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Quantitative Finance at arXiv wrote a new blog post titled Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case. (arXiv:1802.08358v1 [q-fin.MF])
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among stopping times or randomized stopping times may not exist. This motivates us to consider the notion of liquidation strategies, which lets the stopping right to be divisible. We then argue that the mean-standard deviation variant of this problem makes more sense for this type of strategies in terms of time consistency. It turns out that an equilibrium...
an hour ago
Quantitative Finance at arXiv wrote a new blog post titled Market Impact: A systematic study of limit orders. (arXiv:1802.08502v1 [q-fin.TR])
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to the market. We first address the case of aggressive limit orders and then, that of passive limit orders. In both cases, we provide empirical evidence of a power law behaviour for the temporary market impact. The relaxation of the price following the end of the metaorder is also studied, and the long-term impact is shown to stabilize at a level of...
an hour ago
Quantitative Finance at arXiv wrote a new blog post titled Computation of optimal transport and related hedging problems via penalization and neural networks. (arXiv:1802.08539v1 [math.OC])
This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization problem in its dual formulation and reduce it to a finite dimensional one which corresponds to optimizing a neural network with smooth objective function. We present numerical examples from optimal transport, martingale optimal transport, portfolio optimization under uncertainty and generative adversarial networks that showcase the generality and effectiveness of the approach.
an hour ago
Quantitative Finance at arXiv wrote a new blog post titled Complexity, Centralization, and Fragility in Economic Networks. (arXiv:1802.08575v1 [physics.soc-ph])
Trade networks, across which countries distribute their products, are crucial components of the globalized world economy. Their structure is strongly heterogeneous across products, given the different features of the countries which buy and sell goods. By using a diversified pool of indicators from network science and product complexity theory, we quantitatively confirm the intuition that, overall, products with higher complexity -- i.e., with larger technological content and number of components -- are traded through a more centralized network -- i.e., with a small number of countries...
an hour ago
All About Alpha wrote a new blog post titled The Unrecognized Risks of Short Vol Strategies
Vineer Bhansali and Lawrence Harris have written a scholarly paper on what they call the “extraordinary growth of short volatility strategies” since late 2010. A lot of people and institutions seem to have come to the conclusion that spiking volatility is just that. A “spike” on a chart is definitionallyRead More
3 hours 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:...
Complexity Digest wrote a new blog post titled Artificial intelligence faces reproducibility crisis
The booming field of artificial intelligence (AI) is grappling with a replication crisis, much like the ones that have afflicted psychology, medicine, and other fields over the past decade. Just because algorithms are based on code doesn’t mean experiments are easily replicated. Far from it. Unpublished codes and a sensitivity to training conditions have made it difficult for AI researchers to reproduce many key results. That is leading to a new conscientiousness about research methods and publication protocols. Last week, at a meeting of the Association for the Advancement of...
2 days ago
Complexity Digest wrote a new blog post titled Embracing Complexity An Interview with Jean Boulton
In this episode, Angie interviews author of Embracing Complexity: Strategic Perspectives for an Age of Turbulence, Jean Boulton, who is also an academic and management consultant, specializing in complexity theory. Boulton talks with us about many different concepts including: how complexity thinking compares to systems thinking, change management, organizational strategy, complexity as a worldview, and even how this field is shining a light on climate change. Source:
2 days ago
Fama-French Forum wrote a new blog post titled Bayes Rule Spreadsheet
By KENNETH R. FRENCH Bayes rule is a way to update your model of the world when you have new information. Suppose we are interested in assessing the probability that a specific hypothesis is true. We start with an initial assessment, called our prior, which is based on all the data we have observed, books we have read, and our other life experiences. This post explains how we should update our initial assessment when we observe new data. (Read the full entry)
2 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
 What to buy with stocks bouncing back: Traders from CNBC. FedEx upgraded to Outperform at Bernstein from CNBC. Retail, Expedia, Lumentum Holdings, Intel and Healthcare services from CNBC....
2 days ago
Complexity Digest wrote a new blog post titled A Two Teraflop Swarm
We introduce the Xpuck swarm, a research platform with an aggregate raw processing power in excess of two teraflops. The swarm uses 16 e-puck robots augmented with custom hardware that uses the substantial CPU and GPU processing power available from modern mobile system-on-chip devices. The augmented robots, called Xpucks, have at least an order of magnitude greater performance than previous swarm robotics platforms. The platform enables new experiments that require high individual robot computation and multiple robots. Uses include online evolution or learning of swarm controllers,...
2 days ago
Complexity Digest wrote a new blog post titled Product diffusion through on-demand information-seeking behaviour
Most models of product adoption predict S-shaped adoption curves. Here we report results from two country-scale experiments in which we find linear adoption curves. We show evidence that the observed linear pattern is the result of active information-seeking behaviour: individuals actively pulling information from several central sources facilitated by modern Internet searches. Thus, a constant baseline rate of interest sustains product diffusion, resulting in a linear diffusion process instead of the S-shaped curve of adoption predicted by many diffusion models. The main experiment seeded 70...
2 days ago
The Reformed Broker wrote a new blog post titled Rates, REITs and Utes
maybe the rapid rise of the last few months has priced in more hopes and dreams than reality....
2 days ago
The Aleph Blog wrote a new blog post titled Monitor Financial Accounts Regularly
Photo Credit: laws protect you now. In some ways, the laws are more virtual than real, and only apply to real situations, and not virtual ones.Let me explain.Though checks make up an increasingly smaller fraction of transaction volume in the US, they are still a lot higher here than in Europe.  As such, federal and many state legislators have not caught up with the effects of a hybrid system, where they attempt to regulate electronic banking transactions under the same rules as paper checks.Many people like making mobile deposits, rather than going into...
3 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
MoffettNathanson reiterate ‘sell’ rating, Snap, Twitter from CNBC. Wells Fargo, Twitter, Waste Connections, GM and Mosaic from CNBC. Pandora, Wayfair, Roku, and an energy stock that’s soaring on earnings from CNBC....
3 days ago