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Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective. (arXiv:1808.05893v1 [q-fin.ST])

August 19, 2018 by Quantitative Finance at arXiv   Comments (0)

This paper analyzes the connection between innovation activities of companies
-- implemented before crisis -- and their performance -- measured at time of
crisis. The companies listed in the STAR Market Segment of the Italian Stock
Exchange are analyzed. Innovation is measured through the level of investments
in total tangible and intangible fixed assets in 2006-2007, while performance
is captured through growth -- expressed by variations of sales, total assets
and employees -- profitability --...

Eurekahedge: Hedge Funds Trailing Behind Last Year’s Performance

August 19, 2018 by All About Alpha   Comments (0)

According to Eurekahedge, with the July numbers on hedge fund performance now available, 8.5% of hedge fund managers have posted double-digit gains in 2018 to date. Most of that gain is focused on those with a long/short equities mandate. That number is quite low. Eurekahedge contrasts it with the firstRead More

Making the Most of Summer

August 17, 2018 by The Reformed Broker   Comments (0)

The kids are back from camp and I’m sneaking out of the office one day a week to do as little as possible. I’m very sensitive to the changing of seasons and I already sense the days shortening without even glancing at the time. I took this shot at around 6am from the bike. A......

The Best of the Aleph Blog, Part 39

August 16, 2018 by The Aleph Blog   Comments (0)

Photo Credit: michel D’anastasio====================In my view, these were my best posts written between August 2016 and October 2016:What to do when Ethics are DiscouragedEight ways to promote ethics where it is not popular.On Pricing Grids, Part 1On Pricing Grids, Part 1aOn how to price illiquid bonds, and why GAAP accounting does not matter for financial stock prices.The Cash Will Prove ItselfOn Donald Trump, during a time in 1990, when he said in the midst of a personal business...

A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap. (arXiv:1808.05289v1 [q-fin.PR])

August 16, 2018 by Quantitative Finance at arXiv   Comments (0)

In this paper, we develop a new nonparametric approach for estimating the
risk-neutral density of asset price and reformulate its estimation into a
double-constrained optimization problem. We implement our approach in R and
evaluate it using the S\&P 500 market option prices from 1996 to 2015. A
comprehensive cross-validation study shows that our approach outperforms the
existing nonparametric quartic B-spline and cubic spline methods, as well as
the parametric method based on the Normal...

SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations. (arXiv:1808.05295v1 [q-fin.CP])

August 16, 2018 by Quantitative Finance at arXiv   Comments (0)

Characteristic functions of several popular classes of distributions and
processes admit analytic continuation into unions of strips and open coni
around $\mathbb{R}\subset \mathbb{C}$. The Fourier transform techniques reduces
calculation of probability distributions and option prices to evaluation of
integrals whose integrands are analytic in domains enjoying these properties.
In the paper, we suggest to use changes of variables of the form
$\xi=\sqrt{-1}\omega_1+b\sinh (\sqrt{-1}\omega+y)$...

Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary. (arXiv:1808.05311v1 [math.NA])

August 16, 2018 by Quantitative Finance at arXiv   Comments (0)

In this paper, we study the non-linear diffusion equation associated with a
particle system where the common drift depends on the rate of absorption of
particles at a boundary. We provide an interpretation as a structural credit
risk model with default contagion in a large interconnected banking system.
Using the method of heat potentials, we derive a coupled system of Volterra
integral equations for the transition density and for the loss through
absorption. An approximation by expansion is...

Deep Learning for Energy Markets. (arXiv:1808.05527v1 [stat.ML])

August 16, 2018 by Quantitative Finance at arXiv   Comments (0)

Deep Learning (DL) provides a methodology to predict extreme loads observed
in energy grids. Forecasting energy loads and prices is challenging due to
sharp peaks and troughs that arise from intraday system constraints due to
supply and demand fluctuations. We propose the use of deep spatio-temporal
models and extreme value theory (DL-EVT) to capture the tail behavior of load
spikes. Deep architectures such as ReLU and LSTM can model generation trends
and temporal dependencies, while EVT...

Illuminating Gender Differences in Entrepreneurship

August 16, 2018 by All About Alpha   Comments (0)

Illuminate Ventures, an early-stage high-tech VC firm, has posted a paper by its founder and managing partner, Cindy Padnos, on “gender differences in entrepreneurship.” The paper begins with the observation that nearly half of the Illuminate portfolio companies have a woman as a co-founder. This doesn’t mean of course thatRead More