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The Reformed Broker wrote a new blog post titled This Week on TRB
These were the most read posts on the site this week, in case you missed it: ... The post This Week on TRB appeared first on The Reformed Broker.
23 hours ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
The day’s biggest movers in the blitz, including Cloudflare, Broadcom and more from CNBC. Goldman predicts 26% downside for Apple from CNBC. Over the course of this cycle, equity market should continue to move higher: CIO from CNBC. What’s going on with Ulta? How does Newell Brands look here? from CNBC. Final Trades: JPMorgan, US...... The post Clips From Today’s Halftime Report appeared first on The Reformed Broker.
2 days ago
Complexity Digest wrote a new blog post titled Bilateral relatedness: knowledge diffusion and the evolution of bilateral trade
During the last two decades, two important contributions have reshaped our understanding of international trade. First, countries trade more with those with whom they share history, language, and culture, suggesting that trade is limited by information frictions. Second, countries are more likely to start exporting products that are related to their current exports, suggesting that shared capabilities and knowledge diffusion constrain export diversification. Here, we join both of these streams of literature by developing three measures of bilateral relatedness and using them to ask whether...
2 days ago
Finance Clippings wrote a new blog post titled Austria's 100 year bond.
If you create a bond with a 2% coupon in a world where interest rates are 0.9%, you can bet that that bond is going to be very very volatile.  Case in point - Austria's 100 year bond that matures in 2117.  (note: register for the economist and you can view a few articles for free). My quick calculations show that this bond has a duration of about 56.  That's pretty high!  I'd be interested to know whether investors are buying this a straight bet on interest rates or...
2 days ago
The Reformed Broker wrote a new blog post titled Success, happiness, wealth and service
Learning how to live, work and serve from one of the industry’s biggest success stories. Really thankful to Joe Duran for coming out and sharing his story and his ideas about the future with us all. More at The Compound (YouTube)... The post Success, happiness, wealth and service appeared first on The Reformed Broker.
2 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
Market rally driven by multiple expansion, says senior portfolio manager from CNBC. Bite into Shake Shack shares? How does Blackstone look? The desk takes viewer questions from CNBC.... The post Clips From Today’s Halftime Report appeared first on The Reformed Broker.
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Weak comonotonicity. (arXiv:1812.04827v2 [q-fin.RM] UPDATED)
The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly restrictive and sometimes unrealistic. In the present paper, we put forward a notion of weak comonotonicity, which contains the classical notion of comonotonicity as a special case, and gives rise to necessary and sufficient conditions for a number of optimization problems, such as those arising in portfolio diversification, risk aggregation, and premium...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Pricing Reliability Options under different electricity prices' regimes. (arXiv:1909.05761v1 [q-fin.PR])
Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by power producers to System Operators. This paper provides a comprehensive mathematical treatment of Reliability Options. Their value is first derived by means of closed-form pricing formulae, which are obtained under several assumptions about the dynamics of electricity prices and strike prices. Then, the value of the Reliability Option is simulated under a real-market calibration, using data of the Italian power...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled A new concept of technology with systemic-purposeful perpsective: theory, examples and empirical application. (arXiv:1909.05689v1 [econ.GN])
Although definitions of technology exist to explain the patterns of technological innovations, there is no general definition that explain the role of technology for humans and other animal species in environment. The goal of this study is to suggest a new concept of technology with a systemic-purposeful perspective for technology analysis. Technology here is a complex system of artifact, made and_or used by living systems, that is composed of more than one entity or sub-system and a relationship that holds between each entity and at least one other entity in the system, selected considering...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled The Emergence of Innovation Complexity at Different Geographical and Technological Scales. (arXiv:1909.05604v1 [econ.GN])
We define a novel quantitative strategy inspired by the ecological notion of nestedness to single out the scale at which innovation complexity emerges from the aggregation of specialized building blocks. Our analysis not only suggests that the innovation space can be interpreted as a natural system in which advantageous capabilities are selected by evolutionary pressure, but also that the emerging structure of capabilities is not independent of the scale of observation at which they are observed. Expanding on this insight allows us to understand whether the capabilities characterizing the...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Mortality rate forecasting: can recurrent neural networks beat the Lee-Carter model?. (arXiv:1909.05501v1 [q-fin.RM])
This article applies a long short-term memory recurrent neural network to mortality rate forecasting. The model can be trained jointly on the mortality rate history of different countries, ages, and sexes. The RNN-based method seems to outperform the popular Lee-Carter model.
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Deep Prediction of Investor Interest: a Supervised Clustering Approach. (arXiv:1909.05289v1 [cs.LG])
We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given timeframe. This architecture performs both investor clustering and modelling at the same time. We first verify its superior performance on a simulated scenario inspired by real data and then apply it to a large proprietary database from BNP Paribas Corporate and Institutional Banking.
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Modelling election dynamics and the impact of disinformation. (arXiv:1904.12614v2 [physics.soc-ph] CROSS LISTED)
Complex dynamical systems driven by the unravelling of information can be modelled effectively by treating the underlying flow of information as the model input. Complicated dynamical behaviour of the system is then derived as an output. Such an information-based approach is in sharp contrast to the conventional mathematical modelling of information-driven systems whereby one attempts to come up with essentially {\it ad hoc} models for the outputs. Here, dynamics of electoral competition is modelled by the specification of the flow of information relevant to election. The seemingly random...
2 days ago
The Reformed Broker wrote a new blog post titled Boockvar: They’re kidding themselves
A harmful policy that demonstrably achieves nothing. ... The post Boockvar: They’re kidding themselves appeared first on The Reformed Broker.
3 days ago
The Reformed Broker wrote a new blog post titled Recessions can be willed into existence with the power of negative thought
Read this ... The post Recessions can be willed into existence with the power of negative thought appeared first on The Reformed Broker.
3 days ago
The Practical Quant wrote a new blog post titled Understanding deep neural networks
The O'Reilly Data Show Podcast: Michael Mahoney on developing a practical theory for deep learning.In this episode of the Data Show, I speak with Michael Mahoney, a member of RISELab, the International Computer Science Institute, and the Department of Statistics at UC Berkeley. A physicist by training, Mahoney has been at the forefront of many important problems in large-scale data analysis. On the theoretical side, his works spans algorithmic and statistical methods for matrices, graphs, regression, optimization, and related problems. On the applications side, he has contributed to systems...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Distorted stochastic dominance: a generalized family of stochastic orders. (arXiv:1909.04767v1 [math.ST])
We study a generalized family of stochastic orders, semiparametrized by a distortion function H, namely H-distorted stochastic dominance, which may determine a continuum of dominance relations from the first- to the second-order stochastic dominance (and beyond). Such a family is especially suitable for representing a decision maker's preferences in terms of risk aversion and may be used in those situations in which a strong order does not have enough discriminative power, whilst a weaker one is poorly representative of some classes of decision makers. In particular, we focus on the class...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Linear Equilibria for Dynamic LQG Games with Asymmetric Information and Dependent Types. (arXiv:1909.04834v1 [econ.GN])
We consider a non-zero-sum linear quadratic Gaussian (LQG) dynamic game with asymmetric information. Each player observes privately a noisy version of a (hidden) state of the world $V$, resulting in dependent private observations. We study perfect Bayesian equilibria (PBE) for this game with equilibrium strategies that are linear in players' private estimates of $V$. The main difficulty arises from the fact that players need to construct estimates on other players' estimate on $V$, which in turn would imply that an infinite hierarchy of estimates on estimates needs to be constructed,...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise. (arXiv:1909.04853v1 [math.ST])
Volatility estimation based on high-frequency data is key to accurately measure and control the risk of financial assets. A L\'{e}vy process with infinite jump activity and microstructure noise is considered one of the simplest, yet accurate enough, models for financial data at high-frequency. Utilizing this model, we propose a "purposely misspecified" posterior of the volatility obtained by ignoring the jump-component of the process. The misspecified posterior is further corrected by a simple estimate of the location shift and re-scaling of the log likelihood. Our main result establishes a...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Estimating the volatility of Bitcoin using GARCH models. (arXiv:1909.04903v1 [q-fin.ST])
In this paper, an application of three GARCH-type models (sGARCH, iGARCH, and tGARCH) with Student t-distribution, Generalized Error distribution (GED), and Normal Inverse Gaussian (NIG) distribution are examined. The new development allows for the modeling of volatility clustering effects, the leptokurtic and the skewed distributions in the return series of Bitcoin. Comparative to the two distributions, the normal inverse Gaussian distribution captured adequately the fat tails and skewness in all the GARCH type models. The tGARCH model was the best model as it described the asymmetric...
3 days ago