<![CDATA[MoneyScience: Research]]>
http://www.moneyscience.com/pg/blog-directory/research?view=rss
FinancialResearchFocushttps://feedburner.google.comhttp://www.moneyscience.com/pg/blog/arXiv/read/790695/quantum-barrogordon-game-in-monetary-economics-arxiv170805689v1-qfinecSun, 20 Aug 2017 19:40:27 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/63j0LMHf8VI/quantum-barrogordon-game-in-monetary-economics-arxiv170805689v1-qfinec
<![CDATA[Quantum Barro--Gordon Game in Monetary Economics. (arXiv:1708.05689v1 [q-fin.EC])]]>Classical game theory addresses decision problems in multi-agent environment
where one rational agent's decision affects other agents' payoffs. Game theory
has widespread application in economic, social and biological sciences. In
recent years quantum versions of classical games have been proposed and
studied. In this paper, we consider a quantum version of the classical
Barro-Gordon game which captures the problem of time inconsistency in monetary
economics. Such time inconsistency refers to the temptation of weak policy
maker to implement high inflation when the public expects low inflation. The
inconsistency arises when the public punishes the weak policy maker in the next
cycle. We first present a quantum version of the Barro-Gordon game. Next, we
show that in a particular case of the quantum game, time-consistent Nash
equilibrium could be achieved when public expects low inflation, thus resolving
the game.
]]>790695http://www.moneyscience.com/pg/blog/arXiv/read/790695/quantum-barrogordon-game-in-monetary-economics-arxiv170805689v1-qfinechttp://www.moneyscience.com/pg/blog/arXiv/read/790677/an-indifference-approach-to-the-cost-of-capital-constraints-kva-and-beyond-arxiv170805319v1-qfinrmThu, 17 Aug 2017 19:40:48 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/dt5YRqB6UY4/an-indifference-approach-to-the-cost-of-capital-constraints-kva-and-beyond-arxiv170805319v1-qfinrm
<![CDATA[An indifference approach to the cost of capital constraints: KVA and beyond. (arXiv:1708.05319v1 [q-fin.RM])]]>The strengthening of capital requirements has induced banks and traders to
consider charging a so called capital valuation adjustment (KVA) to the clients
in OTC transactions. This roughly corresponds to charge the clients ex-ante the
profit requirement that is asked to the trading desk. In the following we try
to delineate a possible way to assess the impact of capital constraints in the
valuation of a deal. We resort to an optimisation stemming from an indifference
pricing approach, and we study both the linear problem from the point of view
of the whole bank and the non-linear problem given by the viewpoint of
shareholders. We also consider the case where one optimises the median rather
than the mean statistics of the profit and loss distribution.
]]>790677http://www.moneyscience.com/pg/blog/arXiv/read/790677/an-indifference-approach-to-the-cost-of-capital-constraints-kva-and-beyond-arxiv170805319v1-qfinrmhttp://www.moneyscience.com/pg/blog/arXiv/read/790676/how-many-paths-to-simulate-correlated-brownian-motions-arxiv170805352v1-mathprThu, 17 Aug 2017 19:39:45 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/30eb0bqIVHE/how-many-paths-to-simulate-correlated-brownian-motions-arxiv170805352v1-mathpr
<![CDATA[How many paths to simulate correlated Brownian motions?. (arXiv:1708.05352v1 [math.PR])]]>We provide an explicit formula giving the optimal number of paths needed to
simulate two correlated Brownian motions.
]]>790676http://www.moneyscience.com/pg/blog/arXiv/read/790676/how-many-paths-to-simulate-correlated-brownian-motions-arxiv170805352v1-mathprhttp://www.moneyscience.com/pg/blog/arXiv/read/790658/generalizations-of-szpilrajns-theorem-in-economic-and-game-theories-arxiv170804711v1-qfinecWed, 16 Aug 2017 19:48:34 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/I_5V4YTYJaI/generalizations-of-szpilrajns-theorem-in-economic-and-game-theories-arxiv170804711v1-qfinec
<![CDATA[Generalizations of Szpilrajn's Theorem in economic and game theories. (arXiv:1708.04711v1 [q-fin.EC])]]>Szpilrajn's Lemma entails that each partial order extends to a linear order.
Dushnik and Miller use Szpilrajn's Lemma to show that each partial order has a
relizer. Since then, many authors utilize Szpilrajn's Theorem and the
Well-ordering principle to prove more general existence type theorems on
extending binary relations. Nevertheless, we are often interested not only in
the existence of extensions of a binary relation $R$ satisfying certain axioms
of orderability, but in something more: (A) The conditions of the sets of
alternatives and the properties which $R$ satisfies to be inherited when one
passes to any member of a subfamily of the family of extensions of $R$ and: (B)
The size of a family of ordering extensions of $R$, whose intersection is $R$,
to be the smallest one. The key to addressing these kinds of problems is the
szpilrajn inherited method. In this paper, we define the notion of
$\Lambda(m)$-consistency, where $m$ can reach the first infinite ordinal
$\omega$, and we give two general inherited type theorems on extending binary
relations, a Szpilrajn type and a Dushnik-Miller type theorem, which generalize
all the well known existence and inherited type extension theorems in the
literature. \keywords{Consistent binary relations, Extension theorems,
Intersection of binary relations.
]]>790658http://www.moneyscience.com/pg/blog/arXiv/read/790658/generalizations-of-szpilrajns-theorem-in-economic-and-game-theories-arxiv170804711v1-qfinechttp://www.moneyscience.com/pg/blog/arXiv/read/790657/pricing-compound-and-extendible-options-under-mixed-fractional-brownian-motion-with-jumps-arxiv170804829v1-qfinprWed, 16 Aug 2017 19:47:31 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/JkgnIeGsBE8/pricing-compound-and-extendible-options-under-mixed-fractional-brownian-motion-with-jumps-arxiv170804829v1-qfinpr
<![CDATA[Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (arXiv:1708.04829v1 [q-fin.PR])]]>This study deals with the problem of pricing compound options when the
underlying asset follows a mixed fractional Brownian motion with jumps. An
analytic formula for compound options is derived under the risk neutral
measure. Then, these results are applied to value extendible options. Moreover,
some special cases of the formula are discussed and numerical results are
provided.
]]>790657http://www.moneyscience.com/pg/blog/arXiv/read/790657/pricing-compound-and-extendible-options-under-mixed-fractional-brownian-motion-with-jumps-arxiv170804829v1-qfinprhttp://www.moneyscience.com/pg/blog/arXiv/read/790656/martingale-benamoubrenier-a-probabilistic-perspective-arxiv170804869v1-mathprWed, 16 Aug 2017 19:46:27 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/Aaeb7Y4Ll0Q/martingale-benamoubrenier-a-probabilistic-perspective-arxiv170804869v1-mathpr
<![CDATA[Martingale Benamou--Brenier: a probabilistic perspective. (arXiv:1708.04869v1 [math.PR])]]>In classical optimal transport, the contributions of Benamou-Brenier and
McCann regarding the time-dependent version of the problem are cornerstones of
the field and form the basis for a variety of applications in other
mathematical areas.
read more...

]]>790656http://www.moneyscience.com/pg/blog/arXiv/read/790656/martingale-benamoubrenier-a-probabilistic-perspective-arxiv170804869v1-mathprhttp://www.moneyscience.com/pg/blog/arXiv/read/790655/new-market-creation-via-innovation-a-study-on-tata-nano-arxiv170804952v1-qfinecWed, 16 Aug 2017 19:45:24 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/zx5RJ-LrMDg/new-market-creation-via-innovation-a-study-on-tata-nano-arxiv170804952v1-qfinec
<![CDATA[New Market Creation via Innovation: A Study on Tata Nano. (arXiv:1708.04952v1 [q-fin.EC])]]>This research paper focuses on how innovations support new market creation
emerging from latent opportunities for low-income group. It also emphasizes on
novel strategies that can be implemented for sustaining. The paper concludes
with a discussion on the implications of the study and directions to stimulate
future research on the subject.
]]>790655http://www.moneyscience.com/pg/blog/arXiv/read/790655/new-market-creation-via-innovation-a-study-on-tata-nano-arxiv170804952v1-qfinechttp://www.moneyscience.com/pg/blog/arXiv/read/790654/qbitcoin-arxiv170804955v1-qfingnWed, 16 Aug 2017 19:44:21 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/f513cUusNbA/qbitcoin-arxiv170804955v1-qfingn
<![CDATA[qBitcoin. (arXiv:1708.04955v1 [q-fin.GN])]]>A decentralized online quantum cash system, called qBitcoin, is given. We
design the system which has great benefits of quantization in the following
sense. Firstly, quantum teleportation technology is used for coin transaction,
which prevents an owner of a coin from keeping the original coin data after
sending the coin to another. This was a main problem in systems using classical
information and a blockchain was introduced to solve this issue. In qBitcoin,
the double-spending problem never happens and its security is guaranteed
theoretically by virtue of quantum information theory. Making a bock is time
consuming and the system of qBitcoin is based on a quantum chain, instead of
blocks. Therefore a payment can be completed much faster than Bitcoin. Moreover
we employ quantum digital signature so that it naturally inherits properties of
peer-to-peer (P2P) cash system as originally proposed in Bitcoin.
]]>790654http://www.moneyscience.com/pg/blog/arXiv/read/790654/qbitcoin-arxiv170804955v1-qfingnhttp://www.moneyscience.com/pg/blog/arXiv/read/790635/valuation-of-a-bermudan-db-underpin-hybrid-pension-benefit-arxiv170804281v1-qfinprTue, 15 Aug 2017 19:47:11 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/aHAy-GP9f4Q/valuation-of-a-bermudan-db-underpin-hybrid-pension-benefit-arxiv170804281v1-qfinpr
<![CDATA[Valuation of a Bermudan DB underpin hybrid pension benefit. (arXiv:1708.04281v1 [q-fin.PR])]]>In this paper we consider three types of embedded options in pension benefit
design.
read more...

]]>790635http://www.moneyscience.com/pg/blog/arXiv/read/790635/valuation-of-a-bermudan-db-underpin-hybrid-pension-benefit-arxiv170804281v1-qfinprhttp://www.moneyscience.com/pg/blog/arXiv/read/790634/optimal-placement-of-a-small-order-in-a-diffusive-limit-order-book-arxiv170804337v1-qfintrTue, 15 Aug 2017 19:46:08 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/0KAPkxPTTYA/optimal-placement-of-a-small-order-in-a-diffusive-limit-order-book-arxiv170804337v1-qfintr
<![CDATA[Optimal placement of a small order in a diffusive limit order book. (arXiv:1708.04337v1 [q-fin.TR])]]>We study the optimal placement problem of a stock trader who wishes to clear
his/her inventory by a predetermined time horizon t, by using a limit order or
a market order. For a diffusive market, we characterize the optimal limit order
placement policy and analyze its behavior under different market conditions. In
particular, we show that, in the presence of a negative drift, there exists a
critical time t0>0 such that, for any time horizon t>t0, there exists an
optimal placement, which, contrary to earlier work, is different from one that
is placed "infinitesimally" close to the best ask, such as the best bid and
second best bid. We also propose a simple method to approximate the critical
time t0 and the optimal order placement.
]]>790634http://www.moneyscience.com/pg/blog/arXiv/read/790634/optimal-placement-of-a-small-order-in-a-diffusive-limit-order-book-arxiv170804337v1-qfintrhttp://www.moneyscience.com/pg/blog/arXiv/read/790633/optimum-thresholding-using-mean-and-conditional-mean-square-error-arxiv170804339v1-qfinstTue, 15 Aug 2017 19:45:04 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/Wp1CZ5wStV0/optimum-thresholding-using-mean-and-conditional-mean-square-error-arxiv170804339v1-qfinst
<![CDATA[Optimum thresholding using mean and conditional mean square error. (arXiv:1708.04339v1 [q-fin.ST])]]>We consider a univariate semimartingale model for (the logarithm of) an asset
price, containing jumps having possibly infinite activity (IA). The
nonparametric threshold estimator of the integrated variance IV proposed in
Mancini 2009 is constructed using observations on a discrete time grid, and
precisely it sums up the squared increments of the process when they are below
a threshold, a deterministic function of the observation step and possibly of
the coefficients of X. All the threshold functions satisfying given conditions
allow asymptotically consistent estimates of IV, however the finite sample
properties of the truncated realized variation can depend on the specific
choice of the threshold. We aim here at optimally selecting the threshold by
minimizing either the estimation mean square error (MSE) or the conditional
mean square error (cMSE). The last criterion allows to reach a threshold which
is optimal not in mean but for the specific volatility (and jumps paths) at
hand. A parsimonious characterization of the optimum is established, which
turns out to be asymptotically proportional to the L\'evy's modulus of
continuity of the underlying Brownian motion. Moreover, minimizing the cMSE
enables us to propose a novel implementation scheme for approximating the
optimal threshold. Monte Carlo simulations illustrate the superior performance
of the proposed method.
]]>790633http://www.moneyscience.com/pg/blog/arXiv/read/790633/optimum-thresholding-using-mean-and-conditional-mean-square-error-arxiv170804339v1-qfinsthttp://www.moneyscience.com/pg/blog/arXiv/read/790632/dynamics-of-investor-spanning-trees-around-dotcom-bubble-arxiv170804430v1-qfinecTue, 15 Aug 2017 19:44:01 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/ea3K0IcalKM/dynamics-of-investor-spanning-trees-around-dotcom-bubble-arxiv170804430v1-qfinec
<![CDATA[Dynamics of Investor Spanning Trees Around Dot-Com Bubble. (arXiv:1708.04430v1 [q-fin.EC])]]>We identify temporal investor networks for Nokia stock by constructing
networks from correlations between investor-specific net-volumes and analyze
changes in the networks around dot-com bubble. We conduct the analysis
separately for households, non-financial institutions, and financial
institutions. Our results indicate that spanning tree measures for households
reflected the boom and crisis: the maximum spanning tree measures had clear
upward tendency in the bull markets when the bubble was building up, and, even
more importantly, the minimum spanning tree measures pre-reacted the burst of
bubble. At the same time, we find less clear reactions in minimal and maximal
spanning trees of non-financial and financial institutions around the bubble,
which suggest that household investors can have a greater herding tendency
around bubbles.
]]>790632http://www.moneyscience.com/pg/blog/arXiv/read/790632/dynamics-of-investor-spanning-trees-around-dotcom-bubble-arxiv170804430v1-qfinechttp://www.moneyscience.com/pg/blog/arXiv/read/790631/some-stylized-facts-of-the-bitcoin-market-arxiv170804532v1-qfinstTue, 15 Aug 2017 19:42:58 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/H0YLirVL0As/some-stylized-facts-of-the-bitcoin-market-arxiv170804532v1-qfinst
<![CDATA[Some stylized facts of the Bitcoin market. (arXiv:1708.04532v1 [q-fin.ST])]]>In recent years a new type of tradable assets appeared, generically known as
cryptocurrencies. Among them, the most widespread is Bitcoin. Given its
novelty, this paper investigates some statistical properties of the Bitcoin
market. This study compares Bitcoin and standard currencies dynamics and
focuses on the analysis of returns at different time scales. We test the
presence of long memory in return time series from 2011 to 2017, using
transaction data from one Bitcoin platform. We compute the Hurst exponent by
means of the Detrended Fluctuation Analysis method, using a sliding window in
order to measure long range dependence. We detect that Hurst exponents changes
significantly during the first years of existence of Bitcoin, tending to
stabilize in recent times. Additionally, multiscale analysis shows a similar
behavior of the Hurst exponent, implying a self-similar process.
]]>790631http://www.moneyscience.com/pg/blog/arXiv/read/790631/some-stylized-facts-of-the-bitcoin-market-arxiv170804532v1-qfinsthttp://www.moneyscience.com/pg/blog/arXiv/read/790620/multiscale-analysis-of-leadlag-relationships-in-highfrequency-financial-markets-arxiv170803992v1-statmeMon, 14 Aug 2017 19:53:42 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/rT-ZUxVCD9Y/multiscale-analysis-of-leadlag-relationships-in-highfrequency-financial-markets-arxiv170803992v1-statme
<![CDATA[Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (arXiv:1708.03992v1 [stat.ME])]]>We propose a novel estimation procedure for scale-by-scale lead-lag
relationships of financial assets observed at a high-frequency in a
non-synchronous manner. The proposed estimation procedure does not require any
interpolation processing of the original data and is applicable to quite fine
resolution data. The validity of the proposed estimators is shown under the
continuous-time framework developed in our previous work Hayashi and Koike
(2016). An empirical application shows promising results of the proposed
approach.
]]>790620http://www.moneyscience.com/pg/blog/arXiv/read/790620/multiscale-analysis-of-leadlag-relationships-in-highfrequency-financial-markets-arxiv170803992v1-statmehttp://www.moneyscience.com/pg/blog/arXiv/read/790619/729-new-measures-of-economic-complexity-addendum-to-improving-the-economic-complexity-index-arxiv170804107v1-qfinecMon, 14 Aug 2017 19:52:38 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/8FGVhJZiY0Q/729-new-measures-of-economic-complexity-addendum-to-improving-the-economic-complexity-index-arxiv170804107v1-qfinec
<![CDATA[729 new measures of economic complexity (Addendum to Improving the Economic Complexity Index). (arXiv:1708.04107v1 [q-fin.EC])]]>Recently we uploaded to the arxiv a paper entitled: Improving the Economic
Complexity Index. There, we compared three metrics of the knowledge intensity
of an economy, the original metric we published in 2009 (the Economic
Complexity Index or ECI), a variation of the metric proposed in 2012, and a
variation we called ECI+. It was brought to our attention that the definition
of ECI+ was equivalent to the variation of the metric proposed in 2012. We have
verified this claim, and found that while the equations are not exactly the
same, they are similar enough to be our own oversight. More importantly, we now
ask: how many variations of the original ECI work? In this paper we provide a
simple unifying framework to explore multiple variations of ECI, including both
the original 2009 ECI and the 2012 variation. We found that a large fraction of
variations have a similar predictive power, indicating that the chance of
finding a variation of ECI that works, after the seminal 2009 measure, are
surprisingly high. In fact, more than 28 percent of these variations have a
predictive power that is within 90 percent of the maximum for any variation.
These findings show that, once the idea of measuring economic complexity was
out, creating a variation with a similar predictive power (like the ones
proposed in 2012) was trivial (a 1 in 3 shot). More importantly, the result
show that using exports data to measure the knowledge intensity of an economy
is a robust phenomenon that works for multiple functional forms. Moreover, the
fact that multiple variations of the 2009 ECI perform close to the maximum,
tells us that no variation of ECI will have a performance that is substantially
better. This suggests that research efforts should focus on uncovering the
mechanisms that contribute to the diffusion and accumulation of productive
knowledge instead of on exploring small variations to existing measures.
]]>790619http://www.moneyscience.com/pg/blog/arXiv/read/790619/729-new-measures-of-economic-complexity-addendum-to-improving-the-economic-complexity-index-arxiv170804107v1-qfinechttp://www.moneyscience.com/pg/blog/arXiv/read/790618/a-general-class-of-multifractional-processes-and-its-application-to-crosslisting-stocks-arxiv170804217v1-qfinmfMon, 14 Aug 2017 19:51:35 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/Q1R02t5vNq0/a-general-class-of-multifractional-processes-and-its-application-to-crosslisting-stocks-arxiv170804217v1-qfinmf
<![CDATA[A General Class of Multifractional Processes and its Application to Cross-listing Stocks. (arXiv:1708.04217v1 [q-fin.MF])]]>We introduce a general class of multifractional stochastic processes driven
by a multifractional Brownian motion and study estimation of their pointwise
H\"older exponents (PHE) using the localized generalized quadratic variation
approach. By comparing it with the other two benchmark estimation approaches
through a simulation study, we show that our estimator has better performance
in the case where the observed process is some unknown bivariate function of
time and multifractional Brownian motion. The time-varying PHE feature allows
us to apply such class of multifractional processes to model stock prices under
various market conditions. An empirical study on modeling cross-listed stocks
provides new evidence that equity's path roughness varies via time and price
informativeness properties from global markets.
]]>790618http://www.moneyscience.com/pg/blog/arXiv/read/790618/a-general-class-of-multifractional-processes-and-its-application-to-crosslisting-stocks-arxiv170804217v1-qfinmfhttp://www.moneyscience.com/pg/blog/arXiv/read/790595/technology-networks-the-autocatalytic-origins-of-innovation-arxiv170803511v1-qfinecSun, 13 Aug 2017 19:43:28 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/06B9jSDmuKk/technology-networks-the-autocatalytic-origins-of-innovation-arxiv170803511v1-qfinec
<![CDATA[Technology networks: the autocatalytic origins of innovation. (arXiv:1708.03511v1 [q-fin.EC])]]>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 Patents Classification, and we
study if autocatalytic structures in the network foster innovation as measured
by the rate of production of patents. The network is identified through
patenting activity of geographical regions in different technology fields.
Through our analysis we show how the technological landscape of the patents
database evolves as a self-organising autocatalytic structure that grows in
size, and arrives to cover the most part of the technology network. Technology
classes in the core of the autocatalytic structure perform better in terms of
their innovativeness, as measured by the rate of growth of the number of
patents. Finally, the links between classes that define the autocatalytic
structure of the technology network break the hierarchical structure of the
database, and indicate that recombinant innovation and its autocatalytic
patterns are an important stylised fact of technological change.
]]>790595http://www.moneyscience.com/pg/blog/arXiv/read/790595/technology-networks-the-autocatalytic-origins-of-innovation-arxiv170803511v1-qfinechttp://www.moneyscience.com/pg/blog/arXiv/read/790594/oil-economy-phase-plot-a-physical-analogy-arxiv170803533v1-qfingnSun, 13 Aug 2017 19:42:25 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/7tkizx8uDz0/oil-economy-phase-plot-a-physical-analogy-arxiv170803533v1-qfingn
<![CDATA[Oil 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 convection is proposed; some
methods of interpretation and forecast of the system behavior are also shown
based on "phase portrait" using as main variables the price, production and
EROEI values. A scenery is proposed on this basis.
]]>790594http://www.moneyscience.com/pg/blog/arXiv/read/790594/oil-economy-phase-plot-a-physical-analogy-arxiv170803533v1-qfingnhttp://www.moneyscience.com/pg/blog/arXiv/read/790593/on-the-overestimation-of-the-largest-eigenvalue-of-a-covariance-matrix-arxiv170803551v1-mathprSun, 13 Aug 2017 19:41:22 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/pjB9t6RUHvE/on-the-overestimation-of-the-largest-eigenvalue-of-a-covariance-matrix-arxiv170803551v1-mathpr
<![CDATA[On the overestimation of the largest eigenvalue of a covariance matrix. (arXiv:1708.03551v1 [math.PR])]]>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 when the dimension is infinite.
We prove a similar result for the smallest eigenvalue.
]]>790593http://www.moneyscience.com/pg/blog/arXiv/read/790593/on-the-overestimation-of-the-largest-eigenvalue-of-a-covariance-matrix-arxiv170803551v1-mathprhttp://www.moneyscience.com/pg/blog/arXiv/read/790558/decoding-stock-market-with-quant-alphas-arxiv170802984v1-qfinpmThu, 10 Aug 2017 19:43:59 -0500
http://feedproxy.google.com/~r/FinancialResearchFocus/~3/JEasKvuKBl0/decoding-stock-market-with-quant-alphas-arxiv170802984v1-qfinpm
<![CDATA[Decoding 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 combos". Simply put, we have
developed a new method for trading alphas which does not involve combining
them. This yields substantial cost savings as alpha combos cost hedge funds
around 3% of the P&L, while alphas themselves cost around 10%. Also, the extra
layer of alpha combos, which our new method avoids, adds noise and
suboptimality. We also arrive at our algorithm independently by explicitly
constructing alpha risk models based on position data.
]]>790558http://www.moneyscience.com/pg/blog/arXiv/read/790558/decoding-stock-market-with-quant-alphas-arxiv170802984v1-qfinpm