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This Week on TRB

September 14, 2019 by The Reformed Broker   Comments (0)

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.

Clips From Today’s Halftime Report

September 13, 2019 by The Reformed Broker   Comments (0)

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.

Bilateral relatedness: knowledge diffusion and the evolution of bilateral trade

September 13, 2019 by Complexity Digest   Comments (0)

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...

Austria's 100 year bond.

September 13, 2019 by Finance Clippings   Comments (0)

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...

Success, happiness, wealth and service

September 13, 2019 by The Reformed Broker   Comments (0)

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.

Clips From Today’s Halftime Report

September 12, 2019 by The Reformed Broker   Comments (0)

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.

A new concept of technology with systemic-purposeful perpsective: theory, examples and empirical application. (arXiv:1909.05689v1 [econ.GN])

September 12, 2019 by Quantitative Finance at arXiv   Comments (0)

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...

The Emergence of Innovation Complexity at Different Geographical and Technological Scales. (arXiv:1909.05604v1 [econ.GN])

September 12, 2019 by Quantitative Finance at arXiv   Comments (0)

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...

Pricing Reliability Options under different electricity prices' regimes. (arXiv:1909.05761v1 [q-fin.PR])

September 12, 2019 by Quantitative Finance at arXiv   Comments (0)

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...

Deep Prediction of Investor Interest: a Supervised Clustering Approach. (arXiv:1909.05289v1 [cs.LG])

September 12, 2019 by Quantitative Finance at arXiv   Comments (0)

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.