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Our popular course Introduction to QuantLib Development will be taking place June 18-20th, 2018.

 

All site blogs

Clips From Today’s Halftime Report

July 16, 2018 by The Reformed Broker   Comments (0)

 Trump-Putin meeting: Will there be an impact on the stock market? from CNBC. KBW: time to buy beaten up Wells Fargo from CNBC. Transports, tech and Dunkin Brands in the Blitz from CNBC. PNC, Bank of America, Qorvo & JPMorgan from CNBC....

Chain Blockers

July 16, 2018 by All About Alpha   Comments (0)

By Bill Kelly, CEO, CAIA Association The base case for distributed ledger technology (or DLT, and often used interchangeably with blockchain) is to create a trusted network of participants where there is just one ledger of account records shared by all and there is no central recordkeeper. Transactions are digitalRead More

It’s always a remix

July 16, 2018 by The Reformed Broker   Comments (0)

Market commentary across the decades is remarkably similar. Remember this as you are reading it. ...

Emergence of correlations between securities at short time scales. (arXiv:1807.05015v1 [q-fin.TR])

July 15, 2018 by Quantitative Finance at arXiv   Comments (0)

The correlation matrix is the key element in optimal portfolio allocation and
risk management. In particular, the eigenvectors of the correlation matrix
corresponding to large eigenvalues can be used to identify the market mode,
sectors and style factors. We investigate how these eigenvalues depend on the
time scale of securities returns in the U.S. market. For this purpose,
one-minute returns of the largest 533 U.S. stocks are aggregated at different
time scales and used to estimate the...

At the Mercy of the Common Noise: Blow-ups in a Conditional McKean--Vlasov Problem. (arXiv:1807.05126v1 [math.PR])

July 15, 2018 by Quantitative Finance at arXiv   Comments (0)

We extend a model of feedback and contagion in large mean-field systems by
introducing a common source of noise driven by Brownian motion. Although the
dynamics in the model are continuous, the feedback effect can lead to jump
discontinuities in the solutions --- i.e. 'blow-ups'. We prove existence of
solutions to the corresponding conditional McKean--Vlasov equation and we show
that the pathwise realisation of the common noise can both trigger and prevent
blow-ups.

Using the Variance Risk Premium to Predict Futures Markets

July 15, 2018 by All About Alpha   Comments (0)

A new study of volatility in commodity prices indicates that both the total and the decomposed variance risk premiums of at least certain commodities markets contain information with predictive power. The variance risk premium is the pay-off of the synthetic variance swap contract. Specifically, it’s the difference between the floatingRead More

Goosebumps

July 15, 2018 by The Reformed Broker   Comments (0)

The minute this email hit my inbox I got goosebumps....

Handbook of Quantile Regression

July 15, 2018 by Econometrics Beat   Comments (0)

Quantile regression is a powerful and flexible technique that is widely used by econometricians and other applied statisticians. In modern terms we tend to date it back to the classic paper by Koenker and Bassett (1978). Recently, I reviewed the Handbook of Quantile Regression. This edited volume comprises a number of important, original, contributions to the quantile regression literature. The various chapters cover a wide range of topics that extend the basic quantile regression set-up. You...

What's in a Journal Name?

July 14, 2018 by Econometrics Beat   Comments (0)

Back in 2011 I put together a very light-hearted working paper titled, What's in a (Journal) Name? Here's the associated link. That paper addressed the (obviously) important question: "Is there a a correlation between the ranking of an economics journal and the length of the journal's title?" I analyzed a sample of 159 academic economics journals. Although there was no significant association between journal quality and journal title length for the full sample of data, I did find that...