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The Reformed Broker wrote a new blog post titled Clips From Today’s Halftime Report
MoffettNathanson reiterate ‘sell’ rating, Snap, Twitter from CNBC. Wells Fargo, Twitter, Waste Connections, GM and Mosaic from CNBC. Pandora, Wayfair, Roku, and an energy stock that’s soaring on earnings from CNBC....
46 minutes ago
The Reformed Broker wrote a new blog post titled Defeating Nonsense with Evidence
Communicating this stuff effectively makes for better client relationships and superior outcomes. ...
48 minutes ago
Quantitative Finance at arXiv wrote a new blog post titled A Unified Modeling Framework for Life and Non-Life Insurance. (arXiv:1802.07741v1 [q-fin.MF])
In this paper we propose for the first time a unified framework suitable for modeling both life and non-life insurance market, with nontrivial dependence with the financial market. We introduce a direct modeling approach, which generalizes the reduced-form framework for credit risk and life insurance. We apply these results for pricing insurance products in hybrid markets by taking into account the role of inflation under the benchmark approach. This framework offers at the same time a general and flexible structure, as well as explicit and treatable pricing formula.
50 minutes ago
Quantitative Finance at arXiv wrote a new blog post titled Optimal inventory management and order book modeling. (arXiv:1802.08135v1 [q-fin.TR])
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order book, similar to the one considered in the Queue-Reactive models [14, 20, 21], the MM and the HFT define their trading strategy by optimizing the expected utility of terminal wealth, while the IB has a prescheduled task to sell or buy many shares of the considered asset. We derive the variational partial differential equations that characterize...
51 minutes ago
Quantitative Finance at arXiv wrote a new blog post titled What are the most important factors that influence the changes in London Real Estate Prices? How to quantify them?. (arXiv:1802.08238v1 [stat.AP])
In recent years, real estate industry has captured government and public attention around the world. The factors influencing the prices of real estate are diversified and complex. However, due to the limitations and one-sidedness of their respective views, they did not provide enough theoretical basis for the fluctuation of house price and its influential factors. The purpose of this paper is to build a housing price model to make the scientific and objective analysis of London's real estate market trends from the year 1996 to 2016 and proposes some countermeasures to reasonably control house...
52 minutes ago
Complexity Digest wrote a new blog post titled Complexity72h
The workshop Complexity72h is an interdisciplinary event whose aim is to bring together young researchers from different fields of complex systems.Inspired by the 72h Hours of Science, participants will form working groups aimed at carrying out a project in a three-day time, i.e. 72 hours. Each group’s goal is to upload on the arXiv a report of their work by the end of the event.A team of tutors will propose the projects, and assist and guide each group in developing their project.Alongside teamwork, participants will attend lectures from scientists coming from different fields of...
an hour ago
Complexity Digest wrote a new blog post titled Mixing and diffusion in a two-type population
The outbreak of epidemics, the rise of religious radicalization or the motivational influence of fellow students in classrooms are some of the issues that can be described as diffusion processes in heterogeneous groups. Understanding the role that interaction patterns between groups (e.g. homophily or segregation) play in the diffusion of certain traits or behaviours is a major challenge for contemporary societies. Here, we study the impact on diffusion processes of mixing (or, alternatively, segregating) two groups that present different sensitivities or propensities to contagion. We find...
an hour ago
All About Alpha wrote a new blog post titled DB: Investors Newly Optimistic About Hedge Funds
Deustche Bank recently released its Alternative Investment Survey, the 16th annual.  This year the questionnaires received replies from 436 global hedge fund investors, with assets under management of $2.1 trillion, who shared their insights, sentiments, and allocation plans.  Glenn Bunn, co-head of Prime Finance at DB, said in a statementRead More
2 hours ago
The Reformed Broker wrote a new blog post titled Side with the Seeds
I was struck last night by how articulate and ballsy the high school kids from Parkland, Florida were at CNN’s Town Hall about gun reform. They had the proper mix of respect for their elders, disgust at the lack of action on the part of elected officials, and passion about their own safety and circumstances.......
11 hours ago
Complexity Digest wrote a new blog post titled Rank dynamics of word usage at multiple scales
The recent dramatic increase in online data availability has allowed researchers to explore human culture with unprecedented detail, such as the growth and diversification of language. In particular, it provides statistical tools to explore whether word use is similar across languages, and if so, whether these generic features appear at different scales of language structure. Here we use the Google Books N-grams dataset to analyze the temporal evolution of word usage in several languages. We apply measures proposed recently to study rank dynamics, such as the diversity of N-grams in a given...
11 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Why are Megaprojects, Including Nuclear Power Plants, Delivered Overbudget and Late? Reasons and Remedies. (arXiv:1802.07312v1 [physics.soc-ph])
In the first section, this report analyses Nuclear Power Plants (NPPs) in the context of megaprojects, explaining why they are often delivered over budget and late. In the second section, the report discusses how Small Modular Reactors (SMRs) might address these issues. Megaprojects are extremely risky and often implemented after a sub-optimal phase of project planning leading to underestimations of the costs and overestimation of short-term benefits. When considering adherence to schedule and budget, often megaprojects might be considered a failure, and optimism bias, strategic...
Quantitative Finance at arXiv wrote a new blog post titled Extracting the multi-timescale activity patterns of online financial markets. (arXiv:1802.07405v1 [q-fin.TR])
Online financial markets can be represented as complex systems where trading dynamics can be captured and characterized at different resolutions and time scales. In this work, we develop a methodology based on non-negative tensor factorization (NTF) aimed at extracting and revealing the multi-timescale trading dynamics governing online financial systems. We demonstrate the advantage of our strategy first using synthetic data, and then on real-world data capturing all interbank transactions (over a million) occurred in an Italian online financial market (e-MID) between 2001 and 2015. Our...
Quantitative Finance at arXiv wrote a new blog post titled Blockchain: Data Malls, Coin Economies and Keyless Payments. (arXiv:1802.07422v1 [q-fin.GN])
We discuss several uses of blockchain (and, more generally, distributed ledger) technologies outside of cryptocurrencies with a pragmatic view. We mostly focus on three areas: the role of coin economies for what we refer to as data malls (specialized data marketplaces); data provenance (a historical record of data and its origins); and what we term keyless payments (made without having to know other users' cryptographic keys). We also discuss voting and other areas, and give a sizable list of academic and nonacademic references.
Quantitative Finance at arXiv wrote a new blog post titled The Security of the United Kingdom Electricity Imports under Conditions of High European Demand. (arXiv:1802.07457v1 [econ.EM])
Energy policy in Europe has been driven by the three goals of security of supply, economic competitiveness and environmental sustainability, referred to as the energy trilemma. Although there are clear conflicts within the trilemma, member countries have acted to facilitate a fully integrated European electricity market. Interconnection and cross-border electricity trade has been a fundamental part of such market liberalisation. However, it has been suggested that consumers are exposed to a higher price volatility as a consequence of interconnection. Furthermore, during times of energy...
The Reformed Broker wrote a new blog post titled Discipline Equals Freedom
As part of my first quarter curriculum, I wanted to tackle the Jocko Willink book that people have been telling me about since it came out. When I asked you guys for suggestions late last year for business books, more than one person threw this title out, so it had to happen. I’m really glad......
All About Alpha wrote a new blog post titled What Family Offices Want From Alternative Investment Managers
By Diane Harrison Competition within the alternatives sector for family office investments is at an all-time high, as these investors get more comfortable with the range of assets available to them and their general understanding of alternatives rises. Fund managers want to win these wealthy investors over, but often findRead More
Complexity Digest wrote a new blog post titled Link transmission centrality in large-scale social networks
Understanding the importance of links in transmitting information in a network can provide ways to hinder or postpone ongoing dynamical phenomena like the spreading of epidemic or the diffusion of information. In this work, we propose a new measure based on stochastic diffusion processes, the transmission centrality, that captures the importance of links by estimating the average number of nodes to whom they transfer information during a global spreading diffusion process. We propose a simple algorithmic solution to compute transmission centrality and to approximate it in very large networks...
All About Alpha wrote a new blog post titled What about beta?
By Bill Kelly, CAIA Association CEO As the 2018 calendar turned to February, the long-anticipated volatility came back with a vengeance, but why were so many, so surprised.  As long-term investors, I point out what might be the obvious.  The first fissures of this new normal arrived on Friday Feb 2Read More
The Reformed Broker wrote a new blog post titled Get Your Ideas Ready for @SohnConf 2018
Legendary investors Bill Ackman, David Einhorn, Joel Greenblatt, Seth Klarman and Larry Robbins select the winner...