Remember me

Register  |   Lost password?


MoneyScience Financial Training: Introduction to QuantLib Development - London, March 13th-15th, 2017


All site blogs

Estimation for the Prediction of Point Processes with Many Covariates. (arXiv:1702.05315v1 [math.ST])

February 19, 2017 by Quantitative Finance at arXiv   Comments (0)

Estimation of the intensity of a point process is considered within a
nonparametric framework. The intensity measure is unknown and depends on
covariates, possibly many more than the observed number of jumps. Only a single
trajectory of the counting process is observed. Interest lies in estimating the
intensity conditional on the covariates. The impact of the covariates is
modelled by an additive model where each component can be written as a linear
combination of possibly unknown functions....

The amazing power of dimensional analysis: Quantifying market impact. (arXiv:1702.05434v1 [q-fin.TR])

February 19, 2017 by Quantitative Finance at arXiv   Comments (0)

This note complements the inspiring work on dimensional analysis and market
microstructure by Kyle and Obizhaeva \cite{kyle2016dimensional}. Our main
theorem shows by a similar argument as usually applied in physics the following
remarkable fact. If the market impact of a meta-order only depends on four
well-defined and financially meaningful variables, then -- up to a constant --
there is only one possible form of this dependence. In particular, the market
impact is proportional to the square...

Immigrants Do Not Increase Crime, Research Shows

February 19, 2017 by Complexity Digest   Comments (0)

Across our studies, one finding remains clear: Cities and neighborhoods with greater concentrations of immigrants have lower rates of crime and violence, all else being equal. Source:

What if brokerages graded their customers’ trading?

February 19, 2017 by The Reformed Broker   Comments (0)

This is fascinating. My pal Larry Swedroe of Buckingham Strategic Wealth looks at the first study of its kind – an online brokerage informed 1500 of its customers about whether or not the trades they were doing added any value. Note that this stands in direct opposition of the goals of online brokerages – to encourage......

Everyone Needs Good Advice

February 19, 2017 by The Aleph Blog   Comments (0)

Picture Credit: jen collins===================================================I am a fiduciary in my work that I do for my clients. I am also the largest investor in my own strategies, promising to keep a minimum of 80% of my liquid net worth in my strategies, and 50% of my total net worth in them (including my house, etc.).I believe in eating my own cooking.  I also believe in treating my clients well.  I’ve treated part of this in an earlier post called It’s Their Money, where I...

just a thought

February 18, 2017 by The Reformed Broker   Comments (0)

Riding the post-election rally sure has been fun, and profitable! But it won’t go on forever. We don’t know when it will end, or from what level, or what the cause will be. A lot of times throughout history there didn’t even need to be a cause. Just one day, out of the blue, the......

This Week on TRB

February 18, 2017 by The Reformed Broker   Comments (0)

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

Firm Age, Investment Opportunities, and Job Creation

February 18, 2017 by Journal of Finance   Comments (0)

New firms are an important source of job creation, but the underlying economic mechanisms for why this is so are not well understood. Using an identification strategy that links shocks to local income to job creation in the nontradable sector, we ask whether job creation arises more through new firm creation or through the expansion of existing firms. We find that new firms account for the bulk of net employment creation in response to local investment opportunities. We also find...

Control of finite critical behaviour in a small-scale social system

February 17, 2017 by Complexity Digest   Comments (0)

Many adaptive systems sit near a tipping or critical point. For systems near a critical point small changes to component behaviour can induce large-scale changes in aggregate structure and function. Criticality can be adaptive when the environment is changing, but entails reduced robustness through sensitivity. This tradeoff can be resolved when criticality can be tuned. We address the control of finite measures of criticality using data on fight sizes from an animal society model system...