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Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds. (arXiv:1812.01102v1 [q-fin.ST])

December 4, 2018 by Quantitative Finance at arXiv   Comments (0)

This paper studies an application of machine learning in extracting features
from the historical market implied corporate bond yields. We consider an
example of a hypothetical illiquid fixed income market. After choosing a
surrogate liquid market, we apply the Denoising Autoencoder (DAE) algorithm to
learn the features of the missing yield parameters from the historical data of
the instruments traded in the chosen liquid market. The DAE algorithm is then
challenged by two "point-in-time"...

Predicting future stock market structure by combining social and financial network information. (arXiv:1812.01103v1 [q-fin.ST])

December 4, 2018 by Quantitative Finance at arXiv   Comments (0)

We demonstrate that future market correlation structure can be predicted with
high out-of-sample accuracy using a multiplex network approach that combines
information from social media and financial data. Market structure is measured
by quantifying the co-movement of asset prices returns, while social structure
is measured as the co-movement of social media opinion on those same assets.
Predictions are obtained with a simple model that uses link persistence and
link formation by triadic closure...

An Optimal Extraction Problem with Price Impact. (arXiv:1812.01270v1 [math.OC])

December 4, 2018 by Quantitative Finance at arXiv   Comments (0)

A price-maker company extracts an exhaustible commodity from a reservoir, and
sells it instantaneously in the spot market. In absence of any actions of the
company, the commodity's spot price evolves either as a drifted Brownian motion
or as an Ornstein-Uhlenbeck process. While extracting, the company affects the
market price of the commodity, and its actions have an impact on the dynamics
of the commodity's spot price. The company aims at maximizing the total
expected profits from selling the...

Modelling China's Credit System with Complex Network Theory for Systematic Credit Risk Control. (arXiv:1812.01341v1 [q-fin.RM])

December 4, 2018 by Quantitative Finance at arXiv   Comments (0)

The insufficient understanding of the credit network structure was recognized
as a key factor for regulators' underestimation of the destructive systematic
risk during the financial crisis that started in 2007. The existing credit
network research either took a macro perspective to clarify the topological
properties of financial systems at a descriptive level or analyzed the risk
transmission path and characteristics of individual entities with much
pre-assumptions of the network. Here, we used...

Clips From Today’s Halftime Report

December 4, 2018 by The Reformed Broker   Comments (0)

 Markets turn lower as growth worries spook markets from CNBC. Dow drops more than 600 points from CNBC. Stephanie Link sells Goldman Sachs & Northrop Grumman from CNBC....

Quantifying the sensing power of crowd-sourced vehicle fleets

December 4, 2018 by Complexity Digest   Comments (0)

Sensors can measure air quality, traffic congestion, and other aspects of urban environments. The fine-grained diagnostic information they provide could help urban managers to monitor a city’s health. Recently, a `drive-by’ paradigm has been proposed in which sensors are deployed on third-party vehicles, enabling wide coverage at low cost} Research on drive-by sensing has mostly focused on sensor engineering, but a key question remains unexplored: How many vehicles would be required...

Is The Yield Curve Coming to Kill You?

December 4, 2018 by The Reformed Broker   Comments (0)

Michael and I discuss in an all new episiode of Live from the Compound ...

Sicko Mode

December 4, 2018 by The Reformed Broker   Comments (0)

How you get your message out is less important than the fact that it's getting out, period. ...

Optimal Transport on the Probability Simplex with Logarithmic Cost. (arXiv:1812.00032v1 [math.OC])

December 3, 2018 by Quantitative Finance at arXiv   Comments (0)

Motivated by the financial problem of building financial portfolios which
outperform the market, Pal and Wong considered optimal transport on the
probability simplex $\triangle^n$ where the cost function is induced by the
free energy. We study the regularity of this problem and find that the
associated $MTW$ tensor is non-negative definite and in fact constant on
$\triangle^n \times \triangle^n$. We further find that relative $c$-convexity
corresponds to the standard notion of convexity in the...

Using Column Generation to Solve Extensions to the Markowitz Model. (arXiv:1812.00093v1 [math.OC])

December 3, 2018 by Quantitative Finance at arXiv   Comments (0)

We introduce a solution scheme for portfolio optimization problems with
cardinality constraints. Typical portfolio optimization problems are extensions
of the classical Markowitz mean-variance portfolio optimization model. We solve
such type of problems using a scheme similar to column generation. In this
scheme, the original problem is restricted to a subset of the assets resulting
in a master convex quadratic problem. Then the dual information of the master
problem is used in a sub-problem to...