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Performance of tail hedged portfolio with third moment variation swap. (arXiv:1908.05105v1 [q-fin.PR])

August 14, 2019 by Quantitative Finance at arXiv   Comments (0)

The third moment variation of a financial asset return process is defined by
the quadratic covariation between the return and square return processes. The
skew and fat tail risk of an underlying asset can be hedged using a third
moment variation swap under which a predetermined fixed leg and the floating
leg of the realized third moment variation are exchanged. The probability
density function of the hedged portfolio with the third moment variation swap
was examined using a partial differential...

Nonparametric modeling cash flows of insurance company. (arXiv:1908.05200v1 [q-fin.RM])

August 14, 2019 by Quantitative Finance at arXiv   Comments (0)

The paper proposes an original methodology for constructing quantitative
statistical models based on multidimensional distribution functions constructed
on the basis of the insurance companies' data on inshurance policies (including
policies with deductible) and claims incurred. Real data of some Russian
insurance companies on non-life insurance contracts illustrate some
opportunities of the proposed approach. The point and interval estimates of net
premium, claims frequency, claims reserves...

Dynamic Dependence Modeling in financial time series. (arXiv:1908.05130v1 [q-fin.RM])

August 14, 2019 by Quantitative Finance at arXiv   Comments (0)

This paper explores the dependence modeling of financial assets in a dynamic
way and its critical role in measuring risk. Two new methods, called
Accelerated Moving Window method and Bottom-up method are proposed to detect
the change of copula. The performance of these two methods together with Binary
Segmentation \cite{vostrikova1981detection} and Moving Window method
\cite{guegan2009forecasting} is compared based on simulated data. The
best-performing method is applied to Standard \& Poor...

Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (arXiv:1908.05089v1 [q-fin.ST])

August 14, 2019 by Quantitative Finance at arXiv   Comments (0)

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...

Connecting empirical phenomena and theoretical models of biological coordination across scales

August 14, 2019 by Complexity Digest   Comments (0)

Coordination in living systems—from cells to people—must be understood at multiple levels of description. Analyses and modelling of empirically observed patterns of biological coordination often focus either on ensemble-level statistics in large-scale systems with many components, or on detailed dynamics in small-scale systems with few components. The two approaches have proceeded largely independent of each other. To bridge this gap between levels and scales, we have recently conducted a human...

Check out What Happened at the 2019 Joint Statistical Meetings

August 14, 2019 by Econometrics Beat   Comments (0)

Each year, the Joint Statistical Meetings (JSM) bring together thousands (6,500 this year) of statisticians at what's the largest gathering of its type in the world. The JSM represent eleven international statistics organisations, including the four founding organisations - The American Statistical Association (ASA), The International Biometric Society, The Institute of Mathematical Statistical, and The Statistical Society of Canada. As a member of the ASA since 1973 I've attended a few of...

PHD/Postdoc Openings at Cross Labs

August 14, 2019 by Complexity Digest   Comments (0)

OUR MISSIONCross Labs’ mission is to bridge between intelligence science and AI technology at the service of human society. At Cross Labs, we focus on pushing fundamental research towards a thorough mathematical understanding of all intelligent processes observable both in nature and in artificial environments. POSITIONTo reach our goals, we are seeking ambitious, highly-skilled researchers to solve open problems on both natural and artificial intelligence fronts. Our current research...

How Young Investors Should Think About Yield Curves and Recessions

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

I'll make this very simple - if you have decades of saving and investing ahead of you, the best thing that could happen is a stock market that goes nowhere... The post How Young Investors Should Think About Yield Curves and Recessions appeared first on The Reformed Broker.

Is the Yield Curve Coming to Kill You?

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

OMG what do we do? ... The post Is the Yield Curve Coming to Kill You? appeared first on The Reformed Broker.

Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty. (arXiv:1908.04369v1 [econ.GN])

August 13, 2019 by Quantitative Finance at arXiv   Comments (0)

I propose a novel method, called the Wasserstein Index Generation model
(WIG), to generate public sentiment index automatically. It can be performed
off-the-shelf and is especially good at detecting sudden sentiment spikes. To
test the model's effectiveness, an application to generate Economic Policy
Uncertainty (EPU) index is showcased.