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Why Finnish polytechnics reject top applicants. (arXiv:1908.05443v1 [econ.GN])

August 15, 2019 by Quantitative Finance at arXiv   Comments (0)

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...

Automation Impacts on China's Polarized Job Market. (arXiv:1908.05518v1 [econ.GN])

August 15, 2019 by Quantitative Finance at arXiv   Comments (0)

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...

Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (arXiv:1908.05419v1 [q-fin.RM])

August 15, 2019 by Quantitative Finance at arXiv   Comments (0)

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...

Optimal exercise of American options under stock pinning. (arXiv:1903.11686v2 [q-fin.CP] UPDATED)

August 15, 2019 by Quantitative Finance at arXiv   Comments (0)

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...

Murdoch has seen enough

August 15, 2019 by The Reformed Broker   Comments (0)

Donald Trump upsets the boss... The post Murdoch has seen enough appeared first on The Reformed Broker.

Labeling, transforming, and structuring training data sets for machine learning

August 15, 2019 by The Practical Quant   Comments (0)

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...

“Economic Buffoonery”

August 15, 2019 by The Reformed Broker   Comments (0)

There are no actual economists in Trump’s inner circle. ... The post “Economic Buffoonery” appeared first on The Reformed Broker.

Accurate Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Using a Regime Switching Model. (arXiv:1908.04900v1 [q-fin.CP])

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

We consider a system of coupled free boundary problems for pricing American
put options with regime switching. To solve this system, we first fix the
optimal exercise boundary for each regime resulting in multi-variable fixed
domains. We further eliminate the first order derivatives associated with the
regime switching model by taking derivatives to obtain a system of coupled
partial differential equations which we called the asset-delta-gamma-speed
option equations. The fourth-order compact...

The implied Sharpe ratio. (arXiv:1908.04837v1 [q-fin.MF])

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

In an incomplete market, including liquidly-traded European options in an
investment portfolio could potentially improve the expected terminal utility
for a risk-averse investor. However, unlike the Sharpe ratio, which provides a
concise measure of the relative investment attractiveness of different
underlying risky assets, there is no such measure available to help investors
choose among the different European options. We introduce a new concept -- the
implied Sharpe ratio -- which allows...

Forecasting U.S. Textile Comparative Advantage Using Autoregressive Integrated Moving Average Models and Time Series Outlier Analysis. (arXiv:1908.04852v1 [econ.GN])

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

To establish an updated understanding of the U.S. textile and apparel (TAP)
industrys competitive position within the global textile environment, trade
data from UN-COMTRADE (1996-2016) was used to calculate the Normalized Revealed
Comparative Advantage (NRCA) index for 169 TAP categories at the four-digit
Harmonized Schedule (HS) code level. Univariate time series using
Autoregressive Integrated Moving Average (ARIMA) models forecast short-term
future performance of Revealed categories with...