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Quantitative Finance at arXiv wrote a new blog post titled Cointegration in high frequency data. (arXiv:1905.07081v1 [q-fin.ST])
In this paper, we consider a framework adapting the notion of cointegration when two asset prices are generated by a driftless It\^{o}-semimartingale featuring jumps with infinite activity, observed synchronously and regularly at high frequency. We develop a regression based estimation of the cointegrated relations method and show the related consistency and central limit theory when there is cointegration within that framework. We also provide a Dickey-Fuller type residual based test for the null of no cointegration against the alternative of cointegration, along with its limit theory. Under...
11 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A Comment on "Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting" by Hanming Fang and Yang Wang. (arXiv:1905.07048v1 [econ.EM])
The recent literature often cites Fang and Wang (2015) for analyzing the identification of time preferences in dynamic discrete choice under exclusion restrictions (e.g. Yao et al., 2012; Lee, 2013; Ching et al., 2013; Norets and Tang, 2014; Dub\'e et al., 2014; Gordon and Sun, 2015; Bajari et al., 2016; Chan, 2017; Gayle et al., 2018). Indeed, Fang and Wang's Proposition 2 claims generic identification of a dynamic discrete choice model with hyperbolic discounting. However, this claim uses a definition of "generic" that does not preclude the possibility that a generically identified model is...
11 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry. (arXiv:1905.07257v1 [q-fin.MF])
The Accardi-Boukas quantum Black-Scholes equation can be used as an alternative to the classical approach to finance, and has been found to have a number of useful benefits. The quantum Kolmogorov backward equations, and associated quantum Fokker-Planck equations, that arise from this general framework, are derived using the Hudson-Parthasarathy quantum stochastic calculus. In this paper we show how these equations can be derived using a nonlocal approach to quantum mechanics. We show how nonlocal diffusions, and quantum stochastic processes can be linked, and discuss how moment matching...
11 hours ago
All About Alpha wrote a new blog post titled Caveat Emptor: Leveraged Loans and the Credit Cycle
AllianceBernstein, the Nashville-based, asset management firm released a white paper on high-yield bank loans. Buying these loans seems, to some investors, a fix for the ongoing low-interest-rate environment. But the white paper is a warning. In two words, “buyer beware.”  The paper is the work of Douglas J. Peebles andRead More
11 hours ago
Econometrics Beat wrote a new blog post titled Update on the "Series of Unsurprising Results in Economics"
In June of last year I had a post about a new journal, Series of Unsurprising Results in Economics (SURE). If you didn't get to read that post, I urge you to do so.  More importantly, you should definitely take a look at this piece by Kelsey Piper, from a couple of days ago, and titled, "This economics journal only publishes results that are no big deal - Here’s how that might save science". Kelsey really understands the rationale for SURE, and the important role that it can...
15 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: ... The post This Week on TRB appeared first on The Reformed Broker.
2 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
The bull case for Uber from CNBC. Here’s how traders are looking at Uber’s market value from CNBC. Top retail analyst upgrades this athletic stock from CNBC. Final trades: Illumina, Home Depot & Colgate from CNBC.... The post Clips From Today’s Halftime Report appeared first on The Reformed Broker.
2 days ago
The Reformed Broker wrote a new blog post titled Live from StockTwits, at the cutting edge of trading and social media
Every month, more than 2 million active users visit StockTwits.com or use its app to learn, communicate, research and joke about markets, stocks, digital assets, ETFs and more.... The post Live from StockTwits, at the cutting edge of trading and social media appeared first on The Reformed Broker.
3 days ago
Magic, Maths and Money wrote a new blog post titled Ethics and actuaries: issues and opportunities
I was invited by the “London Markets Actuarial Group”, made up of general insurance actuaries, to speak at an ethics workshop. This post is about some observations I have from this experience. My observations are critical. This does not mean I believe actuaries are not well-intentioned, rather there might be gaps in their understanding that inhibit clear ethical reasoning. The purpose is to highlight how ethical assumptions are always questionable and it is by asking questions that an individual becomes ethical. The context is that the professional body of UK actuaries, the IFoA, requires...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Playing with ghosts in a Dynkin game. (arXiv:1905.06564v1 [math.PR])
We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the context of investors who do not want to publicly reveal their interest in a certain business opportunity. We show that there exists a Nash equilibrium in randomized stopping times which is described explicitly in terms of the corresponding one-player game.
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Improving Regression-based Event Study Analysis Using a Topological Machine-learning Method. (arXiv:1905.06536v1 [econ.GN])
This paper introduces a new correction scheme to a conventional regression-based event study method: a topological machine-learning approach with a self-organizing map (SOM).We use this new scheme to analyze a major market event in Japan and find that the factors of abnormal stock returns can be easily can be easily identified and the event-cluster can be depicted.We also find that a conventional event study method involves an empirical analysis mechanism that tends to derive bias due to its mechanism, typically in an event-clustered market situation. We explain our new correction scheme...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Interdependence of sectors of economic activities for world countries from the reduced Google matrix analysis of WTO data. (arXiv:1905.06489v1 [q-fin.TR])
We apply the recently developed reduced Google matrix algorithm for the analysis of the OECD-WTO world network of economic activities. This approach allows to determine interdependences and interactions of economy sectors of several countries, including China, Russia and USA, properly taking into account the influence of all other world countries and their economic activities. Within this analysis we also obtain the sensitivity of economy sectors and EU countries to petroleum activity sector. We show that this approach takes into account multiplicity of network links with economy interactions...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Dynamic model of firms competitive interaction on the market with taxation. (arXiv:1905.06364v1 [q-fin.GN])
In this article three models of firms interaction on the market are described. One of these models is described by using a differential equation and by Lotka-Volterra model, where the equation has a different form. Also, there are models of non-competing and competing firms. The article presents an algorithm for solving the interaction of competing firms in taxation and the calculation of a compromise point. Besides, the article presents a compromise between the interests of a state and an enterprise.
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Options to Receive Employment Gratuity. (arXiv:1905.06733v1 [q-fin.GN])
Employment gratuity is the money companies typically give to their employees at the end of their contracts as a legal requirement. Like pension, it is a form of retirement plan and is often given as an alternative to a pension plan. Nonetheless, there is now a new pattern whereby companies give their employees the option to receive their gratuity at various stages before the end of their contracts. In Botswana, for instance, some companies give their employees an option to receive their gratuity on a monthly basis rather than having them wait for a year or more. Many employees find this...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled The professional trader's paradox. (arXiv:1905.06722v1 [q-fin.GN])
In this article, I will present a paradox whose purpose is to draw your attention to an important topic in finance, concerning the non-independence of the financial returns (non-ergodic hypothesis). In this paradox, we have two people sitting at a table separated by a black sheet so that they cannot see each other and are playing the following game: the person we call A flip a coin and the person we'll call B tries to guess the outcome of the coin flip. At the end of the game, both people are asked to estimate the compound probability of the result obtained. The two people give two different...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Unconventional Exchange: Methods for Statistical Analysis of Virtual Goods. (arXiv:1905.06721v1 [q-fin.GN])
Hyperinflation and price volatility in virtual economies has the potential to reduce player satisfaction and decrease developer revenue. This paper describes intuitive analytical methods for monitoring volatility and inflation in virtual economies, with worked examples on the increasingly popular multiplayer game Old School Runescape. Analytical methods drawn from mainstream financial literature are outlined and applied in order to present a high level overview of virtual economic activity of 3467 price series over 180 trading days. Six-monthly volume data for the top 100 most traded items is...
3 days ago
All About Alpha wrote a new blog post titled The ‘Vortex of Volatility’ and the Merger Market  
Intralinks, the provider of inter-enterprise collaboration products that is perhaps best known for its Deal Flow Predictor, recently interviewed Paul Aversano, a managing director at the consultancy Alvarez & Marsal. Aversano leads A&M’s private equity services practice, and he is the global practice leader of the transaction advisory group. HeRead More
3 days ago