MoneyScience: MoneyScience's post: Cliff Asness Selected as the Recipient of...
Cliff Asness Selected as the Recipient of the 2019 IAQF/Northfield Financial Engineer of the Year Award https://t.co/WX6bNcinGW - @CliffordAsness ââ¦
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This Year in Review (2019)
Hello readers of CP!December 16th marked the six month anniversary of the launch of Cantorâs Paradise on Medium. Since then, weâve published a total of 67 stories from 15 talented writers,...
View ArticleDo 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...
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...
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