing a hike. And second, it’s absolutely absurd and people are running around acting like maniacs,......

The Beauty of Old Ideas

December 6, 2016 by The Aleph Blog   Comments (0)

Photo Credit: Daniele Dalledonne || Ever been to a place where everything was a little past its prime, but showed that it was a beautiful place in its time?One of the great draws in reading investment writing is the lure of “hot tips.”  Everyone wants an investment idea that they can put a lot of money into that will reward buyers (or shorts) with a quick and large score.  Thus most publications try to lure you in with articles like these, whether they will work or not.We live in an...