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The Reformed Broker wrote a new blog post titled Clips From Today’s Closing Bell
... The post Clips From Today’s Closing Bell appeared first on The Reformed Broker.
2 hours ago
The Practical Quant wrote a new blog post titled You'll want Nexar's newly released Live Map for your city
Extracting and exposing valuable insights to enable smart cities and many other applications.I recently had the privilege of getting a preview of Nexar's Live Map, from my friend, Nexar's CTO and co-founder Bruno Fernandez-Ruiz. Nexar uses off-the-shelf smartphones and dash-cams, sophisticated data ingestion, data processing, sensor fusion, and machine learning software to realize their vision of creating the largest safe driving network. To date the company has recorded many miles of driving video ("100 million miles, and more than 10 million miles every month"). This means the company now...
10 hours ago
All About Alpha wrote a new blog post titled Restrictions on Pension Plan Investments: A Global Survey
A new report from the Organization for Economic Cooperation and Development surveys the main quantitative investment restrictions to which pension funds and other pension providers are subject in both OECD countries and a selection of International Organization of Pension Supervisors’ (IOPS) member countries. It reminds us of the general desireRead More
22 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Nature of thermodynamics equation of state towards economics equation of state. (arXiv:1907.07108v1 [physics.soc-ph])
This work critics on nature of thermodynamics coordinates and on roles of the variables in the equation of state (EoS). Coordinate variables in the EoS are analyzed so that central concepts are noticed and are used to lay a foundation in building of a new EoS or in testing EoS status of a newly constructed empirical equation. With these concepts, we classify EoS into two classes. We find that the EoS of market with unitary price demand and linear price-dependent supply function proposed by \cite{GumjMarket}, is not an EoS because it has only one degree of freedom.
22 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Location and portfolio selection problems: A unified framework. (arXiv:1907.07101v1 [q-fin.PM])
Given a set of assets and an investment capital, the classical portfolio selection problem consists in determining the amount of capital to be invested in each asset in order to build the most profitable portfolio. The portfolio optimization problem is naturally modeled as a mean-risk bi-criteria optimization problem where the mean rate of return of the portfolio must be maximized whereas a given risk measure must be minimized. Several mathematical programming models and techniques have been presented in the literature in order to efficiently solve the portfolio problem. A relatively recent...
22 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Quant GANs: Deep Generation of Financial Time Series. (arXiv:1907.06673v1 [q-fin.MF])
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. In this paper, we break through this barrier and present Quant GANs, a data-driven model which is inspired by the recent success of generative adversarial networks (GANs). Quant GANs consist of a generator and discriminator function which utilize temporal convolutional networks (TCNs) and thereby achieve to capture longer-ranging dependencies such as the presence of volatility clusters. Furthermore, the generator function is explicitly constructed such that the...
22 hours ago
The Reformed Broker wrote a new blog post titled Are you in FinTech? Then listen up…
Here's how you can pitch hundreds of RIA leaders on your wealth technology service or product! ... The post Are you in FinTech? Then listen up… appeared first on The Reformed Broker.
yesterday
The Reformed Broker wrote a new blog post titled How I invest my own money
What Josh does with his own savings. ... The post How I invest my own money appeared first on The Reformed Broker.
yesterday
All About Alpha wrote a new blog post titled Tick Size and High-Frequency Trading
A lot of hopes have been placed on changes in market tick sizes. In the 1990s there was a big push to reduce the tick sizes of securities, allowing them to get down to one cent or fractions thereof. In the new millennium came a sense of regret. Observers suspectedRead More
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Multi-Level Order-Flow Imbalance in a Limit Order Book. (arXiv:1907.06230v1 [q-fin.TR])
We study the \emph{multi-level order-flow imbalance (MLOFI)}, which measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for 6 liquid stocks on Nasdaq, we use Ridge regression to fit a simple, linear relationship between MLOFI and the contemporaneous change in mid-price. For all 6 stocks that we study, we find that the goodness-of-fit of the relationship improves with each additional price level that we include in the MLOFI vector. Our results underline how the complex order-flow activity deep into the LOB...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (arXiv:1907.06151v1 [q-fin.ST])
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type volatility at the macroscopic scale. One additional important feature of financial dynamics, at the heart of several influential works in econophysics, is the so-called feedback or Zumbach effect. This essentially means that past trends in returns convey significant information on future volatility. A natural way to reproduce this property in microstructure...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Online Rental Housing Market Representation and the Digital Reproduction of Urban Inequality. (arXiv:1907.06118v1 [econ.GN])
As the rental housing market moves online, the Internet offers divergent possible futures: either the promise of more-equal access to information for previously marginalized homeseekers, or a reproduction of longstanding information inequalities. Biases in online listings' representativeness could impact different communities' access to housing search information, reinforcing traditional information segregation patterns through a digital divide. They could also circumscribe housing practitioners' and researchers' ability to draw broad market insights from listings to understand rental supply...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled A simulation of the insurance industry: The problem of risk model homogeneity. (arXiv:1907.05954v1 [econ.GN])
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from clients in return for ensuring them against intermittent, heavy-tailed risks. Firms manage their capital and pay dividends to their investors, and use either reinsurance contracts or cat bonds to hedge their tail risk. The model generates plausible time series of profits and losses and recovers stylized facts, such as the insurance cycle and the emergence of...
2 days ago