Do FOMC and macroeconomic announcements affect Bitcoin prices?
Publication date: Available online 21 December 2019Source: Finance Research LettersAuthor(s): Sujin Pyo, Jaewook LeeAbstractBitcoin, developed by Satoshi Nakamoto after the financial crisis in 2008,...
View ArticleThe Road to Software 2.0
It's clear that AI can and will have a big influence on how we develop software.By Mike Loukides and Ben Lorica.[A version of this post appears on the O'Reilly Radar.]Roughly a year ago, we wrote...
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Understanding Exponents
Countering Our Limited Intuition Towards Exponential FunctionsContinue reading on Cantorâs Paradise »
View ArticleGreenfields and Brownfields: Asian Investors Backing Infrastructure Investments
The Asian Infrastructure Investment Bank has taken a 30% stake in Bayfront Infrastructure Management. Clifford Capital, with the backing of the government of Singapore, has the other 70%. They have...
View ArticleGrouping of Contracts in Insurance using Neural Networks. (arXiv:1912.09964v1...
Despite the high importance of grouping in practice, there exists little research on the respective topic. The present work presents a complete framework for grouping and a novel method to optimize...
View ArticleHow connected is too connected? Impact of network topology on systemic risk...
Economic interdependencies have become increasingly present in globalized production, financial and trade systems. While establishing interdependencies among economic agents is crucial for the...
View ArticleAn Artificial Intelligence approach to Shadow Rating. (arXiv:1912.09764v1...
We analyse the effectiveness of modern deep learning techniques in predicting credit ratings over a universe of thousands of global corporate entities obligations when compared to most popular,...
View ArticleMonetary Policy and Wealth Inequalities in Great Britain: Assessing the role...
This paper explores whether unconventional monetary policy operations have redistributive effects on household wealth. Drawing on household balance sheet data from the Wealth and Asset Survey, we...
View ArticleFrom Disequilibrium Markets to Equilibrium. (arXiv:1912.09679v1 [econ.GN])
The modeling of financial markets as disequilibrium models by ordinary differential equations has become a popular modeling tool. One famous example of such a model is the Beja-Goldman model(The...
View ArticleComparison of various risk measures for an optimal portfolio....
In this paper, we search for optimal portfolio strategies in the presence of various risk measure that are common in financial applications. Particularly, we deal with the static optimization problem...
View ArticleArgentum: a collaborative saving and investment platform for unstable...
A crypto coin designed to provide a stabilization instrument backed up by minded like financial investments instruments to maintain the purchase value of savings across time, in order to construct new...
View ArticleEvolving ab initio trading strategies in heterogeneous environments....
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary...
View ArticleWhat’s the one thing that will disrupt quant finance the most?
John Hull @UofT: "the traditional material that might have been taught in quantitative finance courses 10 years ago is not as relevant now" Read more fromâ¦
View ArticleMoneyScience: MoneyScience's post: Call for Papers - Workshop on Economics...
Call for Papers - Workshop on Economics with Heterogeneous Interacting Agents (WEHIA) 2020 https://t.co/jRVNPNxhEI â moneyscience (@moneyscience) December 23,â¦
View ArticleEbenezer Scrooge: An Alternative View
By Bill Kelly, CEO, CAIA Association Ebenezer Scrooge was not exactly a cuddly CEO. The way he treated poor Bob Cratchit alone would not have exactly put Scrooge & Marley Ltd. in the top quartile...
View ArticleSusan Nash, Associate Director in Division of Investment Management, to Leave...
The Securities and Exchange Commission today announced that Susan Nash, Associate Director and Senior Policy Advisor to the Director, Division of Investment Management, will retire from the SEC at the...
View ArticleQuant GANs: Deep Generation of Financial Time Series. (arXiv:1907.06673v2...
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. As an alternative, we introduce Quant GANs, a data-driven model...
View ArticleIntermediated Implementation. (arXiv:1810.11475v5 [econ.TH] UPDATED)
We examine problems of "intermediated implementation," in which a single principal can only regulate limited aspects of the consumption bundles traded between intermediaries and agents with hidden...
View ArticleElectoral Crime Under Democracy: Information Effects from Judicial Decisions...
This paper examines voters' responses to the disclosure of electoral crime information in large democracies. I focus on Brazil, where the electoral court makes candidates' criminal records public...
View ArticleEconomic Complexity: why we like "Complexity weighted...
A recent paper by Hausmann and collaborators (1) reaches the important conclusion that Complexity-weighted diversification is the essential element to predict country growth. We like this result...
View ArticleQuantile Diffusions. (arXiv:1912.10866v1 [math.PR])
This paper focuses on the development of a new class of diffusion processes that allows for direct and dynamic modelling of quantile diffusions. We constructed quantile diffusion processes by...
View ArticleModel uncertainty in financial forecasting. (arXiv:1912.10813v1 [q-fin.GN])
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an...
View ArticleDP-LSTM: Differential Privacy-inspired LSTM for Stock Prediction Using...
Stock price prediction is important for value investments in the stock market. In particular, short-term prediction that exploits financial news articles is promising in recent years. In this paper, we...
View ArticleOn Information Coefficient and Directional Statistics. (arXiv:1912.10709v1...
Cross-sectional "Information Coefficient"(IC) is a widely and deeply accepted measure in portfolio management. In this paper, we propose that IC is a linear operator on the components of a standardized...
View ArticlePricing of the Geometric Asian Options Under a Multifactor Stochastic...
This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting factors of volatility,...
View ArticleBuilding and Testing Yield Curve Generators for P&C Insurance....
Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital, bonds are marked...
View ArticleThe Black-Scholes-Merton dual equation. (arXiv:1912.10380v1 [q-fin.PR])
We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The new equation is general and works for European, American, Bermudan, Asian,...
View ArticleDesign of High-Frequency Trading Algorithm Based on Machine Learning....
Based on iterative optimization and activation function in deep learning, we proposed a new analytical framework of high-frequency trading information, that reduced structural loss in the assembly of...
View ArticlePortfolio optimization based on forecasting models using vine copulas: An...
We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset allocations performed during the 2008-2009...
View ArticleComparative Study of Two Extensions of Heston Stochastic Volatility Model....
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in...
View ArticleDissecting Ethereum Blockchain Analytics: What We Learn from Topology and...
Blockchain technology and, in particular, blockchain-based cryptocurrencies offer us information that has never been seen before in the financial world. In contrast to fiat currencies, all transactions...
View ArticleMining the Automotive Industry: A Network Analysis of Corporate Positioning...
The digital transformation is driving revolutionary innovations and new market entrants threaten established sectors of the economy such as the automotive industry. Following the need for monitoring...
View ArticleWhat are you searching for? On the equivalence of proxies for online investor...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Simon Behrendt, Philipp PrangeAbstractGoogle searches for stock tickers and company-specific Wikipedia...
View ArticleIntangible Factor and Idiosycratic Volatility Puzzles
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Xing LI, Keqiang HOU, Chao ZhangAbstractIn this paper, we explore whether intangible capital (IC) can help...
View ArticleA Bayesian Re-Interpretation of ”Significant” Empirical Financial...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Ralf Kellner, Daniel RöschAbstractCurrently, the use of t statistics and p-values is under scrutiny in...
View ArticleFrom bottom ten to top ten: the role of cryptocurrencies in enhancing...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Roman Matkovskyy, Akanksha Jalan, Michael Dowling, Taoufik BouraouiAbstractThis study attempts to analyze...
View ArticleBitcoin volatility, stock market and investor sentiment. Are they connected?
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): M. Ãngeles López-Cabarcos, Ada M. Pérez-Pico, Juan Piñeiro-Chousa, Aleksandar Å eviÄAbstractBitcoin is...
View ArticlePrice Dynamics of Individual Stocks: Jumps and Information
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Yuewen Xiao, Jing ZhaoAbstractThis study examines individual stocksâ price dynamics by separating...
View Articlehttps://t.co/GoSJRfB1UZ
Research: Design of High-Frequency Trading Algorithm Based on Machine Learning. (arXiv:1912.10343v1 [https://t.co/GoSJRfB1UZ]) https://t.co/KNcO3WrRUQ ââ¦
View ArticleFrom SRI to Shariah: A Bridge Not too Far
Usman Hayat, for the CFA Institute has written a provocative paper about the relationship between socially responsible investing on the one hand and Islamic finance on the other. His bottom line is...
View ArticleRelation between non-exchangeability and measures of concordance of copulas....
An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker...
View ArticleLearning the dynamics of technical trading strategies. (arXiv:1903.02228v3...
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to...
View ArticleHealthy Access for Healthy Places: A Multidimensional Food Access Measure....
When it comes to preventive healthcare, place matters. It is increasingly clear that social factors, particularly reliable access to healthy food, are as determinant to health and health equity as...
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