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Regime Change and Value: A Follow up Post on Aramco
In my post from a couple of days ago, I valued Aramco at about $1.65 trillion, but I qualified that valuation by noting that this was the value before adjusting for regime change concerns. That comment...
View ArticleAlternative Investments: Investing By Numbers
Whatâs in the future for alternative investments asset management? A new publication from Ernst & Young, London, contends that allocations to alternative investments and are ârobust,â but...
View ArticleL'evy-Ito Models in Finance. (arXiv:1907.08499v2 [q-fin.MF] UPDATED)
We propose a class of financial models in which the prices of assets are L'evy-Ito processes driven by Brownian motion and a dynamic Poisson random measure. Each such model consists of a pricing...
View ArticleMerton's portfolio problem under Volterra Heston model. (arXiv:1905.05371v2...
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale structure. By considering...
View ArticleArtificial intelligence approach to momentum risk-taking. (arXiv:1911.08448v1...
We propose a mathematical model of momentum risk-taking, which is real-time risk management, and discuss its implementation: an automated momentum equity trading system. Risk-taking is one of the key...
View ArticleInfinitesimal generators for two-dimensional L'evy process-driven hypothesis...
In this paper, we present the testing of four hypotheses on two streams of observations that are driven by L'evy processes. This is applicable for sequential decision making on the state of two-sensor...
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How to turn trust into a competitive advantage
Business is facing an existential trust crisis, a recent article found. Companies from Boeing to Facebook are losing the publicâs faith by paying insufficient attention to trust as an important...
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What is Actually Machine Learning?
A simple, intuitive guide to artificial intelligenceContinue reading on Cantorâs Paradise »
View ArticleA regularity structure for rough volatility
Abstract A new paradigm has emerged recently in financial modeling: rough (stochastic) volatility. First observed by Gatheral et al. in highâfrequency data, subsequently derived within market...
View ArticleRenewable Energy and Regional Value: Identifying Value Added of Public Power...
Publication date: Available online 19 November 2019Source: Finance Research LettersAuthor(s): Aki SuwaAbstractRenewable energy has been increasing its share and importance in the contexts of national...
View ArticleSEC Announces Conference on Macroeconomic and Structural Trends and Dynamics...
The Securities and Exchange Commission today announced that it will host a conference on Dec. 4 entitled âThe State of Our Securities Markets.â The conference will bring together current and...
View ArticleMarcos Lopez de Prado on the Democratization of Alpha
Some thoughts on the future role of financial economists, financial data scientists, ML tournaments, and the democratization of alpha:â¦
View ArticleMoneyScience: Financial Software on GPUs: Between Haskell and Fortran (pdf,...
Resource: Financial Software on GPUs: Between Haskell and Fortran (pdf, 2012) https://t.co/iomDMgfSM3 â moneyscience (@moneyscience) November 19, 2019
View ArticleMoneyScience: A Self-Study Plan for Becoming a Quantitative Developer
Resource: A Self-Study Plan for Becoming a Quantitative Developer https://t.co/YRDpS0z6TU â moneyscience (@moneyscience) November 20, 2019
View ArticleA simulation of the insurance industry: The problem of risk model...
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance...
View ArticleTowards more effective consumer steering via network analysis....
Increased data gathering capacity, together with the spread of data analytics techniques, has prompted an unprecedented concentration of information related to the individuals' preferences in the hands...
View ArticleDynamics of Value-Tracking in Financial Markets. (arXiv:1903.09898v2...
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient...
View ArticleCombining Outcome-Based and Preference-Based Matching: The g-Constrained...
We introduce a constrained priority mechanism that combines outcome-based matching from machine-learning with preference-based allocation schemes common in market design. Using real-world data, we...
View ArticleCompetition of noise and collectivity in global cryptocurrency trading: route...
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied....
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