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Caveat Emptor: Leveraged Loans and the Credit Cycle

May 19, 2019 by All About Alpha   Comments (0)

AllianceBernstein, the Nashville-based, asset management firm released a white paper on high-yield bank loans. Buying these loans seems, to some investors, a fix for the ongoing low-interest-rate environment. But the white paper is a warning. In two words, “buyer beware.”  The paper is the work of Douglas J. Peebles andRead More

Update on the "Series of Unsurprising Results in Economics"

May 19, 2019 by Econometrics Beat   Comments (0)

In June of last year I had a post about a new journal, Series of Unsurprising Results in Economics (SURE). If you didn't get to read that post, I urge you to do so.  More importantly, you should definitely take a look at this piece by Kelsey Piper, from a couple of days ago, and titled, "This economics journal only publishes results that are no big deal - Here’s how that might save science". Kelsey really understands the rationale for SURE, and the important role that it...

This Week on TRB

May 18, 2019 by The Reformed Broker   Comments (0)

These were the most read posts on the site this week in case you missed it: ... The post This Week on TRB appeared first on The Reformed Broker.

Clips From Today’s Halftime Report

May 17, 2019 by The Reformed Broker   Comments (0)

The bull case for Uber from CNBC. Here’s how traders are looking at Uber’s market value from CNBC. Top retail analyst upgrades this athletic stock from CNBC. Final trades: Illumina, Home Depot & Colgate from CNBC.... The post Clips From Today’s Halftime Report appeared first on The Reformed Broker.

Live from StockTwits, at the cutting edge of trading and social media

May 17, 2019 by The Reformed Broker   Comments (0)

Every month, more than 2 million active users visit or use its app to learn, communicate, research and joke about markets, stocks, digital assets, ETFs and more.... The post Live from StockTwits, at the cutting edge of trading and social media appeared first on The Reformed Broker.

Ethics and actuaries: issues and opportunities

May 17, 2019 by Magic, Maths and Money   Comments (0)

I was invited by the “London Markets Actuarial Group”, made up of general insurance actuaries, to speak at an ethics workshop. This post is about some observations I have from this experience. My observations are critical. This does not mean I believe actuaries are not well-intentioned, rather there might be gaps in their understanding that inhibit clear ethical reasoning. The purpose is to highlight how ethical assumptions are always questionable and it is by asking questions that an...

Improving Regression-based Event Study Analysis Using a Topological Machine-learning Method. (arXiv:1905.06536v1 [econ.GN])

May 16, 2019 by Quantitative Finance at arXiv   Comments (0)

This paper introduces a new correction scheme to a conventional
regression-based event study method: a topological machine-learning approach
with a self-organizing map (SOM).We use this new scheme to analyze a major
market event in Japan and find that the factors of abnormal stock returns can
be easily can be easily identified and the event-cluster can be depicted.We
also find that a conventional event study method involves an empirical analysis
mechanism that tends to derive bias due to its...

Interdependence of sectors of economic activities for world countries from the reduced Google matrix analysis of WTO data. (arXiv:1905.06489v1 [q-fin.TR])

May 16, 2019 by Quantitative Finance at arXiv   Comments (0)

We apply the recently developed reduced Google matrix algorithm for the
analysis of the OECD-WTO world network of economic activities. This approach
allows to determine interdependences and interactions of economy sectors of
several countries, including China, Russia and USA, properly taking into
account the influence of all other world countries and their economic
activities. Within this analysis we also obtain the sensitivity of economy
sectors and EU countries to petroleum activity sector....

Dynamic model of firms competitive interaction on the market with taxation. (arXiv:1905.06364v1 [q-fin.GN])

May 16, 2019 by Quantitative Finance at arXiv   Comments (0)

In this article three models of firms interaction on the market are
described. One of these models is described by using a differential equation
and by Lotka-Volterra model, where the equation has a different form. Also,
there are models of non-competing and competing firms. The article presents an
algorithm for solving the interaction of competing firms in taxation and the
calculation of a compromise point. Besides, the article presents a compromise
between the interests of a state and an...

Unconventional Exchange: Methods for Statistical Analysis of Virtual Goods. (arXiv:1905.06721v1 [q-fin.GN])

May 16, 2019 by Quantitative Finance at arXiv   Comments (0)

Hyperinflation and price volatility in virtual economies has the potential to
reduce player satisfaction and decrease developer revenue. This paper describes
intuitive analytical methods for monitoring volatility and inflation in virtual
economies, with worked examples on the increasingly popular multiplayer game
Old School Runescape. Analytical methods drawn from mainstream financial
literature are outlined and applied in order to present a high level overview
of virtual economic activity of...