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The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
Bernstein says to buy Lowe’s from CNBC. American Outdoor Brands, Albermarle, Metlife & Marriott from CNBC....
3 hours ago
The Reformed Broker wrote a new blog post titled Appearance: Research Affiliates Advisor Symposium, March 14th
I'll be speaking live on stage this March in Newport Beach for RAFI...
3 hours ago
Quantitative Finance at arXiv wrote a new blog post titled USDA Forecasts: A meta-analysis study. (arXiv:1801.06575v1 [econ.EM])
The primary goal of this study is doing a meta-analysis research on two groups of published studies. First, the ones that focus on the evaluation of the United States Department of Agriculture (USDA) forecasts and second, the ones that evaluate the market reactions to the USDA forecasts. We investigate four questions. 1) How the studies evaluate the accuracy of the USDA forecasts? 2) How they evaluate the market reactions to the USDA forecasts? 3) Is there any heterogeneity in the results of the mentioned studies? 4) Is there any publication bias? About the first question, while some...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Modelo de maturidade em gerenciamento de riscos em projetos (Project Risk Management Model Maturity). (arXiv:1801.06595v1 [q-fin.RM])
The globalization feeded by the technology explosion that begans in the end of the last century, started the world to change faster every day. The only today's certain is the tomorrow's uncertain. Risk is defined as uncertain where one or many causes composed of ocurrence probality can generate an impact or consequence (threat if negative and oportunity if positive, to a determinated goal). The Risk Management is composed of culture, procedure and process of an organization or individual care of uncertain, aiming to minimize threats e maximizing the oportunities, to reach a desired goal. The...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Capital Structure in U.S., a Quantile Regression Approach with Macroeconomic Impacts. (arXiv:1801.06651v1 [q-fin.EC])
The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the relative importance of firm-specific and macroeconomic characteristics from an alternative scope in U.S. This study extends the empirical research on the topic of capital structure by focusing on a quantile regression method to investigate the behavior of firm-specific characteristics and macroeconomic variables across all quantiles of distribution of leverage (total debt, long-terms debt...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled A Second Order Cumulant Spectrum Based Test for Strict Stationarity. (arXiv:1801.06727v1 [q-fin.ST])
This article develops a statistical test for the null hypothesis of strict stationarity of a discrete time stochastic process. When the null hypothesis is true, the second order cumulant spectrum is zero at all the discrete Fourier frequency pairs present in the principal domain of the cumulant spectrum. The test uses a frame (window) averaged sample estimate of the second order cumulant spectrum to build a test statistic that has an asymptotic complex standard normal distribution. We derive the test statistic, study the size and power properties of the test, and demonstrate its...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled At What Frequency Should the Kelly Bettor Bet?. (arXiv:1801.06737v1 [math.OC])
We study the problem of optimizing the betting frequency in a dynamic game setting using Kelly's celebrated expected logarithmic growth criterion as the performance metric. The game is defined by a sequence of bets with independent and identically distributed returns X(k). The bettor selects the fraction of wealth K wagered at k = 0 and waits n steps before updating the bet size. Between updates, the proceeds from the previous bets remain at risk in the spirit of "buy and hold." Within this context, the main questions we consider are as follows: How does the optimal performance, we call it...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets. (arXiv:1801.06860v1 [q-fin.MF])
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market consisting of one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the utility function, defined either over the positive real line or over the whole real line, is bounded from above. We also find that, when wealth is required to satisfy the no-bankruptcy constraint, the boundedness assumption can be dropped provided that we impose a certain integrability condition, related to some strengthened form of...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Testing the Number of Regimes in Markov Regime Switching Models. (arXiv:1801.06862v1 [econ.EM])
Markov regime switching models have been used in numerous empirical studies in economics and finance. However, the asymptotic distribution of the likelihood ratio test statistic for testing the number of regimes in Markov regime switching models has been an unresolved problem. This paper derives the asymptotic distribution of the likelihood ratio test statistic for testing the null hypothesis of $M_0$ regimes against the alternative hypothesis of $M_0 + 1$ regimes for any $M_0 \geq 1$ both under the null hypothesis and under local alternatives. We show that the contiguous alternatives...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Ranking Causal Influence of Financial Markets via Directed Information Graphs. (arXiv:1801.06896v1 [q-fin.ST])
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the most economic influence in an examined subset of the global economy. The proposed method represents the indices as nodes in a directed graph, where the edges' weights are estimates of the pair-wise causal influences, quantified using the directed information functional. This method facilitates using a relatively small number of samples from each index. The...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information. (arXiv:1801.06966v1 [q-fin.GN])
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today markets. This paper proposes a new generative uncertainty mechanism based on the Bayesian Inference and Correntropy (BIC) technique for accurately evaluating asset pricing in markets. This technique examines the potential processes of risk, ambiguity, and variations of market information in a controllable manner. We apply the new BIC technique to a consumption asset-pricing model in which the...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts. (arXiv:1801.07044v1 [q-fin.CP])
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive marginal quantization (JRMQ) algorithms outside the framework of traditional risk-neutral methods by pricing options under the real-world probability measure, using the benchmark approach. The benchmark approach is reviewed, and the real-world pricing theorem is presented and applied to various long-dated claims to obtain less expensive prices than...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Characterization of catastrophic instabilities: Market crashes as paradigm. (arXiv:1801.07213v1 [q-fin.GN])
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as market crashes. For deeper understanding, we choose the US and Japanese markets from 1985 onward, and study the evolution of the cross-correlation structures of stock return matrices and their eigenspectra over different short time-intervals or "epochs". A slight non-linear distortion is applied to the correlation matrix computed for any epoch, leading to the...
6 hours ago
The Reformed Broker wrote a new blog post titled Reflections on a big milestone
Over the weekend I broke the one million followers mark on Twitter. ...
19 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Predicting crypto-currencies using sparse non-Gaussian state space models. (arXiv:1801.06373v1 [econ.EM])
In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid changes in the conditional variance, non-normality of the measurement errors and sharply increasing trends, we develop a time-varying parameter VAR with t-distributed measurement errors and stochastic volatility. To control for overparameterization, we rely on the Bayesian literature on shrinkage priors that enables us to shrink coefficients associated with irrelevant predictors and/or perform...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Affine forward variance models. (arXiv:1801.06416v1 [q-fin.MF])
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant generating function, which can be obtained as solution of a convolution Riccati equation. We further introduce the class of affine forward order flow intensity (AFI) models, which are structurally similar to AFV models, but driven by jump processes, and which include Hawkes-type models. We show that the cumulant generating function of an AFI model satisfies a...
yesterday
Quantitative Finance at arXiv wrote a new blog post titled Ergodic robust maximization of asymptotic growth. (arXiv:1801.06425v1 [q-fin.PM])
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where additionally the assets are stable in that their occupancy time measures converge to a law with density $p$. This latter assumption is motivated by the observed stability of ranked relative market capitalizations for equity markets. We seek to identify the robust optimal growth rate, as well as a trading strategy which achieves this rate in all models....
yesterday
All About Alpha wrote a new blog post titled Firms of the Near Future: Process and Product Innovators
Last summer the Boston Consulting Group put out a report on the global asset management industry, called “The Innovator’s Advantage.” The title was an allusion to a landmark 1997 book by Clayton Christensen, The Innovator’s Dilemma, which in turn was a forceful restatement of some old Schumpeterian ideas about theRead More
yesterday