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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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Quantitative Finance at arXiv wrote a new blog post titled Uncovering the drivers behind urban economic complexity and their connection to urban economic performance. (arXiv:1812.02842v1 [physics.soc-ph])
The distribution of employment across industries determines the economic profiles of cities. But what drives the distribution of employment? We study a simple model for the probability that an individual in a city is employed in a given urban activity. The theory posits that three quantities drive this probability: the activity-specific complexity, individual-specific knowhow, and the city-specific collective knowhow. We use data on employment across industries and metropolitan statistical areas in the US, from 1990 to 2016, to show that these drivers can be measured and have measurable...
5 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Optimal Investment, Demand and Arbitrage under Price Impact. (arXiv:1804.09151v2 [q-fin.MF] UPDATED)
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules and demand schedules for contingent claims. For exponential market makers preferences, we establish two effects due to price impact: constrained trading, and non-linear hedging costs. To the former, wealth processes in the impact model are identified with those in a model without impact, but with constrained trading, where the (random) constraint set is...
5 hours ago
Complexity Digest wrote a new blog post titled Stability of democracies: a complex systems perspective
The idea that democracy is under threat, after being largely dormant for at least 40 years, is looming increasingly large in public discourse. Complex systems theory offers a range of powerful new tools to analyse the stability of social institutions in general, and democracy in particular. What makes a democracy stable? And which processes potentially lead to instability of a democratic system? This paper offers a complex systems perspective on this question, informed by areas of the mathematical, natural, and social sciences. We explain the meaning of the term ‘stability’ in...
15 hours ago
Complexity Digest wrote a new blog post titled Consciousness: The last 50 years (and the next)
The mind and brain sciences began with consciousness as a central concern. But for much of the 20th century, ideological and methodological concerns relegated its empirical study to the margins. Since the 1990s, studying consciousness has regained a legitimacy and momentum befitting its status as the primary feature of our mental lives. Nowadays, consciousness science encompasses a rich interdisciplinary mixture drawing together philosophical, theoretical, computational, experimental, and clinical perspectives, with neuroscience its central discipline. Researchers have learned a great deal...
2 days ago
The Reformed Broker wrote a new blog post titled This Week on TRB
These were the most read posts on the site this week, in case you missed it: ...
2 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
 Trade agreement uncertainty accelerates stock slides from CNBC. Apple shares fall after price target slash from CNBC. Is Netflix heading to $400? What’s going on with biotech stocks? The desk takes YOUR questions from CNBC. Final Trades: Broadcom, Diamondback, JPMorgan, Store Capital & Alaska Air from CNBC....
2 days ago
Complexity Digest wrote a new blog post titled Conference on Complex Systems 2019
The Conference on Complex Systems (CCS) is the biggest and most important annual meeting of the international complex systems community. It comes under the auspices of the Complex Systems Society. Since its inception in 2004, CCS had always been Europe-based, but in 2015 & 2017, it moved to North & Latin America respectively. In 2019, CCS will come to Asia for the first time. Held in Singapore at Nanyang Technological University, it promises an intellectually stimulating experience to be matched by an equally exciting social programme. ​ Source: event.ntu.edu.sg
2 days ago
Musings on Markets wrote a new blog post titled Is there a signal in the noise? Yield Curves, Economic Growth and Stock Prices!
The title of this post is not original and draws from Nate Silver's book on why so many predictions in politics, sports and economics fail. It reflects the skepticism with which I view many 'can't fail" predictors of economic growth or stock markets, since they tend to have horrendous track records. Over the last few weeks, as markets have gyrated, market commentators have been hard pressed to explain day-to-day swings, but that has not stopped them from trying. The explanations have shifted...
2 days ago
Complexity Digest wrote a new blog post titled Beyond Calories: A Holistic Assessment of the Global Food System
The global food system is failing to meet nutritional needs, with growing concerns for health related to both under-, over-consumption and severe micronutrient deficiency. The 2nd Sustainable Development Goal (SDG2) targets the end of malnutrition in all forms by 2030. To address this challenge, the focus around food security and malnutrition must be broadened beyond the scope of sufficient energy intake to take full account of total nutrient supply and requirements. Here, for the first time, we have quantitatively mapped the global food system in terms of energy, protein, fat, essential...
2 days ago
The Reformed Broker wrote a new blog post titled Avengers 4 trailer hits!
Ready for this? May 3rd 2019!...
2 days ago
The Reformed Broker wrote a new blog post titled Orange Theory
one person close to the White House said:  “He’s glued to it.”...
3 days ago
Complexity Digest wrote a new blog post titled A structural transition in physical networks
In many physical networks, including neurons in the brain1,2, three-dimensional integrated circuits3 and underground hyphal networks4, the nodes and links are physical objects that cannot intersect or overlap with each other. To take this into account, non-crossing conditions can be imposed to constrain the geometry of networks, which consequently affects how they form, evolve and function. However, these constraints are not included in the theoretical frameworks that are currently used to characterize real networks5,6,7. Most tools for laying out networks are variants of the force-directed...
3 days ago
Complexity Digest wrote a new blog post titled The Impact of Potential Crowd Behaviours on Emergency Evacuation
Crowd dynamics have important applications in evacuation management systems relevant to organizing safer large scale gatherings. For crowd safety, it is very important to study the evolution of potential crowd behaviours by simulating the crowd evacuation process. Planning crowd control tasks via studying the impact of crowd behavioural evolution towards evacuation simulation could mitigate the possibility of crowd disasters that may happen. During a typical emergency evacuation scenario, conflict among agents occurs when agents intend to move to the same location as a result of the...
3 days ago
The Reformed Broker wrote a new blog post titled Plain & Simple
I did some charts. ...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Using published bid/ask curves to error dress spot electricity price forecasts. (arXiv:1812.02433v1 [q-fin.ST])
Accurate forecasts of electricity spot prices are essential to the daily operational and planning decisions made by power producers and distributors. Typically, point forecasts of these quantities suffice, particularly in the Nord Pool market where the large quantity of hydro power leads to price stability. However, when situations become irregular, deviations on the price scale can often be extreme and difficult to pinpoint precisely, which is a result of the highly varying marginal costs of generating facilities at the edges of the load curve. In these situations it is useful to supplant a...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Quantification of market efficiency based on informational-entropy. (arXiv:1812.02371v1 [q-fin.GN])
Since the 1960s, the question whether markets are efficient or not is controversially discussed. One reason for the difficulty to overcome the controversy is the lack of a universal, but also precise, quantitative definition of efficiency that is able to graduate between different states of efficiency. The main purpose of this article is to fill this gap by developing a measure for the efficiency of markets that fulfill all the stated requirements. It is shown that the new definition of efficiency, based on informational-entropy, is equivalent to the two most used definitions of efficiency...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Continuous Learning Augmented Investment Decisions. (arXiv:1812.02340v1 [cs.LG])
Investment decisions can benefit from incorporating an accumulated knowledge of the past to drive future decision making. We introduce Continuous Learning Augmentation (CLA) which is based on an explicit memory structure and a feed forward neural network (FFNN) base model and used to drive long term financial investment decisions. We demonstrate that our approach improves accuracy in investment decision making while memory is addressed in an explainable way. Our approach introduces novel remember cues, consisting of empirically learned change points in the absolute error series of the FFNN....
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled In (Stochastic) Search of a Fairer Alife. (arXiv:1812.02311v1 [q-fin.GN])
Economies and societal structures in general are complex stochastic systems which may not lend themselves well to algebraic analysis. An addition of subjective value criteria to the mechanics of interacting agents will further complicate analysis. The purpose of this short study is to demonstrate capabilities of agent-based computational economics to be a platform for fairness or equity analysis in both a broad and practical sense.
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled General Compound Hawkes Processes in Limit Order Books. (arXiv:1812.02298v1 [q-fin.TR])
In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regards to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems (FCLT) for several specific variations. We apply several of these FCLTs to limit order books to study the link between price volatility and order flow, where the volatility in mid-price changes is expressed in terms of parameters describing the arrival rates and mid-price process.
3 days ago