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Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here

 

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New fat-tail normality test based on conditional second moments with applications to finance. (arXiv:1811.05464v1 [q-fin.ST])

November 13, 2018 by Quantitative Finance at arXiv   Comments (0)

In this paper we show how to use a statistical phenomenon commonly known as
the 20-60-20 rule to construct an efficient fat-tail measurement framework. We
construct a powerful statistical goodness-of-fit test that has a direct
(financial) interpretation and can be used to assess the impact of fat-tails on
central data normality assumption. In contrast to the Jarque-Bera test that is
based on the third and fourth moment, our test relies on the conditional second
moments. We show asymptotic...

EY Reports on Alternative Investments and Artificial Intelligence

November 13, 2018 by All About Alpha   Comments (0)

The twelfth annual report of what used to be known as the EY Global Hedge Fund Survey has been re-christened the EY Global Alternative Fund Survey. As it has under the earlier name, EY again records the views of fund managers and investors around the globe on a wide rangeRead More

Senior Researcher in Complex Systems @LakesideLabs

November 13, 2018 by Complexity Digest   Comments (0)

Lakeside Labs is a research and innovation company driven by the vision to create solutions for networked systems using concepts from self-organization. To further strengthen our team, we have an opening for a senior researcher position in complex systems engineering with emphasis on robotics/drones and autonomous transportation. Tasks* Perform outstanding research in the field of complex systems* Publish in high-tier scientific journals and conferences* Actively participate in research...

Managing risk in machine learning

November 13, 2018 by The Practical Quant   Comments (0)

[A version of this post appears on the O'Reilly Radar.]Considerations for a world where ML models are becoming mission critical.In this post, I share slides and notes from a keynote I gave at the Strata Data Conference in New York last September. As the data community begins to deploy more machine learning (ML) models, I wanted to review some important considerations.Let’s begin by looking at the state of adoption. We recently conducted a surveywhich garnered more than 11,000 respondents—our...

QuantLib notebook: using curves with different day count conventions

November 13, 2018 by Implementing QuantLib   Comments (0)

Welcome back. This week, the screencast of my last notebook from the QuantLib Python Cookbook—or, as you might say, my last excuse to publish a quick blog post.

Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness. (arXiv:1811.04197v1 [econ.TH])

November 12, 2018 by Quantitative Finance at arXiv   Comments (0)

Over the past five decades a number of multilateral index number systems have
been proposed for spatial and cross-country price comparisons. These
multilateral indexes are usually expressed as solutions to systems of linear or
nonlinear equations. In this paper, we provide general theorems that can be
used to establish necessary and sufficient conditions for the existence and
uniqueness of the Geary-Khamis, IDB, Neary and Rao indexes as well as potential
new systems including two generalized...

A framework for simulating systemic risk and its application to the South African banking sector. (arXiv:1811.04223v1 [q-fin.RM])

November 12, 2018 by Quantitative Finance at arXiv   Comments (0)

We present a network-based framework for simulating systemic risk that
considers shock propagation in banking systems. In particular, the framework
allows the modeller to reflect a top-down framework where a shock to one bank
in the system affects the solvency and liquidity position of other banks,
through systemic market risks and consequential liquidity strains. We
illustrate the framework with an application using South African bank balance
sheet data. Spikes in simulated assessments of...

Capital Structure and Speed of Adjustment in U.S. Firms. A Comparative Study in Microeconomic and Macroeconomic Conditions - A Quantille Regression Approach. (arXiv:1811.04473v1 [econ.EM])

November 12, 2018 by Quantitative Finance at arXiv   Comments (0)

The major perspective of this paper is to provide more evidence regarding how
"quickly", in different macroeconomic states, companies adjust their capital
structure to their leverage targets. This study extends the empirical research
on the topic of capital structure by focusing on a quantile regression method
to investigate the behavior of firm-specific characteristics and macroeconomic
factors across all quantiles of distribution of leverage (book leverage and
market leverage). Therefore,...

A Simple Combinatorial Model of World Economic History. (arXiv:1811.04502v1 [econ.GN])

November 12, 2018 by Quantitative Finance at arXiv   Comments (0)

We use a simple combinatorial model of technological change to explain the
Industrial Revolution. The Industrial Revolution was a sudden large improvement
in technology, which resulted in significant increases in human wealth and life
spans. In our model, technological change is combining or modifying earlier
goods to produce new goods. The underlying process, which has been the same for
at least 200,000 years, was sure to produce a very long period of relatively
slow change followed with...