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Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints. (arXiv:1805.07532v2 [math.OC] UPDATED)

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

This paper investigates optimal consumption in the stochastic Ramsey problem
with the Cobb-Douglas production function. Contrary to prior studies, we allow
for general consumption processes, without any a priori boundedness constraint.
A non-standard stochastic differential equation, with neither Lipschitz
continuity nor linear growth, specifies the dynamics of the controlled state
process. A mixture of probabilistic arguments are used to construct the state
process, and establish its...

Complex Systems Postgraduate Entry Scholarship @ University of Sydney

November 12, 2018 by Complexity Digest   Comments (0)

Established in 2016, this Scholarship has been generously funded by the School of Civil Engineering to encourage and assist students with completing studies in complex systems at the University of Sydney. Applicants must have an unconditional offer of admission for the Masters of Complex Systems within the Faculty of Engineering and Information Technologies at the University of Sydney.Applicants must have achieved a WAM of 75 and above, or equivalent, in their previous tertiary studies.  ...

Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (arXiv:1811.03711v1 [cs.LG])

November 11, 2018 by Quantitative Finance at arXiv   Comments (0)

Volatility is a quantity of measurement for the price movements of stocks or
options which indicates the uncertainty within financial markets. As an
indicator of the level of risk or the degree of variation, volatility is
important to analyse the financial market, and it is taken into consideration
in various decision-making processes in financial activities. On the other
hand, recent advancement in deep learning techniques has shown strong
capabilities in modelling sequential data, such as...

Optimal trading using signals. (arXiv:1811.03718v1 [q-fin.TR])

November 11, 2018 by Quantitative Finance at arXiv   Comments (0)

In this paper we propose a mathematical framework to address the uncertainty
emergingwhen the designer of a trading algorithm uses a threshold on a signal
as a control. We rely ona theorem by Benveniste and Priouret to deduce our
Inventory Asymptotic Behaviour (IAB)Theorem giving the full distribution of the
inventory at any point in time for a well formulatedtime continuous version of
the trading algorithm.Since this is the first time a paper proposes to address
the uncertainty linked to the...

Endogeneous Dynamics of Intraday Liquidity. (arXiv:1811.03766v1 [q-fin.TR])

November 11, 2018 by Quantitative Finance at arXiv   Comments (0)

In this paper we investigate the endogenous information contained in four
liquidity variables at a five minutes time scale on equity markets around the
world: the traded volume, the bid-ask spread, the volatility and the volume at
first limits of the orderbook. In the spirit of Granger causality, we measure
the level of information by the level of accuracy of linear autoregressive
models. This empirical study is carried out on a dataset of more than 300
stocks from four different markets (US,...

How does stock market volatility react to oil shocks?. (arXiv:1811.03820v1 [econ.EM])

November 11, 2018 by Quantitative Finance at arXiv   Comments (0)

We study the impact of oil price shocks on the U.S. stock market volatility.
We jointly analyze three different structural oil market shocks (i.e.,
aggregate demand, oil supply, and oil-specific demand shocks) and stock market
volatility using a structural vector autoregressive model. Identification is
achieved by assuming that the price of crude oil reacts to stock market
volatility only with delay. This implies that innovations to the price of crude
oil are not strictly exogenous, but...

Risk-Neutral Pricing and Hedging of In-Play Football Bets. (arXiv:1811.03931v1 [q-fin.TR])

November 11, 2018 by Quantitative Finance at arXiv   Comments (0)

A risk-neutral valuation framework is developed for pricing and hedging
in-play football bets based on modelling scores by independent Poisson
processes with constant intensities. The Fundamental Theorems of Asset Pricing
are applied to this set-up which enables us to derive novel arbitrage-free
valuation formul\ae\ for contracts currently traded in the market. We also
describe how to calibrate the model to the market and how trades can be
replicated and hedged.

The Moral Machine experiment

November 11, 2018 by Complexity Digest   Comments (0)

With the rapid development of artificial intelligence have come concerns about how machines will make moral decisions, and the major challenge of quantifying societal expectations about the ethical principles that should guide machine behaviour. To address this challenge, we deployed the Moral Machine, an online experimental platform designed to explore the moral dilemmas faced by autonomous vehicles. This platform gathered 40 million decisions in ten languages from millions of people in 233...

Panayiotis Lambropoulos: The View from a Public Pension Manager’s Office

November 11, 2018 by All About Alpha   Comments (0)

On Nov. 13, the 24th Annual National Pension and Institutional Investment Summit convenes in Dallas Texas. CAIA is a sponsor of this event. Panayiotis Lambropoulos, portfolio manager of hedge funds at the Employees Retirement System of Texas, will offer his insights at a panel on emerging hedge fund managers. Lambropoulos’Read More