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Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here

 

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The Reformed Broker wrote a new blog post titled Making the Most of Summer
The kids are back from camp and I’m sneaking out of the office one day a week to do as little as possible. I’m very sensitive to the changing of seasons and I already sense the days shortening without even glancing at the time. I took this shot at around 6am from the bike. A......
yesterday
The Aleph Blog wrote a new blog post titled The Best of the Aleph Blog, Part 39
Photo Credit: michel D’anastasio====================In my view, these were my best posts written between August 2016 and October 2016:What to do when Ethics are DiscouragedEight ways to promote ethics where it is not popular.On Pricing Grids, Part 1On Pricing Grids, Part 1aOn how to price illiquid bonds, and why GAAP accounting does not matter for financial stock prices.The Cash Will Prove ItselfOn Donald Trump, during a time in 1990, when he said in the midst of a personal business financial crisis said:“What I want to do is go and bargain hunt,” he said. “I want to be king of cash.”I...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap. (arXiv:1808.05289v1 [q-fin.PR])
In this paper, we develop a new nonparametric approach for estimating the risk-neutral density of asset price and reformulate its estimation into a double-constrained optimization problem. We implement our approach in R and evaluate it using the S\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. More specifically, our approach is capable of recovering option prices...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations. (arXiv:1808.05295v1 [q-fin.CP])
Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around $\mathbb{R}\subset \mathbb{C}$. The Fourier transform techniques reduces calculation of probability distributions and option prices to evaluation of integrals whose integrands are analytic in domains enjoying these properties. In the paper, we suggest to use changes of variables of the form $\xi=\sqrt{-1}\omega_1+b\sinh (\sqrt{-1}\omega+y)$ and the simplified trapezoid rule to evaluate the integrals accurately and fast. We formulate the...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary. (arXiv:1808.05311v1 [math.NA])
In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an interpretation as a structural credit risk model with default contagion in a large interconnected banking system. Using the method of heat potentials, we derive a coupled system of Volterra integral equations for the transition density and for the loss through absorption. An approximation by expansion is given for a small interaction parameter. We also present a numerical solution algorithm and...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Deep Learning for Energy Markets. (arXiv:1808.05527v1 [stat.ML])
Deep Learning (DL) provides a methodology to predict extreme loads observed in energy grids. Forecasting energy loads and prices is challenging due to sharp peaks and troughs that arise from intraday system constraints due to supply and demand fluctuations. We propose the use of deep spatio-temporal models and extreme value theory (DL-EVT) to capture the tail behavior of load spikes. Deep architectures such as ReLU and LSTM can model generation trends and temporal dependencies, while EVT captures highly volatile load spikes. To illustrate our methodology, we use hourly price and demand data...
2 days ago
All About Alpha wrote a new blog post titled Illuminating Gender Differences in Entrepreneurship
Illuminate Ventures, an early-stage high-tech VC firm, has posted a paper by its founder and managing partner, Cindy Padnos, on “gender differences in entrepreneurship.” The paper begins with the observation that nearly half of the Illuminate portfolio companies have a woman as a co-founder. This doesn’t mean of course thatRead More
2 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
Big movers in the Trader Blitz from CNBC. UBS upgrades Boeing to ‘buy’ with 50-percent upside from CNBC. Bulls bet on Dick’s Sporting Goods, Chinese e-commerce name from CNBC....
2 days ago
The Practical Quant wrote a new blog post titled Simplifying machine learning lifecycle management
[A version of this post appears on the O'Reilly Radar.]The O'Reilly Data Show Podcast: Harish Doddi on accelerating the path from prototype to production.In this episode of the Data Show, I spoke with Harish Doddi, co-founder and CEO of Datatron, a startup focused on helping companies deploy and manage machine learning models. As companies move from machine learning prototypes to products and services, tools and best practices for productionizing and managing models are just starting to emerge. Today’s data science and data engineering teams work with a variety of machine learning libraries,...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Robust XVA. (arXiv:1808.04908v1 [q-fin.PR])
We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a defaultable counterparty, but has incomplete information about her credit quality. By constraining the actual default intensity of the counterparty within an uncertainty interval, we derive both upper and lower bounds for the XVA process. We show that these bounds may be recovered as solutions of nonlinear ordinary differential equations. The presence of collateralization and closeout payoffs introduce fundamental differences relative to classical credit...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Game-theoretic dynamic investment model with incomplete information: futures contracts. (arXiv:1808.05037v1 [q-fin.MF])
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with each other and raise their prices. A large number of sellers make them reduce prices. Thus, the gap between the prices of offers of buyers and sellers is reduced due to high competition, and this is a good criterion for the liquidity of the market. This high degree of liquidity contributed to the fact that futures trading took such an important role in...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Brexit: The Belated Threat. (arXiv:1808.05142v1 [econ.GN])
Debates on an EU-leaving referendum arose in several member states after Brexit. We want to highlight how the exit of an additional country affects the power distribution in the Council of the European Union. We inspect the power indices of the member states both with and without the country which might leave the union. Our results show a pattern connected to a change in the threshold of the number of member states required for a decision. An exit that modifies this threshold benefits the countries with high population, while an exit that does not cause such a change benefits the small member...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Inventory Management for High-Frequency Trading with Imperfect Competition. (arXiv:1808.05169v1 [q-fin.TR])
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact are described by a system of nonlinear equations; explicit solutions obtain around the continuous-time limit. Unlike in the risk-neutral case, the optimal inventories become mean-reverting and vanish as the number of trading rounds becomes large. In contrast, the HFTs' risk-adjusted profits and the equilibrium price impact converge to their risk-neutral...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Dynamic Advisor-Based Ensemble (dynABE): Case Study in Stock Trend Prediction of Critical Metal Companies. (arXiv:1805.12111v3 [q-fin.ST] UPDATED)
The demand for metals by modern technology has been shifting from common base metals to a variety of minor metals, such as cobalt or indium. The industrial importance and limited geological availability of some minor metals have led to them being considered more "critical," and there is a growing investment interest in such critical metals and their producing companies. In this research, we create a novel framework, Dynamic Advisor-Based Ensemble (dynABE), for stock prediction and use critical metal companies as case study. dynABE uses domain knowledge to diversify the feature set by dividing...
3 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
The stocks you wanted to know about today from CNBC. Nvidia double-upgraded at Wells Fargo from CNBC. Final trades: Chinese stocks, Marsh & McLennan, Devon Energy & Apple from CNBC....
3 days ago
Musings on Markets wrote a new blog post titled Deja Vu In Turkey: Currency Crisis and Corporate Insanity!
This has been a year of rolling crises, some originating in developed markets and some in emerging markets, and the market has been remarkably resilient through all of them. It is now Turkey's turn to be in the limelight, though not in a way it hoped to be, as the Turkish Lira enters what seems like a death spiral, that threatens to spill over into other emerging markets. There is plenty that can be said about the macro origins of this crisis, with Turkey's leaders and central bank bearing a...
3 days ago