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Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here

 

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Quantitative Finance at arXiv wrote a new blog post titled Stacking with Neural network for Cryptocurrency investment. (arXiv:1902.07855v1 [stat.ML])
Predicting the direction of assets have been an active area of study and a difficult task. Machine learning models have been used to build robust models to model the above task. Ensemble methods is one of them showing results better than a single supervised method. In this paper, we have used generative and discriminative classifiers to create the stack, particularly 3 generative and 9 discriminative classifiers and optimized over one-layer Neural Network to model the direction of price cryptocurrencies. Features used are technical indicators used are not limited to trend, momentum, volume,...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Deep Adaptive Input Normalization for Price Forecasting using Limit Order Book Data. (arXiv:1902.07892v1 [q-fin.CP])
Deep Learning (DL) models can be used to tackle time series analysis tasks with great success. However, the performance of DL models can degenerate rapidly if the data are not appropriately normalized. This issue is even more apparent when DL is used for financial time series forecasting tasks, where the non-stationary and multimodal nature of the data pose significant challenges and severely affect the performance of DL models. In this work, a simple, yet effective, neural layer, that is capable of adaptively normalizing the input time series, while taking into account the distribution of...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled What is the central bank of Wikipedia?. (arXiv:1902.07920v1 [cs.SI])
We analyze the influence and interactions of 60 largest world banks for 195 world countries using the reduced Google matrix algorithm for the English Wikipedia network with 5 416 537 articles. While the top asset rank positions are taken by the banks of China, with China Industrial and Commercial Bank of China at the first place, we show that the network influence is dominated by USA banks with Goldman Sachs being the central bank. We determine the network structure of interactions of banks and countries and PageRank sensitivity of countries to selected banks. We also present GPU oriented...
2 days ago
The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
 How to trade Roku ahead of earnings and the view on Albemarle in #AskHalftime from CNBC. Wells Fargo’s bearish bank call from CNBC. Final Trades: Winnebago, Albemarle, Disney, Solid Bio & Monster Beverage from CNBC....
2 days ago
The Practical Quant wrote a new blog post titled The evolution and expanding utility of Ray
[A version of this post appears on the O'Reilly Radar.]There are growing numbers of users and contributors to the framework, as well as libraries for reinforcement learning, AutoML, and data science.In a recent post, I listed some of the early use cases described in the first meetup dedicated to Ray—a distributed programming framework from UC Berkeley’s RISE Lab. A second meetup took place a few months later, and both events featured some of the first applications built with Ray. On the development front, the core API has stabilized and a lot of work has gone into improving Ray’s performance...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Market Impact: A Systematic Study of the High Frequency Options Market. (arXiv:1902.05418v3 [q-fin.TR] UPDATED)
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller pieces before being sent to the market on one of the main Asian markets. In line with our previous work on the equity market [Said et al., 2018], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Divestment may burst the carbon bubble if investors' beliefs tip to anticipating strong future climate policy. (arXiv:1902.07481v1 [q-fin.GN])
To achieve the ambitious aims of the Paris climate agreement, the majority of fossil-fuel reserves needs to remain underground. As current national government commitments to mitigate greenhouse gas emissions are insufficient by far, actors such as institutional and private investors and the social movement on divestment from fossil fuels could play an important role in putting pressure on national governments on the road to decarbonization. Using a stochastic agent-based model of co-evolving financial market and investors' beliefs about future climate policy on an adaptive social network,...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Robust Asset Allocation for Robo-Advisors. (arXiv:1902.07449v1 [q-fin.PM])
In the last few years, the financial advisory industry has been impacted by the emergence of digitalization and robo-advisors. This phenomenon affects major financial services, including wealth management, employee savings plans, asset managers, etc. Since the robo-advisory model is in its early stages, we estimate that robo-advisors will help to manage around $1 trillion of assets in 2020 (OECD, 2017). And this trend is not going to stop with future generations, who will live in a technology-driven and social media-based world. In the investment industry, robo-advisors face different...
2 days ago
Quantitative Finance at arXiv wrote a new blog post titled Matching Refugees to Host Country Locations Based on Preferences and Outcomes. (arXiv:1902.07355v1 [econ.GN])
Facilitating the integration of refugees has become a major policy challenge in many host countries in the context of the global displacement crisis. One of the first policy decisions host countries make in the resettlement process is the assignment of refugees to locations within the country. We develop a mechanism to match refugees to locations in a way that takes into account their expected integration outcomes and their preferences over where to be settled. Our proposal is based on a priority mechanism that allows the government first to specify a threshold g for the minimum level of...
2 days ago
Complexity Digest wrote a new blog post titled The Discrete Charm of the Machine: Why the World Became Digital (Kenneth Steiglitz)
A few short decades ago, we were informed by the smooth signals of analog television and radio; we communicated using our analog telephones; and we even computed with analog computers. Today our world is digital, built with zeros and ones. Why did this revolution occur? The Discrete Charm of the Machine explains, in an engaging and accessible manner, the varied physical and logical reasons behind this radical transformation. The spark of individual genius shines through this story of innovation: the stored program of Jacquard’s loom; Charles Babbage’s logical branching; Alan Turing’s...
2 days ago
Complexity Digest wrote a new blog post titled Viruses as Complex Adaptive Systems (Ricard Solé & Santiago F. Elena)
Viruses are everywhere, infecting all sorts of living organisms, from the tiniest bacteria to the largest mammals. Many are harmful parasites, but viruses also play a major role as drivers of our evolution as a species and are essential regulators of the composition and complexity of ecosystems on a global scale. This concise book draws on complex systems theory to provide a fresh look at viral origins, populations, and evolution, and the coevolutionary dynamics of viruses and their hosts. New viruses continue to emerge that threaten people, crops, and farm animals. Viruses constantly evade...
2 days ago
Complexity Digest wrote a new blog post titled Multiplex Networks: Basic Formalism and Structural Properties
This book provides the basis of a formal language and explores its possibilities in the characterization of multiplex networks. Armed with the formalism developed, the authors define structural metrics for multiplex networks. A methodology to generalize monoplex structural metrics to multiplex networks is also presented so that the reader will be able to generalize other metrics of interest in a systematic way. Therefore, this book will serve as a guide for the theoretical development of new multiplex metrics. Furthermore, this Brief describes the spectral properties of these networks in...
2 days ago
Complexity Digest wrote a new blog post titled A collaborative multiyear, multimodel assessment of seasonal influenza forecasting in the United States
Accurate prediction of the size and timing of infectious disease outbreaks could help public health officials in planning an appropriate response. This paper compares approaches developed by five different research groups to forecast seasonal influenza outbreaks in real time in the United States. Many of the models show more accurate forecasts than a historical baseline. A major impediment to predictive ability was the real-time accuracy of available data. The field of infectious disease forecasting is in its infancy and we expect that innovation will spur improvements in forecasting in the...
2 days ago
Complexity Digest wrote a new blog post titled Large teams develop and small teams disrupt science and technology
One of the most universal trends in science and technology today is the growth of large teams in all areas, as solitary researchers and small teams diminish in prevalence1,2,3. Increases in team size have been attributed to the specialization of scientific activities3, improvements in communication technology4,5, or the complexity of modern problems that require interdisciplinary solutions6,7,8. This shift in team size raises the question of whether and how the character of the science and technology produced by large teams differs from that of small teams. Here we analyse more than 65...
2 days ago
Complexity Digest wrote a new blog post titled NECSI Summer School
Gain new insights that reframe your thinking, specific tools to advance current projects, and perspectives to set new directions. Dates: June 2 – 14, 2019Location: MIT, Cambridge, MA The NECSI Summer School offers two intensive week-long courses on complexity science: modeling and networks, and data analytics. You may register for any of the weeks. If desired, arrangements for credit at a home institution may be made in advance. Lab 1: June 2 CX102: Computer Programming for Complex SystemsWeek 1: June 3-7 CX201B: Concepts and ModelingLab 2: June 9 CX103: Setting up for Data...
2 days ago
Complexity Digest wrote a new blog post titled Percolation and the Effective Structure of Complex Networks
Analytical approaches to model the structure of complex networks can be distinguished into two groups according to whether they consider an intensive (e.g., fixed degree sequence and random otherwise) or an extensive (e.g., adjacency matrix) description of the network structure. While extensive approaches—such as the state-of-the-art message passing approximation—typically yield more accurate predictions, intensive approaches provide crucial insights on the role played by any given structural property in the outcome of dynamical processes. Here we introduce an intensive description that...
2 days ago
Complexity Digest wrote a new blog post titled Detecting sequences of system states in temporal networks
Many time-evolving systems in nature, society and technology leave traces of the interactions within them. These interactions form temporal networks that reflect the states of the systems. In this work, we pursue a coarse-grained description of these systems by proposing a method to assign discrete states to the systems and inferring the sequence of such states from the data. Such states could, for example, correspond to a mental state (as inferred from neuroimaging data) or the operational state of an organization (as inferred by interpersonal communication). Our method combines a graph...
2 days ago
Complexity Digest wrote a new blog post titled Continuous versus Discontinuous Transitions in the $D$-Dimensional Generalized Kuramoto Model: Odd $D$ is Different
The Kuramoto model, originally proposed to model the dynamics of many interacting oscillators, has been used and generalized for a wide range of applications involving the collective behavior of large heterogeneous groups of dynamical units whose states are characterized by a scalar angle variable. One such application in which we are interested is the alignment of orientation vectors among members of a swarm. Despite being commonly used for this purpose, the Kuramoto model can only describe swarms in two dimensions, and hence the results obtained do not apply to the often relevant situation...
2 days ago
Complexity Digest wrote a new blog post titled The Multilayer Structure of Corporate Networks
Various company interactions can be described by networks, for instance the ownership networks and the board membership networks. To understand the ecosystem of companies, these interactions cannot be seen in isolation. For this purpose we construct a new multilayer network of interactions between companies in Germany and in the United Kingdom, combining ownership links, social ties through joint board directors, R\&D collaborations and stock correlations in one linked multiplex dataset. We describe the features of this network and show there exists a non-trivial overlap between these...
2 days ago
Complexity Digest wrote a new blog post titled Fake news on Twitter during the 2016 U.S. presidential election
The spread of fake news on social media became a public concern in the United States after the 2016 presidential election. We examined exposure to and sharing of fake news by registered voters on Twitter and found that engagement with fake news sources was extremely concentrated. Only 1% of individuals accounted for 80% of fake news source exposures, and 0.1% accounted for nearly 80% of fake news sources shared. Individuals most likely to engage with fake news sources were conservative leaning, older, and highly engaged with political news. A cluster of fake news sources shared overlapping...
2 days ago