Conditional-Mean Hedging Under Transaction Costs in Gaussian Models....
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed...
View ArticleSure profits via flash strategies and the impossibility of predictable jumps....
In an arbitrage-free financial market, asset prices should not exhibit jumps of a predictable magnitude at predictable times. We provide a rigorous formulation of this result in a fully general...
View ArticleDecoding Stock Market with Quant Alphas. (arXiv:1708.02984v1 [q-fin.PM])
We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into "alpha...
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The Quant Fund Robot Takeover Has Been Postponed
The #quant fund robot takeover has been postponed https://t.co/RYakqC6OnZ â moneyscience (@moneyscience) August 10, 2017
View ArticleWhy AI and machine learning researchers are beginning to embrace PyTorch -...
Blog Partner: Why AI and machine learning researchers are beginning to embrace PyTorch https://t.co/dx1FyZHY1b â Financial Technology (@fin_tech) August 3,â¦
View ArticleHacking a computer using DNA is now a reality, researchers claim
Researchers say they have successfully hacked into a computer using custom strands of DNA. https://t.co/GuvAienZDZ â Financial Technology (@fin_tech) Augustâ¦
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A Tesla 2017 Update: A Disruptive Force with a Debt Problem!
These are certainly exciting times for Tesla. The first production version of the Tesla 3 was unveiled on July 28, with few surprises on the details and plenty of good reviews. Elon Musk was his usual...
View ArticleOn the overestimation of the largest eigenvalue of a covariance matrix....
In this paper, we use a new approach to prove that the largest eigenvalue of the sample covariance matrix of a normally distributed vector is bigger than the true largest eigenvalue with probability 1...
View ArticleOil economy phase plot: a physical analogy. (arXiv:1708.03533v1 [q-fin.GN])
A phase plot of the oil economy is built using the literature data of world oil production, price, and EROEI (Energy Returned on Energy Invested). An analogy between the oil economy and the Benard...
View ArticleTechnology networks: the autocatalytic origins of innovation....
We search an autocatalytic structure in networks of technological fields and evaluate its significance for technological change. To this aim we define a technology network based on the International...
View ArticleSimulating Business Cash Flow Taxation: An Illustration Based on the...
The U.S., according to some measures, has one of the highest marginal effective corporate tax rates (METRs) of any developed country. Yet the tax collects less than 2 percent of GDP. This paper studies...
View ArticleOn the Dynamics of Community Development -- by Levon Barseghyan, Stephen Coate
This paper presents a dynamic political economy model of community development. In each period, a community invests in a local public good. The community can grow, with new housing supplied by...
View ArticleOpportunities and Challenges: Lessons from Analyzing Terabytes of Scanner...
This paper seeks to better understand what makes big data analysis different, what we can and cannot do with existing econometric tools, and what issues need to be dealt with in order to work with the...
View ArticleSale of Once Hot High-Frequency Trading Firm Reflects Industry Troubles
How the long period of low volatility is forcing out weaker players in the #HFT space https://t.co/ftFkrpCv6M â moneyscience (@moneyscience) August 18, 2017
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