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Orange Theory

December 7, 2018 by The Reformed Broker   Comments (0)

one person close to the White House said:  “He’s glued to it.”...

A structural transition in physical networks

December 7, 2018 by Complexity Digest   Comments (0)

In many physical networks, including neurons in the brain1,2, three-dimensional integrated circuits3 and underground hyphal networks4, the nodes and links are physical objects that cannot intersect or overlap with each other. To take this into account, non-crossing conditions can be imposed to constrain the geometry of networks, which consequently affects how they form, evolve and function. However, these constraints are not included in the theoretical frameworks that are currently used to...

The Impact of Potential Crowd Behaviours on Emergency Evacuation

December 7, 2018 by Complexity Digest   Comments (0)

Crowd dynamics have important applications in evacuation management systems relevant to organizing safer large scale gatherings. For crowd safety, it is very important to study the evolution of potential crowd behaviours by simulating the crowd evacuation process. Planning crowd control tasks via studying the impact of crowd behavioural evolution towards evacuation simulation could mitigate the possibility of crowd disasters that may happen. During a typical emergency evacuation scenario,...

General Compound Hawkes Processes in Limit Order Books. (arXiv:1812.02298v1 [q-fin.TR])

December 6, 2018 by Quantitative Finance at arXiv   Comments (0)

In this paper, we study various new Hawkes processes. Specifically, we
construct general compound Hawkes processes and investigate their properties in
limit order books. With regards to these general compound Hawkes processes, we
prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems
(FCLT) for several specific variations. We apply several of these FCLTs to
limit order books to study the link between price volatility and order flow,
where the volatility in mid-price changes...

In (Stochastic) Search of a Fairer Alife. (arXiv:1812.02311v1 [q-fin.GN])

December 6, 2018 by Quantitative Finance at arXiv   Comments (0)

Economies and societal structures in general are complex stochastic systems
which may not lend themselves well to algebraic analysis. An addition of
subjective value criteria to the mechanics of interacting agents will further
complicate analysis. The purpose of this short study is to demonstrate
capabilities of agent-based computational economics to be a platform for
fairness or equity analysis in both a broad and practical sense.

Continuous Learning Augmented Investment Decisions. (arXiv:1812.02340v1 [cs.LG])

December 6, 2018 by Quantitative Finance at arXiv   Comments (0)

Investment decisions can benefit from incorporating an accumulated knowledge
of the past to drive future decision making. We introduce Continuous Learning
Augmentation (CLA) which is based on an explicit memory structure and a feed
forward neural network (FFNN) base model and used to drive long term financial
investment decisions. We demonstrate that our approach improves accuracy in
investment decision making while memory is addressed in an explainable way. Our
approach introduces novel...

Quantification of market efficiency based on informational-entropy. (arXiv:1812.02371v1 [q-fin.GN])

December 6, 2018 by Quantitative Finance at arXiv   Comments (0)

Since the 1960s, the question whether markets are efficient or not is
controversially discussed. One reason for the difficulty to overcome the
controversy is the lack of a universal, but also precise, quantitative
definition of efficiency that is able to graduate between different states of
efficiency. The main purpose of this article is to fill this gap by developing
a measure for the efficiency of markets that fulfill all the stated
requirements. It is shown that the new definition of...

Using published bid/ask curves to error dress spot electricity price forecasts. (arXiv:1812.02433v1 [q-fin.ST])

December 6, 2018 by Quantitative Finance at arXiv   Comments (0)

Accurate forecasts of electricity spot prices are essential to the daily
operational and planning decisions made by power producers and distributors.
Typically, point forecasts of these quantities suffice, particularly in the
Nord Pool market where the large quantity of hydro power leads to price
stability. However, when situations become irregular, deviations on the price
scale can often be extreme and difficult to pinpoint precisely, which is a
result of the highly varying marginal costs of...