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Complexity Digest wrote a new blog post titled Settlement percolation: A study of building connectivity and poles of inaccessibility
•Spatial clustering is applied to coordinates of the building stock in Germany. •We determine the percolation distance at which a country spanning cluster emerges. •The top five largest holes in that mesh are or were military training areas. •The building density decreases with the clustering threshold following a power-law with an exponent close to 0.75. •The overbuilding is a phenomenon that is beyond the dichotomy of sprawled and compact urban development.   Settlement percolation: A study of building connectivity and poles of inaccessibility Martin Behnisch, Martin Schorcht, Steffen...
3 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Enhancing the Demand for Labour survey by including skills from online job advertisements using model-assisted calibration. (arXiv:1908.06731v1 [econ.GN])
In the article we describe an enhancement to the Demand for Labour (DL) survey conducted by Statistics Poland, which involves the inclusion of skills obtained from online job advertisements. The main goal is to provide estimates of the demand for skills (competences), which is missing in the DL survey. To achieve this, we apply a data integration approach combining traditional calibration with the LASSO-assisted approach to correct representation error in the online data. Faced with the lack of access to unit-level data from the DL survey, we use estimated population totals and propose...
15 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Entropic Dynamics of Exchange Rates and Options. (arXiv:1908.06358v1 [q-fin.PR])
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. Entropic Dynamics is an application of entropic inference, which is equipped with the entropic notion of time to model dynamics. The scale invariance is a symmetry of the dynamics of exchange rates, which is manifested in our formalism. To...
15 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Entropic Dynamics of Stocks and European Options. (arXiv:1908.06355v1 [q-fin.PR])
We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. The objective of the paper is to lay down an alternative framework for modeling dynamics. An important information about the dynamics of a stock's price is scale invariance. By imposing the scale invariant symmetry, we arrive at choosing the logarithm of the stock's price as the proper variable to model. The dynamics of stock log price is derived using two pieces...
15 hours ago
Quantitative Finance at arXiv wrote a new blog post titled On non-uniqueness in mean field games. (arXiv:1908.06207v1 [math.PR])
We analyze an $N+1$-player game and the corresponding mean field game with state space $\{0,1\}$. The transition rate of $j$-th player is the sum of his control $\alpha^j$ plus a minimum jumping rate $\eta$. Instead of working under monotonicity conditions, here we consider an anti-monotone running cost. We show that the mean field game equation may have multiple solutions if $\eta < \frac{1}{2}$. We also prove that that although multiple solutions exist, only the one coming from the entropy solution is charged (when $\eta=0$), and therefore resolve a conjecture of ArXiv: 1903.05788.
15 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Expected utility operators and coinsurance problem. (arXiv:1908.06927v1 [q-fin.MF])
The expected utility operators introduced in a previous paper, offer a framework for a general risk aversion theory, in which risk is modelled by a fuzzy number $A$. In this paper we formulate a coinsurance problem in the possibilistic setting defined by an expected utility operator $T$. Some properties of the optimal saving $T$-coinsurance rate are proved and an approximate calculation formula of this is established with respect to the Arrow-Pratt index of the utility function of the policyholder, as well as the expected value and the variance of a fuzzy number $A$. Various formulas of...
15 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Explicit Design For Strategy Formulation Frameworks. (arXiv:1908.06890v1 [q-fin.GN])
This paper deals with the explicit design of the strategy formulations to make the best strategic choices from a conventional matrix form. The explicit strategy formulation is a new mathematical model which provides the analytical strategy framework to find the best moment for strategy shifting for preparing the rapid market changes. Analytically tractable results are obtained by using the fluctuation theory. These results enables to predict the moment for changing strategy in a matrix form and even predict the prior moment of changes. This explicit model could be adapted into practically...
15 hours ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
 Historically, we have not been following the yield curve as closely as we are now: Josh Brown from CNBC. How’s Ulta looking? Stick with Teledoc health? The desk answers your questions from CNBC. Raymond James: now’s the time to buy NXPI from CNBC. Markets are pricing in the backdrop of sluggish growth, says global...... The post Clips From Today’s Halftime Report appeared first on The Reformed Broker.
19 hours ago
Timing Logic wrote a new blog post titled Jeffrey Epstein: What A Tangled Web He Weaved
The story of Epstein is incomprehensible on one hand yet given the perversion and evil of those controlling our society, completely expected.  At this point, it’s implausible to believe anything about this story given the public names associated with Epstein’s vile pedophilia.  You don’t get off with a slap on the wrist as Epstein did a decade ago without very powerful people or organizations pulling levers outside of the views of democracy and the rule of law. Based on the mainstream, institutionalized dynamics of modern American society, it would not be surprising to find the...
19 hours ago
Complexity Digest wrote a new blog post titled Sandy Pentland: The benefits of social physics – BBC Ideas
MIT’s Alex ‘Sandy’ Pentland explains ‘social physics’ – the analysis of human interactions to improve communities. Source: www.bbc.com
23 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Hedging longevity risk in defined contribution pension schemes. (arXiv:1904.10229v2 [q-fin.RM] UPDATED)
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which decides to hedge the longevity risk using a mortality-linked security, typically a longevity bond. The pension scheme invests in the risky assets available in the market, including the longevity bond, by using the contributions from a representative scheme member to ensure a minimum guarantee such that the member is able to purchase a lifetime annuity upon...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Linear Stochastic Dividend Model. (arXiv:1908.05850v1 [q-fin.MF])
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest form, the model features a dividend rate that is mean-reverting around a constant fraction of the stock price. The advantage of directly specifying dynamics for the dividend rate, as opposed to the more common approach of modeling the dividend yield, is that it is easier to keep the distribution of cumulative dividends tractable. The model is non-affine...
2 days ago
Complexity Digest wrote a new blog post titled Scientists must rise above politics — and restate their value to society
Scholars globally are feeling the heat from politicians. They should take inspiration from scientists in the 1950s who raised the alarm over nuclear weapons. Source: www.nature.com
3 days ago
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.
3 days ago
Complexity Digest wrote a new blog post titled How Much Would You Pay to Change a Game before Playing It?
Envelope theorems provide a differential framework for determining how much a rational decision maker (DM) is willing to pay to alter the parameters of a strategic scenario. We generalize this framework to the case of a boundedly rational DM and arbitrary solution concepts. We focus on comparing and contrasting the case where DM’s decision to pay to change the parameters is observed by all other players against the case where DM’s decision is private information. We decompose DM’s willingness to pay a given amount into a sum of three factors: (1) the direct effect a parameter change would...
4 days ago
The Reformed Broker wrote a new blog post titled Wealth/Stack Party – We’re on a new level
just a quick announcement from me and my friend Anthony Stich of NaviPlan about what we're about to unleash in Scottsdale, AZ next month... The post Wealth/Stack Party – We’re on a new level appeared first on The Reformed Broker.
4 days ago
Quantitative Finance at arXiv wrote a new blog post titled Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (arXiv:1908.05419v1 [q-fin.RM])
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute shared by the more than 2,500 crypto assets is that they are highly volatile. An investor interested in reducing price volatility of a portfolio of crypto assets can do so by constructing an optimal portfolio through standard optimization techniques that minimize tail risk. Because crypto assets are not backed by any real assets, forming a hedge to reduce the...
5 days ago
Quantitative Finance at arXiv wrote a new blog post titled Risk-neutral option pricing under GARCH intensity model. (arXiv:1908.05405v1 [q-fin.PR])
The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volatility clustering, leverage effect and conditional asymmetry. The GARCH intensity option pricing model has flexibility in changing the volatility according to the probability measure change.
5 days ago