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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
yesterday
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.
yesterday
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...
2 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.
2 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...
3 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.
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Optimal exercise of American options under stock pinning. (arXiv:1903.11686v2 [q-fin.CP] UPDATED)
We address the problem of optimally exercising American options based on the assumption that the underlying stock's price follows a Brownian bridge whose final value coincides with the strike price. In order to do so, we solve the discounted optimal stopping problem endowed with the gain function $G(x) = (S - x)^+$ and a Brownian bridge whose final value equals $S$. These settings came up as a first approach of optimally exercising an option within the so-called "stock pinning" scenario. The optimal stopping boundary for this problem is proved to be the unique solution, up to certain...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model. (arXiv:1908.05534v1 [q-fin.PM])
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an optimal strategy as solution of a system of partial integro-differential equations (PIDEs), a so called extended Hamilton-Jacobi-Bellman (HJB) system. We prove that the equilibrium is necessarily a solution of the extended HJB system. Under certain conditions we obtain an explicit solution to the extended HJB system and provide the optimal trading...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled The inverted U-shaped effect of urban hotspots spatial compactness on urban economic growth. (arXiv:1908.05530v1 [econ.GN])
The compact city, as a sustainable concept, is intended to augment the efficiency of urban function. However, previous studies have concentrated more on morphology than on structure. The present study focuses on urban structural elements, i.e., urban hotspots consisting of high-density and high-intensity socioeconomic zones, and explores the economic performance associated with their spatial structure. We use nighttime luminosity (NTL) data and the Loubar method to identify and extract the hotspot and ultimately draw two conclusions. First, with population increasing, the hotspot number...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Automation Impacts on China's Polarized Job Market. (arXiv:1908.05518v1 [econ.GN])
When facing threats from automation, a worker residing in a large Chinese city might not be as lucky as a worker in a large U.S. city, depending on the type of large city in which one resides. Empirical studies found that large U.S. cities exhibit resilience to automation impacts because of the increased occupational and skill specialization. However, in this study, we observe polarized responses in large Chinese cities to automation impacts. The polarization might be attributed to the elaborate master planning of the central government, through which cities are assigned with different...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Why Finnish polytechnics reject top applicants. (arXiv:1908.05443v1 [econ.GN])
I use a panel of higher education clearinghouse data to study the centralized assignment of applicants to Finnish polytechnics. I show that on a yearly basis, large numbers of top applicants unnecessarily remain unassigned to any program. There are programs which rejected applicants would find acceptable, but the assignment mechanism both discourages applicants from applying, and stops programs from admitting those who do. A mechanism which would admit each year's most eligible applicants has the potential to substantially reduce re-applications, thereby shortening the long queues into...
3 days ago
The Reformed Broker wrote a new blog post titled Murdoch has seen enough
Donald Trump upsets the boss... The post Murdoch has seen enough appeared first on The Reformed Broker.
3 days ago
The Practical Quant wrote a new blog post titled Labeling, transforming, and structuring training data sets for machine learning
The O'Reilly Data Show Podcast: Alex Ratner on how to build and manage training data with Snorkel.In this episode of the Data Show, I speak with Alex Ratner, project lead for Stanford’s Snorkel open source project; Ratner also recently garnered a faculty position at the University of Washington and is currently working on a company supporting and extending the Snorkel project. Snorkel is a framework for building and managing training data. Based on our survey from earlier this year, labeled data remains a key bottleneck for organizations building machine learning applications and...
3 days ago
The Reformed Broker wrote a new blog post titled “Economic Buffoonery”
There are no actual economists in Trump’s inner circle. ... The post “Economic Buffoonery” appeared first on The Reformed Broker.
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (arXiv:1908.05089v1 [q-fin.ST])
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model provides a proper method of volatility estimation specialized in ultra-high-frequency analysis. Empirical studies based on the model using the ultra-high-frequency data of stocks in the S\&P 500 are performed. The performance of the volatility measure, intraday estimation, and the dynamics of the parameters are discussed. A new approach of diffusion analogy to the symmetric Hawkes model is proposed with...
4 days ago
Quantitative Finance at arXiv wrote a new blog post titled Is being `Robust' beneficial?: A perspective from the Indian market. (arXiv:1908.05002v1 [q-fin.PM])
The problem of data uncertainty has motivated the incorporation of robust optimization in various arenas, beyond the Markowitz portfolio optimization. This work presents the extension of the robust optimization framework for the minimization of downside risk measures, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). We perform an empirical study of VaR and CVaR frameworks, with respect to their robust counterparts, namely, Worst-Case VaR and Worst-Case CVaR, using the market data as well as the simulated data. After discussing the practical usefulness of the robust...
4 days ago
Quantitative Finance at arXiv wrote a new blog post titled Can robust optimization offer improved portfolio performance?: An empirical study of Indian market. (arXiv:1908.04962v1 [q-fin.PM])
The emergence of robust optimization has been driven primarily by the necessity to address the demerits of the Markowitz model. There has been a noteworthy debate regarding consideration of robust approaches as superior or at par with the Markowitz model, in terms of portfolio performance. In order to address this skepticism, we perform empirical analysis of three robust optimization models, namely the ones based on box, ellipsoidal and separable uncertainty sets. We conclude that robust approaches can be considered as a viable alternative to the Markowitz model, not only in simulated data...
4 days ago
Quantitative Finance at arXiv wrote a new blog post titled Computational method for probability distribution on recursive relationships in financial applications. (arXiv:1908.04959v1 [q-fin.ST])
In quantitative finance, it is often necessary to analyze the distribution of the sum of specific functions of observed values at discrete points of an underlying process. Examples include the probability density function, the hedging error, the Asian option, and statistical hypothesis testing. We propose a method to calculate such a distribution, utilizing a recursive method, and examine it using various examples. The results of the numerical experiment show that our proposed method has high accuracy.
4 days ago