point

 

 Remember me

Register  |   Lost password?


 

Recent members

 

 

Show:
The Reformed Broker wrote a new blog post titled Behold, the power of compounding! And fall to your knees in the presence of its invincibility!
The surest way to double your money is through the power of compounding, which takes time and patience. ... The post Behold, the power of compounding! And fall to your knees in the presence of its invincibility! appeared first on The Reformed Broker.
2 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Real-time Prediction of Bitcoin bubble Crashes. (arXiv:1905.09647v1 [q-fin.ST])
In the past decade, Bitcoin has become an emerging asset class well known to most people because of their extraordinary return potential in phases of extreme price growth and their unpredictable massive crashes. We apply the LPPLS confidence indicator as a diagnostic tool for identifying bubbles using the daily data of Bitcoin price in the past two years. We find that the LPPLS confidence indicator based on the daily data of Bitcoin price fails to provide effective warnings for detecting the bubbles when the Bitcoin price suffers from a large fluctuation in a short time, especially for...
17 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Detection of Chinese Stock Market Bubbles with LPPLS Confidence Indicator. (arXiv:1905.09640v1 [q-fin.ST])
This paper aims to present an advance bubble detection methodology based on LPPLS confidence indicator for the early causal identification of positive and negative bubbles in the Chinese stock market using the daily data on the Shanghai Shenzhen CSI 300 stock market index from January 2002 through April 2018. We account for the damping condition of LPPLS model in the search space and implement the stricter filter conditions for the qualification of the valid LPPLS fits by taking account of the maximum relative error, Lomb log-periodic test of the detrended residual, and unit-root tests of the...
17 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Diagnosis and Prediction of the 2015 Chinese Stock Market Bubble. (arXiv:1905.09633v1 [q-fin.ST])
In this study, we perform a detailed analysis of the 2015 financial bubble in the Chinese stock market by calibrating the Log Periodic Power Law Singularity (LPPLS) model to two important Chinese stock indices, SSEC and SZSC, from early 2014 to June 2015. The back tests of 2015 Chinese stock market bubbles indicates that the LPPLS model can readily detect the bubble behavior of the faster-than-exponential increase corrected by the accelerating logarithm-periodic oscillations in the 2015 Chinese Stock market. The existence of log-periodicity is detected by applying the Lomb spectral analysis...
17 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Variable annuities in a L\'evy-based hybrid model with surrender risk. (arXiv:1905.09596v1 [q-fin.MF])
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and uses time-inhomogeneous L\'evy processes as risk drivers. Further, we allow for dependence between financial and surrender risks. Our model leads to explicit analytical formulas for the quantities of interest, and practical and efficient numerical procedures for the evaluation of these formulas. We illustrate the tractability of this approach by means of...
17 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Technological Learning and Innovation Gestation Lags at the Frontier of Science: from CERN Procurement to Patent. (arXiv:1905.09552v1 [econ.GN])
This paper contributes to the literature on the impact of Big Science Centres on technological innovation. We exploit a unique dataset with information on CERN's procurement orders to study the collaborative innovation process between CERN and its industrial partners. After a qualitative discussion of case studies, survival and count data models are estimated; the impact of CERN procurement on suppliers' innovation is captured by the number of patent applications. The fact that firms in our sample received their first order over a long time span (1995-2008) delivers a natural partition of...
17 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Machine Learning Tree and Exact Integration for Pricing American Options in High Dimension. (arXiv:1905.09474v1 [q-fin.CP])
In this paper we modify the Gaussian Process Regression Monte Carlo (GPR-MC) method introduced by Gouden\`ege et al. proposing two efficient techniques which allow one to compute the price of American basket options. In particular, we consider basket of assets that follow a Black-Scholes dynamics. The proposed techniques, called GPR Tree (GRP-Tree) and GPR Exact Integration (GPR-EI), are both based on Machine Learning, exploited together with binomial trees or with a closed formula for integration. Moreover, these two methods solve the backward dynamic programming problem considering a...
17 hours ago
All About Alpha wrote a new blog post titled Interest Rate Derivatives, Announcements and HFT: It’s All About Timing
Three scholars associated with the University of Wollogong, Australia, recently published a paper on the contribution of high-frequency traders to the absorption of new information by the markets, especially in relation to the prices of interest rate derivatives. The study is the work of Alex Frino, Michael Garcia, and IvyRead More
18 hours ago
Complexity Digest wrote a new blog post titled For The Record – A Public Goods Game For Exploring Human-Robot Collaboration
For The Record is a digital game that involves a social dilemma between a mixed team of humans and agents. Inspired by the standard public goods games, the collective goal is accessible to all team members, independently of their individual contributions. As a result, each player faces in each round the decision between cooperating with the team and defecting to obtain an individual benefit. The digital game itself allows exploring the complexity of human cooperation when teaming with agents. Moreover, playing it on a touch screen creates an additional opportunity to explore these...
yesterday
The Reformed Broker wrote a new blog post titled Ramit Sethi (I Can Teach You To Be Rich) visits The Compound!
Josh Brown, Ben Carlson and Michael Batnick sat with Ramit to discuss the second edition of his bestselling book "I Will Teach You To Be Rich". ... The post Ramit Sethi (I Can Teach You To Be Rich) visits The Compound! appeared first on The Reformed Broker.
yesterday
The Reformed Broker wrote a new blog post titled ‘Terminator: Dark Fate’ Trailer Hits!
Official Trailer for Terminator 6... The post ‘Terminator: Dark Fate’ Trailer Hits! appeared first on The Reformed Broker.
yesterday
The Practical Quant wrote a new blog post titled Applications of data science and machine learning in financial services
[A version of this post appears on the O'Reilly Radar.]The O'Reilly Data Show Podcast: Jike Chong on the many exciting opportunities for data professionals in the U.S. and China.In this episode of the Data Show, I spoke with Jike Chong, chief data scientist at Acorns, a startup focused on building tools for micro-investing. Chong has extensive experience using analytics and machine learning in financial services, and he has experience building data science teams in the U.S. and in China.We had a great conversation spanning many topics, including:Potential applications of data science in...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled The perils of automated fitting of datasets: the case of a wind turbine cost model. (arXiv:1905.08870v1 [stat.AP])
Rinne et al. conduct an interesting analysis of the impact of wind turbine technology and land-use on wind power potentials, which allows profound insights into each factors contribution to overall potentials. The paper presents a detailed model of site-specific wind turbine investment cost (i.e. road- and grid access costs) complemented by a model used to estimate site-independent costs. We believe that propose a cutting edge model of site-specific investment costs. However, the site-independent cost model is flawed in our opinion. This flaw most likely does not impact the results presented...
2 days ago
All About Alpha wrote a new blog post titled The Mysterious Shortfall in Women Chief Investment Officers
By Charles Skorina We recently looked at the number of women CIOs at big endowments*. Among 109 North American endowments over $1 billion we identified twenty (18 plus one director of investments and one CFO who liaises with their OCIO providers). That’s just 18%–less than one out of five. ForRead More
2 days ago
Complexity Digest wrote a new blog post titled On the Inevitability of Online Echo Chambers
While social media make it easy to connect with and access information from anyone, they also facilitate basic influence and unfriending mechanisms that may lead to segregated and polarized clusters known as "echo chambers." Here we study the conditions in which such echo chambers emerge by introducing a simple model of information sharing in online social networks with the two ingredients of influence and unfriending. Users can change both opinions and social connections based on the information to which they are exposed through sharing. Model dynamics demonstrate that even with...
2 days ago
The Reformed Broker wrote a new blog post titled What Are Your Thoughts: The $47 Trillion Question
Josh and Michael with special guest Ben Carlson (A Wealth Of Common Sense) play What Are Your Thoughts?... The post What Are Your Thoughts: The $47 Trillion Question appeared first on The Reformed Broker.
2 days ago