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Introduction to QuantLib Development with Luigi Ballabio June 29th - July 1st, London

Sentiment Analysis in Finance 

All site blogs

A Memorial Day Post On The Dytopia Of Standing Armies, Corporate Power And The State

May 25, 2015 by Timing Logic   Comments (0)

There certainly is a reality that as long as pathology, especially organized pathology in the form of the state, exists in this world, defensive force is necessary.  And we should honor those who would only be deployed as a last desperate act of violence to protect humanity and freedom from that evil.   But this dynamic and how it is maintained and deployed clearly needs to be rethought.   The paradox of the existence of the state and its endless violence requiring...

Complexity in Industrial Ecology: Models, Analysis, and Actions

May 24, 2015 by Complexity Digest   Comments (0)

This special issue brings together articles that illustrate the recent advances of studying complex adaptive systems in industrial ecology (IE). The authors explore the emergent behavior of sociotechnical systems, including product systems, industrial symbiosis (IS) networks, cities, resource consumption, and co-authorship networks, and offer application of complex systems models and analyses. The articles demonstrate the links, relevance, and implications of many (often emerging) fields...

Record statistics for random walk bridges. (arXiv:1505.06053v1 [cond-mat.stat-mech])

May 24, 2015 by Quantitative Finance at arXiv   Comments (0)

We investigate the statistics of records in a random sequence
$\{x_B(0)=0,x_B(1),\cdots, x_B(n)=x_B(0)=0\}$ of $n$ time steps. The sequence
$x_B(k)$'s represents the position at step $k$ of a random walk `bridge' of $n$
steps that starts and ends at the origin. At each step, the increment of the
position is a random jump drawn from a specified symmetric distribution. We
study the statistics of records and record ages for such a bridge sequence, for
different jump distributions. In absence of...

Bregman superquantiles. Estimation methods and applications. (arXiv:1405.6677v2 [math.ST] UPDATED)

May 24, 2015 by Quantitative Finance at arXiv   Comments (0)

In this work, we extend some quantities introduced in "Optimization of
conditional value-at-risk" of R.T Rockafellar and S. Uryasev to the case where
the proximity between real numbers is measured by using a Bregman divergence.
This leads to the definition of the Bregman superquantile. Axioms of a coherent
measure of risk discussed in "Coherent approches to risk in optimization under
uncertainty" of R.T Rockafellar are studied in the case of Bregman
superquantile. Furthermore, we deal with...

John Nash, 1928 - 2015

May 24, 2015 by Econometrics Beat   Comments (0)

John & Alicia NashTragically, John and Alicia Nash died as the result of a road accident on New Jersey yesterday. Just days previously, Nash was the co-recipient of the 2015 Abel Prize for his contributions to the theory of nonlinear partial differential equations. He was the only person to be awarded both the Abel Prize and a Nobel Prize (Economics, 1994). It would be impertinent of me to try and comment meaningfully, here, on Nash's contributions to Game Theory. I was,...

Ignore the annual first quarter recession

May 24, 2015 by The Reformed Broker   Comments (0)

Every year we have a recession in the first quarter and every year people get hysterical. And every year the economy rebounds into summer and the hysterics roll back their estimate cuts and their calls for economic demise. Putting aside why economy-watchers are so easily fooled or confused after so many episodes of the same......

“Waiting for Carnot”: Information and complexity

May 23, 2015 by Complexity Digest   Comments (0)

The relationship between information and complexity is analyzed using a detailed literature analysis. Complexity is a multifaceted concept, with no single agreed definition. There are numerous approaches to defining and measuring complexity and organization, all involving the idea of information. Conceptions of complexity, order, organization, and “interesting order” are inextricably intertwined with those of information. Shannon's formalism captures information's unpredictable...