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Are these really âbad actorsâ or just smart people taking advantage of bad system design? Me thinks the latter https://t.co/hbmirEU1dA â Rob "Crypto Bobby"â¦
View ArticleScotiabank gears up for the quantum computing age
As the quantum computing revolution gathers pace, Scotiabank in Canada has begun to explore the migration to encryption methods that can keep out the hackers ofâ¦
View ArticleScalable Machine Learning, Scalable Python, For Everyone
The Data Exchange Podcast: Dean Wampler on Ray, distributed systems, and Scala and Python.Subscribe: iTunes, Android, Spotify, Stitcher, Google, and RSS.For more on Ray and scalable machine learning...
View ArticleExchange-traded funds: why you need to ‘know what you own’
Do exchange-traded funds (ETFs) pose systemic risk? Or are such concerns exaggerated? https://t.co/6cdinxacMY â Risk Management (@Risk_Mgmt) February 19, 2020
View ArticleAlpha Comes in Waves
The brief history of replication funds may already be divided into three waves, the third of which is still in formation. The first wave was about democratization: putting hedge fund strategies in the...
View ArticleAlgorithmic trading in a microstructural limit order book model....
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and...
View ArticleForecasting Realized Volatility Matrix With Copula-Based Models....
Multivariate volatility modeling and forecasting are crucial in financial economics. This paper develops a copula-based approach to model and forecast realized volatility matrices. The proposed...
View ArticleCournot-Nash equilibrium and optimal transport in a dynamic setting....
We consider a large population dynamic game in discrete time. The peculiarity of the game is that players are characterized by time-evolving types, and so reasonably their actions should not anticipate...
View ArticleDerivatives Discounting Explained. (arXiv:2002.08532v1 [q-fin.PR])
Derivative pricing is about cash flow discounting at the riskfree rate. This teaching has lost its meaning post the financial crisis, due to the addition of extra value adjustments (XVA), which also...
View ArticleThe Fair Basis: Funding and capital in the reduced form framework....
A negative basis trade enters a long bond position and buys protection on the issuer of the bond through credit default swap (CDS), aiming at arbitrage profit due to the bond-CDS basis. To classic...
View ArticleEqual risk option pricing with deep reinforcement learning....
This article presents a deep reinforcement learning approach to price and hedge financial derivatives. This approach extends the work of Guo and Zhu (2017) who recently introduced the equal risk...
View ArticleCriptocurrencies, Fiat Money, Blockchains and Databases. (arXiv:2002.08466v1...
Two taxonomies of money that include cryptocurrencies are analyzed. A definition of the term cryptocurrency is given and a taxonomy of them is presented, based on how its price is fixed. The...
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How to negotiate more effectively: six useful tips
Negotiation is as critical a business skill today as it has ever been. And itâs something that none of us can avoid. Whether itâs determining the terms of a new deal, overcoming conflict with...
View ArticleHierarchical Risk Parity
Various risk parity methodologies are a popular choice for the construction of better diversified and balanced portfolios. It is notoriously hard to predict the future performance of the majority of...
View ArticleRegime switching affine processes with applications to finance
Abstract We introduce the notion of a regime switching affine process. Informally this is a Markov process that behaves conditionally on each regime as an affine process with specific parameters. To...
View ArticleOption Profit and Loss Attribution and Pricing: A New Framework
ABSTRACT This paper develops a new topâdown valuation framework that links the pricing of an option investment to its daily profit and loss attribution. The framework uses the...
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