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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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Reminiscences of R in Finance 2016

May 29, 2016 by Patrick Burns   Comments (0)

When I announced R in Finance 2016 I talked about 2 days of conference and 50 speakers.  I missed out the 3 days of sleep deprivation. But a pleasant 3 days of sleep deprivation it was — seeing old friends and making new ones. I’m not sure that Mother Mary believed me that in our house we still use the mug from the original R in Finance.  Here’s proof that it still survives when so many of its comrades have perished.   I had great fun giving my presentation.  The...

My latest on CNBC: Why the SEC should just say ‘no’ to IEX

May 29, 2016 by Holly Bell   Comments (0)

By UCLA Professor Avanidhar Subrahmanyam and University of Alaska Professor Holly Bell   Since IEX submitted an application last year to the SEC to become a public stock exchange, a big debate has erupted about a seemingly small time frame — 350 microseconds. IEX’s proposed exchange would implement an intentional delay of 350 microseconds to incoming and outgoing information, except for a few select order types. The debate has led the SEC to issue an interpretive release, which...

Matching markets in the digital age

May 29, 2016 by Complexity Digest   Comments (0)

Recent advances in information technology are enabling new markets and revolutionizing many existing markets. For example, taxicabs used to find passengers through chance drive-bys or slow central dispatching (see the photo). Location tracking, computer navigation, and dynamic pricing now enable ride-sharing services such as Uber to offer low and consistent delay times of only a few minutes. In a recent study, Cramer and Krueger (1) show that ride-sharing has dramatically increased the usage of...

US market portrait 2016 week 22

May 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

Forecasting From an Error Correction Model

May 28, 2016 by Econometrics Beat   Comments (0)

Recently, a reader asked about generating forecasts from an estimated Error Correction Model (ECM). Really, the issues that arise are no different from those associated with any dynamic regression model. I talked about the latter in a previous post in 2013. Anyway, let's take a look at the specifics......... For simplicity, suppose that we have just two variables, Y and X, and a single-equation ECM, with Y as the variable that we want to model. The following discussion extends trivially...

This Week on TRB

May 28, 2016 by The Reformed Broker   Comments (0)

These were the most read posts on the site this week, in case you missed it:...

Government ‘nudges’ prove their worth

May 28, 2016 by Complexity Digest   Comments (0)

Over the past 5 years, on behalf of state governments, nearly 100,000 Americans were gently manipulated by a team of social scientists. In 15 randomized, controlled trials, people in need of social services either encountered the standard application process or received a psychological nudge, in which the information was presented slightly differently—a postcard reminded them of deadlines, for example, or one choice was made easier than another. In 11 of the trials, the nudge modestly...

Gender homophily in online dyadic and triadic relationships

May 28, 2016 by Complexity Digest   Comments (0)

Gender homophily, or the preference for interaction with individuals of the same gender, has been observed in many contexts, especially during childhood and adolescence. In this study we investigate such phenomenon by analyzing the interactions of the ∼10 million users of Tuenti, a Spanish social networking service popular among teenagers. In dyadic relationships we find evidence of higher gender homophily for women. We also observe a preference of users with more friends to connect to the...

The Real Secret of Youth Is Complexity

May 28, 2016 by Complexity Digest   Comments (0)

Simplicity, simplicity, simplicity!” Henry David Thoreau exhorted in his 1854 memoir Walden, in which he extolled the virtues of a “Spartan-like” life. Saint Thomas Aquinas preached that simplicity brings one closer to God. Isaac Newton believed it leads to truth. The process of simplification, we’re told, can illuminate beauty, strip away needless clutter and stress, and help us focus on what really matters.It can also be a sign of aging. Youthful health and vigor...