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Quantitative Finance at arXiv wrote a new blog post titled On the quadratic variation of the model-free price paths with jumps. (arXiv:1710.07894v1 [q-fin.MF])
We prove that the model-free typical (in the sense of Vovk) c\`adl\`ag price paths with mildly restricted downward jumps possess quadratic variation which does not depend on the specific sequence of partitions as long as these partitions are obtained from stopping times such that the oscillations of a path on the consecutive (half-open on the right) intervals of these partitions tend (in a specified sense) to 0. Finally, we also define quasi-explicit, partition independent quantities which tend to this quadratic variation.
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Computational Methods for Martingale Optimal Transport problems. (arXiv:1710.07911v1 [math.PR])
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics. We prove that the MOT value can be approximated using linear programming (LP) problems which result from a discretisation of the marginal distributions combined with a suitable relaxation of the martingale constraint. Specialising to dimension one, we provide bounds on the convergence rate of the above scheme. We also show a stability result under only partial specification of the...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Electricity Market Theory Based on Continuous Time Commodity Model. (arXiv:1710.07918v1 [econ.EM])
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has two major drawbacks: one is that it is still based on the traditional hourly scheduling/dispatch model, ignores the crucial time continuity in electric power production and consumption and does not treat the inter-temporal constraints seriously; the second is that it assumes that the electricity products are homogeneous in the same dispatch period and...
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Grasping asymmetric information in market impacts. (arXiv:1710.07959v1 [q-fin.TR])
We measure the price impacts across a correlated financial market by the responses to single and multiple trades. Focusing on the primary responses, we use an event time scale. We quantify the asymmetries of the distributions and of the market structures of cross-impacts, and find that the impacts across the market are asymmetric and non-random. Using spectral statistics and Shannon entropy, we visualize the asymmetric information in market impacts. Also, we introduce an entropy of impacts to estimate the randomness between stocks. We show that the useful information is encoded in the impacts...
6 hours ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
Saudi prince doesn’t understand what’s going on with bitcoin: Brian Kelly from CNBC. No fun in 2 toy stocks & other big-name movers from CNBC....
9 hours ago
Complexity Digest wrote a new blog post titled Estimating savings in parking demand whem using shared vehicles for home-work commuting
The increasing availability and adoption of shared vehicles as an alternative to personally-owned cars presents ample opportunities for achieving more efficient transportation in cities. With private cars spending on the average over 95\% of the time parked, one of the possible benefits of shared mobility is the reduced need for parking space. While widely discussed, a systematic quantification of these benefits as a function of mobility demand and sharing models is still mostly lacking in the literature. As a first step in this direction, this paper focuses on a type of private mobility...
16 hours ago
Complexity Digest wrote a new blog post titled Call for Postdoctoral position in Data Science at Central European University
The Intellectual Theme Initiative “Just data” at Central European University is looking for an exceptional candidate to fill one open postdoctoral position in data science, broadly defined. The research will be conducted with the research group directed by Prof. Roberta Sinatra and Prof. Michael Szell, with unique opportunities for collaborations with other excellent faculty at Central European University. The group currently focuses on quantitative projects at the boundary of computational social science and network science, including science of science, social dynamics, urban...
16 hours ago
Complexity Digest wrote a new blog post titled Underwater robots monitor Venice lagoon
Robust and flexible, the robots are designed to talk and listen to each other and to develop as a “self-organizing underwater swarm”, using bio-inspired algorithms influenced by nature. Source:
16 hours ago
The Reformed Broker wrote a new blog post titled No Talent
you gotta shoot your shot and hope it lands. ...
17 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Information measure for financial time series: quantifying short-term market heterogeneity. (arXiv:1710.07331v1 [q-fin.ST])
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked according to their size to form a probability distribution function and finally fed in the expression of the Shannon entropy. In this work, such entropy measure is implemented on the time series of prices and volatilities of six financial markets. The analysis has been performed, on tick-by-tick data sampled every minute for six years of data from 1999 to 2004,...
Quantitative Finance at arXiv wrote a new blog post titled Frequency Based Index Estimating the Subclusters' Connection Strength. (arXiv:1710.07340v1 [stat.ML])
In this paper, a frequency coefficient based on the Sen-Shorrocks-Thon (SST) poverty index notion is proposed. The clustering SST index can be used as the method for determination of the connection between similar neighbor sub-clusters. Consequently, connections can reveal existence of natural homogeneous. Through estimation of the connection strength, we can also verify information about the estimated number of natural clusters that is necessary assumption of efficient market segmentation and campaign management and financial decisions. The index can be used as the complementary tool for...
Quantitative Finance at arXiv wrote a new blog post titled Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures. (arXiv:1710.07470v1 [q-fin.ST])
Technical trading rules have been widely used by practitioners in financial markets for a long time. The profitability remains controversial and few consider the stationarity of technical indicators used in trading rules. We convert MA, KDJ and Bollinger bands into stationary processes and investigate the profitability of these trading rules by using 3 high-frequency data(15s,30s and 60s) of CSI300 Stock Index Futures from January 4th 2012 to December 31st 2016. Several performance and risk measures are adopted to assess the practical value of all trading rules directly while ADF-test is used...
Quantitative Finance at arXiv wrote a new blog post titled A regularity structure for rough volatility. (arXiv:1710.07481v1 [q-fin.PR])
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, also turned out to capture parsimoniously key stylized facts of the entire implied volatility surface, including extreme skews that were thought to be outside the scope of stochastic volatility. On the mathematical side, Markovianity and, partially, semi-martingality are lost. In this paper we show that Hairer's regularity structures, a major extension of rough path theory, which caused a...
Quantitative Finance at arXiv wrote a new blog post titled Multilevel estimation of expected exit times and other functionals of stopped diffusions. (arXiv:1710.07492v1 [math.NA])
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high-dimensional parabolic PDEs through the Feynman-Kac formula. In particular, it is proved that the complexity to achieve an $\varepsilon$ root-mean-square error is $O(\varepsilon^{-2}\, |\!\log \varepsilon|^3)$.
Complexity Digest wrote a new blog post titled The future of work
Robots did not write this sentence, or any other part of Nature. But that could change. Dramatic shifts in labour are reshaping society, the environment and the political landscape. Consider this disorienting estimate from the World Economic Forum: 65% of children entering primary schools now will grow up to work in jobs that do not yet exist. This week, Nature asks: what light is research shedding on the future of work, and how will the changes affect scientists’ working world? Source:
Econometrics Beat wrote a new blog post titled Another Shout-Out for The Replication Network
Replication in empirical economics is vitally important, and I'm delighted to be a member of The Replication Network. I've mentioned this group in previous blog posts - for instance, here and here. The list of members of TRN continues to grow - why not consider becoming a member your self? Here's the link that you need to do so.  The TRN website includes some excellent guest blog posts, the latest of which is about a new journal dedicated to the replication of economic research. The post...
2 days ago
Complexity Digest wrote a new blog post titled Introduction to Focus Issue: Complex Cardiac Dynamics
Even after over a century of active research, the heart continues to reveal new complexities in behavior and remains difficult to understand fully. Multi-scale dynamics ranging from cellular and subcellular behavior to chambers of the heart and the full organ make analysis complicated. In addition, different types of heart functions, including electrical wave signaling, mechanical contraction, and blood flow, present separate challenges. Theory, numerical modeling, and experiments provide different contributions to our understanding of cardiac processes and behavior. This Focus Issue includes...
2 days ago
Complexity Digest wrote a new blog post titled Compressibility, laws of nature, initial conditions and complexity
We critically analyse the point of view for which laws of nature are just a mean to compress data. Discussing some basic notions of dynamical systems and information theory, we show that the idea that the analysis of large amount of data by means of an algorithm of compression is equivalent to the knowledge one can have from scientific laws, is rather naive. In particular we discuss the subtle conceptual topic of the initial conditions of phenomena which are generally incompressible. Starting from this point, we argue that laws of nature represent more than a pure compression of data, and...
3 days 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:...
3 days ago
Complexity Digest wrote a new blog post titled Identifying Self-Organization and Adaptability in Complex Adaptive Systems
Self-organization and adaptability are critical properties of complex adaptive systems (CAS), and their analysis provides insight into the design of these systems, consequently leading to real-world advancements. However, these properties are difficult to analyze in real-world scenarios due to performance constraints, metric design, and limitations in existing modeling tools. Several metrics have been proposed for their identification, but metric effectiveness under the same experimental settings has not been studied before. In this paper we present an observation tool, part of a complex...
3 days ago