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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 Make No Mistake
Twitter erupted this afternoon while President Donald Trump was giving his address to the United Nations General Assembly on the East Side of Manhattan. I was in the back of a Suburban moving less than 1 mile per hour toward the West Side Highway, but no one can ever get anywhere during UN week in......
3 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Asynchronous stochastic price pump. (arXiv:1809.09273v1 [q-fin.TR])
We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a market adaptive strategy. In this model only a fraction of agents participates in buying and selling stock during a trading period, while the rest of the group accepts the newly set price. Using numerical simulations we show that the stochastic process settles on a stationary regime for the returns. The mean return can be greater or less than the return on the bond and it is determined by the parameters of the adaptive...
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Robustness in the Optimization of Risk Measures. (arXiv:1809.09268v1 [q-fin.RM])
In this paper, we study issues of robustness in the context of Quantitative Risk Management. Depending on the underlying objectives, we develop a general methodology for determining whether a given risk measurement related optimization problem is robust. Motivated by practical issues from financial regulation, we give special attention to the two most widely used risk measures in the industry, Value-at-Risk (VaR) and Expected Shortfall (ES). We discover that for many simple representative optimization problems, VaR generally leads to non-robust optimizers whereas ES generally leads to robust...
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time. (arXiv:1809.09243v1 [math.OC])
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows for unambiguous economic interpretation. The terms "strong equilibria" and "weak equilibria" are coined for controls under the new and the standard definitions, respectively. When the state process is a time-homogeneous continuous-time Markov chain, a careful asymptotic analysis gives complete characterizations of weak and strong equilibria. Thanks to...
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Deterministic Conditions for the Absence and Existence of Arbitrage in Continuous Financial Markets. (arXiv:1809.09588v1 [q-fin.MF])
We introduce a general framework for one- and multidimensional financial markets and study no arbitrage conditions. More precisely, we derive deterministic conditions for the existence and nonexistence of equivalent (local) martingale measures and strict martingale densities. For continuous models with a random switching mechanism we study the set of equivalent (local) martingale measures which are structure preserving. In particular, for one dimensional Markov switching models we provide sufficient and necessary conditions for the existence of structure preserving equivalent...
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Derivatives pricing using signature payoffs. (arXiv:1809.09466v1 [q-fin.CP])
We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in the space of continuous payoffs, a result that is exploited to quickly price arbitrary continuous payoffs. This approach to pricing derivatives is then tested with European options, American options, Asian options, lookback options and variance swaps. As we show, signature payoffs can be used to price these derivatives with very high accuracy.
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Temporal Relational Ranking for Stock Prediction. (arXiv:1809.09441v1 [cs.CE])
Stock prediction aims to predict the future trends of a stock in order to help investors to make good investment decisions. Traditional solutions for stock prediction are based on time-series models. With the recent success of deep neural networks in modeling sequential data, deep learning has become a promising choice for stock prediction. However, most existing deep learning solutions are not optimized towards the target of investment, i.e., selecting the best stock with the highest expected revenue. Specifically, they typically formulate stock prediction as a classification (to predict...
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A model of adaptive, market behavior generating positive returns, volatility and system risk. (arXiv:1809.09601v1 [q-fin.TR])
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of their portfolios.The stock price is set according to the demand-supply for the asset derived from the agents' target risk levels. Using the methodology of agent-based modeling we show that agents, acting endogenously and adaptively, create a persistent price bubble. The price dynamics generated by the trading process does not reveal any...
5 hours ago
All About Alpha wrote a new blog post titled Intralinks/Global Fund Media Survey of LPs Shows Satisfaction
Intralinks has once again collaborated with Global Fund Media in a survey of limited partners on their satisfaction with recent results and on how they see global investment opportunities near-term. As to satisfaction: 18% of LPs say that their results from alternative investments have been better than they expected. ARead More
5 hours ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
 Legendary agent Michael Ovitz discusses Netflix’s brilliant takedown of Hollywood from CNBC. Intel cut to underperform at Raymond James from CNBC. Final trades: Cisco, Schwab, E*Trade & SAP from CNBC....
7 hours ago
Complexity Digest wrote a new blog post titled Untangling Complex Systems: A Grand Challenge for Science (Pier Luigi Gentili)
Complex Systems are natural systems that science is unable to describe exhaustively. Examples of Complex Systems are both unicellular and multicellular living beings; human brains; human immune systems; ecosystems; human societies; the global economy; the climate and geology of our planet. This book is an account of a marvelous interdisciplinary journey the author made to understand properties of the Complex Systems. He has undertaken his trip, equipped with the fundamental principles of physical chemistry, in particular, the Second Law of Thermodynamics that describes the spontaneous...
8 hours ago
Complexity Digest wrote a new blog post titled The Revolutionary Genius of Plants: A New Understanding of Plant Intelligence and Behavior (Stefano Mancuso)
Do plants have intelligence? Do they have memory? Are they better problem solvers than people? The Revolutionary Genius of Plants—a fascinating, paradigm-shifting work that upends everything you thought you knew about plants—makes a compelling scientific case that these and other astonishing ideas are all true. Plants make up eighty percent of the weight of all living things on earth, and yet it is easy to forget that these innocuous, beautiful organisms are responsible for not only the air that lets us survive, but for many of our modern comforts: our medicine, food supply, even our fossil...
13 hours ago
The Reformed Broker wrote a new blog post titled Alert: Billionaires Aren’t Giving You Financial Advice
There's a lot we can learn from the most successful investors in the world...
16 hours ago
Complexity Digest wrote a new blog post titled The Disordered Mind: What Unusual Brains Tell Us About Ourselves (Eric R. Kandel)
Eric R. Kandel, the winner of the Nobel Prize in Physiology or Medicine for his foundational research into memory storage in the brain, is one of the pioneers of modern brain science. His work continues to shape our understanding of how learning and memory work and to break down age-old barriers between the sciences and the arts. In his seminal new book, The Disordered Mind, Kandel draws on a lifetime of pathbreaking research and the work of many other leading neuroscientists to take us on an unusual tour of the brain. He confronts one of the most difficult questions we face: How does our...
18 hours ago
Complexity Digest wrote a new blog post titled Complexity Theory and Law: Mapping an Emergent Jurisprudence (Jamie Murray et al.)
This collection of essays explores the different ways the insights from complexity theory can be applied to law. Complexity theory – a variant of systems theory – views law as an emergent, complex, self-organising system comprised of an interactive network of actors and systems that operate with no overall guiding hand, giving rise to complex, collective behaviour in law communications and actions. Addressing such issues as the unpredictability of legal systems, the ability of legal systems to adapt to changes in society, the importance of context, and the nature of law, the essays look to...
19 hours ago
Complexity Digest wrote a new blog post titled Beyond Weird: Why Everything You Thought You Knew about Quantum Physics Is Different (Philip Ball)
“Anyone who is not shocked by quantum theory has not understood it.” Since Niels Bohr said this many years ago, quantum mechanics has only been getting more shocking. We now realize that it’s not really telling us that “weird” things happen out of sight, on the tiniest level, in the atomic world: rather, everything is quantum. But if quantum mechanics is correct, what seems obvious and right in our everyday world is built on foundations that don’t seem obvious or right at all—or even possible. An exhilarating tour of the contemporary quantum landscape, Beyond Weird is a book about what...
21 hours ago
Complexity Digest wrote a new blog post titled Postdoctoral Position in Complex Systems Modelling at the University of Sheffield
The University of Sheffield has an open position for a Research Associate in Complex Systems Modelling to work on the just-started Swarm Awareness project (https://swarmawareness.group.shef.ac.uk ).   The Swarm Awareness project aims to endow a swarm with awareness of its own state, thus allowing individual agents with local knowledge to reach a consensus on the global swarm state. Particular examples of states to measure are swarm size (number of agents), fraction of the swarm committed to a unique decision (quorum), and super-threshold decision (decision-state).   We are seeking candidates...
23 hours ago
Quantitative Finance at arXiv wrote a new blog post titled The "power" dimension in a process of exchange. (arXiv:1809.08293v1 [econ.GN])
The paper examines the exchange of goods or services between only two subjects. The analysis is aimed at examining in particular the first phases of the process which, through negotiation, leads to the identification of the price on which the agreement is made. The focus is on how the final result depends on the initial perceptions that the subjects have about the importance / relevance of the motivations involved and the power relationships as perceived by each side. These variables affect the determination of the "reserve prices" and therefore the starting conditions of the negotiation....
Quantitative Finance at arXiv wrote a new blog post titled Time-consistent conditional expectation under probability distortion. (arXiv:1809.08262v1 [q-fin.MF])
We introduce a new notion of conditional nonlinear expectation where the underlying probability scale is distorted by a weight function. Such a distorted nonlinear expectation is not sub-additive in general, so is beyond the scope of Peng's framework of nonlinear expectations. A more fundamental problem when extending the distorted expectation to a dynamic setting is time-inconsistency, that is, the usual "tower property" fails. By localizing the probability distortion and restricting to a smaller class of random variables, we construct a conditional expectation in such a way that...
Quantitative Finance at arXiv wrote a new blog post titled Chaos and Order in the Bitcoin Market. (arXiv:1809.08403v1 [q-fin.ST])
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel and robust tools for estimation of multi-fractal properties are used to show that the bitcoin price exhibits a very interesting multi-scale correlation structure. This structure can be described by a power-law behavior of the variances of the returns as functions of time increments and it can be characterized by two parameters, the volatility and the Hurst...