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Our popular course Introduction to QuantLib Development will be taking place June 18-20th, 2018.

 

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The Reformed Broker wrote a new blog post titled It’s always a remix
Market commentary across the decades is remarkably similar. Remember this as you are reading it. ...
2 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Emergence of correlations between securities at short time scales. (arXiv:1807.05015v1 [q-fin.TR])
The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eigenvalues can be used to identify the market mode, sectors and style factors. We investigate how these eigenvalues depend on the time scale of securities returns in the U.S. market. For this purpose, one-minute returns of the largest 533 U.S. stocks are aggregated at different time scales and used to estimate the correlation matrix and its spectral properties. We propose a simple lead-lag factor model to capture and...
14 hours ago
Quantitative Finance at arXiv wrote a new blog post titled At the Mercy of the Common Noise: Blow-ups in a Conditional McKean--Vlasov Problem. (arXiv:1807.05126v1 [math.PR])
We extend a model of feedback and contagion in large mean-field systems by introducing a common source of noise driven by Brownian motion. Although the dynamics in the model are continuous, the feedback effect can lead to jump discontinuities in the solutions --- i.e. 'blow-ups'. We prove existence of solutions to the corresponding conditional McKean--Vlasov equation and we show that the pathwise realisation of the common noise can both trigger and prevent blow-ups.
14 hours ago
All About Alpha wrote a new blog post titled Using the Variance Risk Premium to Predict Futures Markets
A new study of volatility in commodity prices indicates that both the total and the decomposed variance risk premiums of at least certain commodities markets contain information with predictive power. The variance risk premium is the pay-off of the synthetic variance swap contract. Specifically, it’s the difference between the floatingRead More
14 hours ago
The Reformed Broker wrote a new blog post titled Goosebumps
The minute this email hit my inbox I got goosebumps....
yesterday
Econometrics Beat wrote a new blog post titled Handbook of Quantile Regression
Quantile regression is a powerful and flexible technique that is widely used by econometricians and other applied statisticians. In modern terms we tend to date it back to the classic paper by Koenker and Bassett (1978). Recently, I reviewed the Handbook of Quantile Regression. This edited volume comprises a number of important, original, contributions to the quantile regression literature. The various chapters cover a wide range of topics that extend the basic quantile regression set-up. You...
yesterday
Econometrics Beat wrote a new blog post titled What's in a Journal Name?
Back in 2011 I put together a very light-hearted working paper titled, What's in a (Journal) Name? Here's the associated link. That paper addressed the (obviously) important question: "Is there a a correlation between the ranking of an economics journal and the length of the journal's title?" I analyzed a sample of 159 academic economics journals. Although there was no significant association between journal quality and journal title length for the full sample of data, I did find that...
2 days ago
The Reformed Broker wrote a new blog post titled This Week on TRB
These were the most read posts on TRB this week, in case you missed it: ...
2 days ago