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


All site blogs

The Luck of the Irish

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

I'm feeling incredibly lucky right now and I wanted to share a bit about why. ...

Why I Like Foreign Small Cap ETFs

March 15, 2018 by The Aleph Blog   Comments (0)

Photo Credit: amanda tipton || It may not be foreign, and not an ETF, but it IS a small cap======================This should be a short post.  When I like a foreign market because it seems cheap (blood running in the streets), I sometimes buy a small cap ETF or closed-end fund rather than the cheaper large cap version.  Why?They diversify a US-centric portfolio better.  There are several reasons for that:a) the large companies of many countries are often concentrated in the industries that the...

Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model. (arXiv:1803.05663v1 [econ.EM])

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

We develop a strong diagnostic for bubbles and crashes in bitcoin, by
analyzing the coincidence (and its absence) of fundamental and technical
indicators. Using a generalized Metcalfe's law based on network properties, a
fundamental value is quantified and shown to be heavily exceeded, on at least
four occasions, by bubbles that grow and burst. In these bubbles, we detect a
universal super-exponential unsustainable growth. We model this universal
pattern with the Log-Periodic Power Law...

Optimal liquidity-based trading tactics. (arXiv:1803.05690v1 [q-fin.TR])

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

We consider an agent who needs to buy (or sell) a relatively small amount of
asset over some fixed short time interval. We work at the highest frequency
meaning that we wish to find the optimal tactic to execute our quantity using
limit orders, market orders and cancellations. To solve the agent's control
problem, we build an order book model and optimize an expected utility function
based on our price impact. We derive the equations satisfied by the optimal
strategy and solve them numerically....

Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management. (arXiv:1803.05819v1 [q-fin.PM])

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

Portfolio management problems are often divided into two types: active and
passive, where the objective is to outperform and track a preselected
benchmark, respectively. Here, we formulate and solve a dynamic asset
allocation problem that combines these two objectives in a unified framework.
We look to maximize the expected growth rate differential between the wealth of
the investor's portfolio and that of a performance benchmark while penalizing
risk-weighted deviations from a given tracking...

Technical Uncertainty in Real Options with Learning. (arXiv:1803.05831v1 [q-fin.MF])

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

We introduce a new approach to incorporate uncertainty into the decision to
invest in a commodity reserve. The investment is an irreversible one-off
capital expenditure, after which the investor receives a stream of cashflow
from extracting the commodity and selling it on the spot market. The investor
is exposed to price uncertainty and uncertainty in the amount of available
resources in the reserves (i.e. technical uncertainty). She does, however,
learn about the reserve levels through time,...

Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises. (arXiv:1803.05861v1 [cs.CG])

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

We examine volume computation of general-dimensional polytopes and more
general convex bodies, defined as the intersection of a simplex by a family of
parallel hyperplanes, and another family of parallel hyperplanes or a family of
concentric ellipsoids. Such convex bodies appear in modeling and predicting
financial crises. The impact of crises on the economy (labor, income, etc.)
makes its detection of prime interest. Certain features of dependencies in the
markets clearly identify times of...

Reducing Dependence on (L)IBOR

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

A creation of the mid-1980s, the London Interbank Offered rate (LIBOR) became immensely influential over the three decades that followed. It became a reference rate for both finance and commerce for the rate of nearly risk-free interest, and in the process it spawned other IBORs, including EURIBOR and Japan’s TIBOR.Read More

How to train and deploy deep learning at scale

March 15, 2018 by The Practical Quant   Comments (0)

[A version of this post appears on the O'Reilly Radar.]The O'Reilly Data Show Podcast: Ameet Talwalkar on large-scale machine learning.In this episode of the Data Show, I spoke with Ameet Talwalkar, assistant professor of machine learning at CMU and co-founder of Determined AI. He was an early and key contributor to Spark MLlib and a member of AMPLab. Most recently, he helped conceive and organize the first edition of SysML, a new academic conference at the intersection of systems and machine...

Meaningful Human Control over Autonomous Systems: A Philosophical Account

March 14, 2018 by Complexity Digest   Comments (0)

Debates on lethal autonomous weapon systems have proliferated in the past 5 years. Ethical concerns have been voiced about a possible raise in the number of wrongs and crimes in military operations and about the creation of a “responsibility gap” for harms caused by these systems. To address these concerns, the principle of “meaningful human control” has been introduced in the legal–political debate; according to this principle, humans not computers and their...