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Introduction to QuantLib Development with Luigi Ballabio - London, November 14 - 16th, 2016 -

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October 25, 2016 by The Reformed Broker   Comments (0)

This is from the Wall Street Journal this week and it is absurd: It just shouldn’t look this way. If you’re a millennial holding 70% of your investable assets in cash – and you’re not on the verge of buying a home or paying off the entirety of your student debt – you are squandering......

The Plumbing of Investing

October 25, 2016 by The Aleph Blog   Comments (0)

Photo Credit: Rex Babiera || Ours is an old house, and its guts reflect that.===============================================A question from a reader on my recent post Me Too!:I recently ran across Ed Thorp’s “Beat the Market.” I find reasonable his idea that you can take on risks that (almost / essentially) cancel each other out. Find assets that are negatively correlated to buy one long and the other short (he did it with stock warrants in the 60’s but when I started looking into that, well,...

Techniques for multifractal spectrum estimation in financial time series. (arXiv:1610.07028v1 [q-fin.ST])

October 24, 2016 by Quantitative Finance at arXiv   Comments (0)

Multifractal analysis is one of the important approaches that enables us to
measure the complexity of various data via the scaling properties. We compare
the most common techniques used for multifractal exponents estimation from both
theoretical and practical point of view. Particularly, we discuss the methods
based on estimation of R\'enyi entropy, which provide a powerful tool
especially in presence of heavy-tailed data. To put some flesh on bare bones,
all methods are compared on various...

Asymptotic of Non-Crossings probability of Additive Wiener Fields. (arXiv:1610.07131v1 [math.PR])

October 24, 2016 by Quantitative Finance at arXiv   Comments (0)

Let $W_i=\{W_i(t_i), t_i\in \R_+\}, i=1,2,\ldots,d$ are independent Wiener
processes. $W=\{W(\mathbf{t}),t\in \R_+^d\}$ be the additive Wiener field
define as the sum of $W_i$. For any trend $f$ in $\kHC$ (the reproducing kernel
Hilbert Space of $W$), we derive upper and lower bounds for the boundary
non-crossing probability $$P_f=P\{\sum_{i=1}^{d}W_i(t_i) +f(\mathbf{t})\leq
u(\mathbf{t}), \mathbf{t}\in\R_+^d\},$$ where $u: \R_+^d\rightarrow \R_+$ is a
measurable function. Furthermore, for...

The asset price bubbles in emerging financial markets: a new statistical approach. (arXiv:1610.07287v1 [q-fin.ST])

October 24, 2016 by Quantitative Finance at arXiv   Comments (0)

The bubble is a controversial and important issue. Many methods which based
on the rational expectation have been proposed to detect the bubble. However,
for some developing countries, epically China, the asset markets are so young
that for many companies, there are no dividends and fundamental value, making
it difficult (if not impossible) to measure the bubbles by existing methods.
Therefore, we proposed a simple but effective statistical method and three
statistics (that is, C, U, V) to...

Population growth, interest rate, and housing tax in the transitional China. (arXiv:1610.07292v1 [q-fin.EC])

October 24, 2016 by Quantitative Finance at arXiv   Comments (0)

This paper combines and develops the models in Lastrapes (2002) and Mankiw &
Weil (1989), which enables us to analyze the effects of interest rate and
population growth shocks on housing price in one integrated framework. Based on
this model, we carry out policy simulations to examine whether the housing
(stock or flow) tax reduces the housing price fluctuations caused by interest
rate or population growth shocks. Simulation results imply that the choice of
housing tax tools depends on the...

My Speech at Occupy Sydney Five Years Ago

October 24, 2016 by Steve Keen's Debtwatch   Comments (0)

Apparently it’s the fifth anniversary of the day I gave this talk, to the Occupy movement in Sydney, in Martin Place, right outside the offices of the Reserve Bank of Australia. The day after, the site was shut down by the police. It seems I was jinxed, because the same … Continue reading →