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## All site blogs

### This Week on TRB

September 22, 2018 by The Reformed Broker   Comments (0)

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

### Cognitive mechanisms for human flocking dynamics

September 22, 2018 by Complexity Digest   Comments (0)

Low-level “adaptive” and higher-level “sophisticated” human reasoning processes have been proposed to play opposing roles in the emergence of unpredictable collective behaviors such as crowd panics, traffic jams, and market bubbles. While adaptive processes are widely recognized drivers of emergent social complexity, complementary theories of sophistication predict that incentives, education, and other inducements to rationality will suppress it. We show in a series of multiplayer laboratory...

### Clips From Today’s Halftime Report

September 21, 2018 by The Reformed Broker   Comments (0)

Why Mario Gabelli thinks you should own CBS and Viacom from CNBC. Questions from Halftime’s viewership from CNBC. Mario Gabelli’s four Ts: Tariffs, taxes, ten-year treasuries and technology from CNBC. Susquehanna on Under Armour: “sell the rally” from CNBC. Gamco’s Gabelli: I wish the stock market would drop so I could get better bargains from......

### Sometimes it would be better to just say nothing

September 21, 2018 by The Reformed Broker   Comments (0)

Remember all those divergences? ...

### Unfolding the complexity of the global value chain: Strengths and entropy in the single-layer, multiplex, and multi-layer international trade networks. (arXiv:1809.07407v1 [physics.soc-ph])

September 20, 2018 by Quantitative Finance at arXiv   Comments (0)

The worldwide trade network has been widely studied through different data
sets and network representations with a view to better understanding
interactions among countries and products. Here, we investigate international
trade through the lenses of the single-layer, multiplex, and multi-layer
networks. We discuss differences among the three network frameworks in terms of
We draw on the World Input-Output Database to...

### On the quasi-sure superhedging duality with frictions. (arXiv:1809.07516v1 [q-fin.MF])

September 20, 2018 by Quantitative Finance at arXiv   Comments (0)

We prove the superhedging duality for a discrete-time financial market with
proportional transaction costs under portfolio constraints and model
uncertainty. Frictions are modeled through solvency cones as in the original
model of [Kabanov, Y., Hedging and liquidation under transaction costs in
currency markets. Fin. Stoch., 3(2):237-248, 1999] adapted to the quasi-sure
setup of [Bouchard, B. and Nutz, M., Arbitrage and duality in nondominated
discrete-time models. Ann. Appl. Probab.,...

### Insider Trading with Penalties. (arXiv:1809.07545v1 [q-fin.TR])

September 20, 2018 by Quantitative Finance at arXiv   Comments (0)

We consider a one-period Kyle (1985) framework where the insider can be
subject to a penalty if she trades. We establish existence and uniqueness of
equilibrium for virtually any penalty function when noise is uniform. In
equilibrium, the demand of the insider and the price functions are in general
non-linear and remain analytically tractable because the expected price
function is linear. We use this result to investigate the trade off between
price efficiency and 'fairness': we consider a...

### Geometric Local Variance Gamma model. (arXiv:1809.07727v1 [q-fin.PR])

September 20, 2018 by Quantitative Finance at arXiv   Comments (0)

This paper describes another extension of the Local Variance Gamma model
originally proposed by P. Carr in 2008, and then further elaborated on by Carr
and Nadtochiy, 2017 (CN2017), and Carr and Itkin, 2018 (CI2018). As compared
with the latest version of the model developed in CI2018 and called the ELVG
(the Expanded Local Variance Gamma model), here we provide two innovations.
First, in all previous papers the model was constructed based on a Gamma
time-changed {\it arithmetic} Brownian...