Index Tracking with Cardinality Constraints: A Stochastic Neural Networks...
Partial (replication) index tracking is a popular passive investment strategy. It aims to replicate the performance of a given index by constructing a tracking portfolio which contains some...
View ArticleAnalytical solution of $k$th price auction. (arXiv:1911.04865v1 [econ.TH])
We provide an exact analytical solution of the Nash equilibrium for the $k$th price auction by using inverse of distribution functions. As applications, we identify the unique symmetric equilibrium...
View ArticleDeviations from Zipf's law contain more information than Zipf's law itself....
Rank size plots of very different systems are usually fitted with Zipf's law, however, one often observes strong deviations at large sizes. We show that these deviations contain essential and general...
View ArticleMaking Good on LSTMs Unfulfilled Promise. (arXiv:1911.04489v1 [cs.LG])
LSTMs promise much to financial time-series analysis, temporal and cross-sectional inference, but we find they do not deliver in a real-world financial management task. We examine an alternative called...
View ArticleBrownian Bridge Over Quasi and Pseudo Random Numbers
Typical Monte Carlo (MC) simulation in finance starts with the generation of dâdimensional vectors of independent uniform [0,1] random numbers. Quasi random numbers (i.e. Sobol sequence) have a...
View ArticleAn Introduction to Securitization Swaps
Despite a combined market value of trillions of dollars, Securitization Swaps have long been neglected in both the practitioner and academic literature. Securitisation Swaps: A Practitioner's Handbook...
View ArticleThe Pick 6 and the Rainbow Pick 6
Prepare to handicap the handicappers if you're set on the six.
View ArticleComputation Graphs for AAD and Machine Learning Part I: Introduction to...
First in a series of three articles with code, exploring the notion of computation graph, with words mathematics and code, and application in Machine Learning and finance to compute a vast number of...
View ArticleLIBOR: Don't Fallback, Step Forward
Marc Henrard examines why the LIBOR fallback proposals are not satisfactory â explaining why the main proposal is not achievable in practice and a fundamental revision of the fallback's foundations...
View ArticleThe Emergence of a New Engineering Discipline
The next industrial revolution will require the emergence of a brand new engineering discipline, one that will be dataâdriven, computationally intensive, biologyâinspired, and humanâcentric.
View ArticleShedding Light on Common Misconceptions
Payoff, P&L and financial exchange rate diagrams, the risk of short options, and a long call option with a negative time value.
View ArticleCan We Solve Global Warming with a Little Linear Logic and a Handshake?
Spoiler: I don't know he answer but some upcoming experiments in cryptocurrency may point the was toward an answer.
View ArticleThe Value of Trading Volume in FX: A Trader's Advantage?
Not long ago, decentralization of the FX market hindered real time access to global trade volumes. Things have changedâ¦
View ArticleCars
In case we needed reminding that electricity is going to be the preferred option for powering our cars in the not too distance future, Lotus propels itself into new territory with its first hyper car.
View ArticleThe Age of Miracles Has Not Passed
Our feeling, unfortunately, is that Marc's article will be far from useless.
View ArticleThe skewed world of Jan Darasz
Wilmott, Volume 2019, Issue 104, Page 96-96, November 2019.
View ArticleClik here to view.
Henri’s Adventures in Phase Space
An Intuitive Approach to Topics in Dynamical SystemsContinue reading on Cantorâs Paradise »
View ArticleMarie-Louise Huth Named Chief Counsel in Division of Economic and Risk Analysis
The Securities and Exchange Commission today named Marie-Louise (Malou) Huth as Chief Counsel for the Division of Economic and Risk Analysis (DERA).  Ms. Huth will lead DERAâs Office of the Chief...
View Article