The quantum revolution is getting closer: Intel is manufacturing 17-qubit chips
âWeâre [moving] quantum computing from the academic space to the semiconductor spaceâ - @intel https://t.co/8FEybcFwMj â Financial Technology (@fin_tech)â¦
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Telling the Hard Truth at Work
Wall Street Journal, October 11, 2017Sue Shellenbarger of the Wall Street Journal interviewed me during her research for today's column titled, "The Best Ways to Tell the Hard Truth at Work." She...
View ArticleTestimony of J. Christopher Giancarlo Chairman U.S. Commodity Futures Trading...
Testimony of J. Christopher Giancarlo Chairman U.S. Commodity Futures Trading Commission before the House Committee on Agriculture
View ArticleCommissioner Behnam Statement on De Minimus Threshold
Commodity Futures Trading Commission (CFTC) Commissioner Rostin Behnam released the a statement in response to CFTC Chairman Giancarloâs announcement on the de minimus threshold.
View ArticleCommissioner Quintenz Statement on De Minimus Threshold
Commodity Futures Trading Commission (CFTC) Commissioner Brian Quintenz released a statement in response to CFTC Chairman Giancarloâs announcement on the de minimus threshold.
View ArticleCFTC Charges California Resident Scott Allensworth, His Company E-Slate,...
The Commodity Futures Trading Commission (CFTC) announced the filing of a Complaint on October 2, 2017, in the U.S. District Court for the Central District of California. The CFTC Complaint, filed...
View ArticleA buffer Hawkes process for limit order books. (arXiv:1710.03506v1 [math.PR]...
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model...
View ArticleHigh Frequency Market Making with Machine Learning. (arXiv:1710.03870v1...
High frequency trading has been characterized as an arms race with 'Red Queen' characteristics [Farmer,2012]. It is improbable, even impossible, that many market participants can sustain a competitive...
View ArticleSchool District Reform in Newark: Within- and Between-School Changes in...
In 2011-12, Newark launched a set of educational reforms supported by a gift from Facebook CEO Mark Zuckerberg and Priscilla Chan. Using data from 2009 through 2016, we evaluate the change in Newark...
View ArticleDoes Capital Scarcity Matter? -- by Anusha Chari, Peter Blair Henry, Racha...
This paper quantifies the welfare impact of a permanent increase in the level of per capita income brought about by a temporary increase in the growth rate of GDP per capita following capital account...
View ArticleReported Preference vs. Revealed Preference: Evidence from the Propensity to...
We evaluate the consistency of two methods for estimating the effect of an economic policy: i) surveying people to report the change in their behavior caused by the policy, ii) inferring this change...
View ArticleBlind Spots that Derail Careers
Fast Company's Stephanie Vozza writes this week about the need for accurate self-assessment. She argues that being blind about our weaknesses can derail our careers. She cites a new book by Kellogg...
View ArticleDo We Need Economic Inequality?
Although economic inequality provokes widespread disquiet, its supposed necessity is rarely questioned. At best, a basic level of inequality is seen as a necessary evil. At worst, it is seen as...
View ArticleDo We Need Economic Inequality?
Although economic inequality provokes widespread disquiet, its supposed necessity is rarely questioned. At best, a basic level of inequality is seen as a necessary evil. At worst, it is seen as...
View ArticleCFTC Announces Clearinghouse Liquidity Stress Test Results
Staff of the U.S. Commodity Futures Trading Commission (CFTC) today issued a report detailing the results of an evaluation of settlement liquidity at clearinghouses.
View ArticleWeekly Top 5 Papers â October 16th, 2017
1. The Rise of Behavioral Economics: Richard Thaler’s ‘Misbehaving’ by Cass R. Sunstein ( Harvard Law School)read more...
View ArticleGeometric Learning and Filtering in Finance. (arXiv:1710.05829v1 [q-fin.MF])
We develop a method for incorporating relevant non-Euclidean geometric information into a broad range of classical filtering and statistical or machine learning algorithms. We apply these techniques to...
View ArticleEfficient hedging in Bates model using high-order compact finite differences....
We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to standard finite...
View ArticleRobust Maximum Likelihood Estimation of Sparse Vector Error Correction Model....
In econometrics and finance, the vector error correction model (VECM) is an important time series model for cointegration analysis, which is used to estimate the long-run equilibrium variable...
View ArticleSequential Design and Spatial Modeling for Portfolio Tail Risk Measurement....
We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate...
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