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The cyclicality of loan loss provisions under three different accounting models: the United Kingdom, Spain, and Brazil. (arXiv:1907.07491v1 [econ.GN])

July 17, 2019 by Quantitative Finance at arXiv   Comments (0)

A controversy involving loan loss provisions in banks concerns their
relationship with the business cycle. While international accounting standards
for recognizing provisions (incurred loss model) would presumably be
pro-cyclical, accentuating the effects of the current economic cycle, an
alternative model, the expected loss model, has countercyclical
characteristics, acting as a buffer against economic imbalances caused by
expansionary or contractionary phases in the economy. In Brazil, a...

Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model. (arXiv:1907.07425v1 [q-fin.GN])

July 17, 2019 by Quantitative Finance at arXiv   Comments (0)

We investigate a multi-household DSGE model in which past aggregate
consumption impacts the confidence, and therefore consumption propensity, of
individual households. We find that such a minimal setup is extremely rich, and
leads to a variety of realistic output dynamics: high output with no crises;
high output with increased volatility and deep, short lived recessions;
alternation of high and low output states where relatively mild drop in
economic conditions can lead to a temporary...

A model-free backward and forward nonlinear PDEs for implied volatility. (arXiv:1907.07305v1 [q-fin.CP])

July 17, 2019 by Quantitative Finance at arXiv   Comments (0)

We derive a backward and forward nonlinear PDEs that govern the implied
volatility of a contingent claim whenever the latter is well-defined. This
would include at least any contingent claim written on a positive stock price
whose payoff at a possibly random time is convex. We also discuss suitable
initial and boundary conditions for those PDEs. Finally, we demonstrate how to
solve them numerically by using an iterative finite-difference approach.

Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate. (arXiv:1903.00369v2 [q-fin.CP] UPDATED)

July 17, 2019 by Quantitative Finance at arXiv   Comments (0)

In this paper we investigate price and Greeks computation of a Guaranteed
Minimum Withdrawal Benefit (GMWB) Variable Annuity (VA) when both stochastic
volatility and stochastic interest rate are considered together in the Heston
Hull-White model. Specifically, we employ an improved version of the Hybrid
Tree-PDE (HPDE) approach introduced by Briani et al.. Such a numerical method
turns out to be particularly suitable to handle the long maturity of GMWB
products and to solve the dynamic control...

Self Organizing Supply Chains for Micro-Prediction: Present and Future uses of the ROAR Protocol. (arXiv:1907.07514v1 [stat.AP])

July 17, 2019 by Quantitative Finance at arXiv   Comments (0)

A multi-agent system is trialed as a means of crowd-sourcing inexpensive but
high quality streams of predictions. Each agent is a microservice embodying
statistical models and endowed with economic self-interest. The ability to fork
and modify simple agents is granted to a large number of employees in a firm
and empirical lessons are reported. We suggest that one plausible trajectory
for this project is the creation of a Prediction Web.

Clips From Today’s Closing Bell

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

... The post Clips From Today’s Closing Bell appeared first on The Reformed Broker.

You'll want Nexar's newly released Live Map for your city

July 17, 2019 by The Practical Quant   Comments (0)

Extracting and exposing valuable insights to enable smart cities and many other applications.I recently had the privilege of getting a preview of Nexar's Live Map, from my friend, Nexar's CTO and co-founder Bruno Fernandez-Ruiz. Nexar uses off-the-shelf smartphones and dash-cams, sophisticated data ingestion, data processing, sensor fusion, and machine learning software to realize their vision of creating the largest safe driving network. To date the company has recorded many miles of driving...

Restrictions on Pension Plan Investments: A Global Survey

July 16, 2019 by All About Alpha   Comments (0)

A new report from the Organization for Economic Cooperation and Development surveys the main quantitative investment restrictions to which pension funds and other pension providers are subject in both OECD countries and a selection of International Organization of Pension Supervisors’ (IOPS) member countries. It reminds us of the general desireRead More

Quant GANs: Deep Generation of Financial Time Series. (arXiv:1907.06673v1 [q-fin.MF])

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

Modeling financial time series by stochastic processes is a challenging task
and a central area of research in financial mathematics. In this paper, we
break through this barrier and present Quant GANs, a data-driven model which is
inspired by the recent success of generative adversarial networks (GANs). Quant
GANs consist of a generator and discriminator function which utilize temporal
convolutional networks (TCNs) and thereby achieve to capture longer-ranging
dependencies such as the presence...

Nature of thermodynamics equation of state towards economics equation of state. (arXiv:1907.07108v1 [physics.soc-ph])

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

This work critics on nature of thermodynamics coordinates and on roles of the
variables in the equation of state (EoS). Coordinate variables in the EoS are
analyzed so that central concepts are noticed and are used to lay a foundation
in building of a new EoS or in testing EoS status of a newly constructed
empirical equation. With these concepts, we classify EoS into two classes. We
find that the EoS of market with unitary price demand and linear
price-dependent supply function proposed by...