Remember me

Register  |   Lost password?










All site blogs

Published / Preprint: Two kinds of Phase transitions in a Voting model

March 18, 2012 by MoneyScience   Comments (0)

In this paper, we discuss a voting model with two candidates, C_1 and C_2. We 731 consider two types of voters--herders and independents. The voting of independents is based on their fundamental values; on the other hand, the voting of herders is based on the number of previous votes. We can identify two kinds of phase transitions. One is information cascade transition similar to a phase transition seen in Ising model. The other is a transition of super and normal diffusions. These phase...

, , , , ,

Blog Post: Falkenblog: Derman Rambles on Risk

March 18, 2012 by MoneyScience   Comments (0)

I generally find Emmanuel Derman to be a very thoughtful, but this interview with Russ Roberts made little sense. They were talking about Derman's latest book Models Behaving Badly, and they had these little riffs on financial theory:Derman: But I think Black-Scholes is much better than CAPM. Although it is based on the same idea. Because different stocks really have such different risk characteristics that the assumptions of geometric Brownian motion and the assumptions in CAPM don't hold...

, , , , , , , , ,

Blog Post: AllAboutAlpha: Axioma to Quants: Beware of Cherry Picking by Optimizers

March 18, 2012 by MoneyScience   Comments (0)

Reliance on optimization tools that in turn rely on standard “user risk factors” will make factor alignment worse, caution three executives of Axioma. An optimizer will cherry pick “the aspects of the model of expected returns that it deems desirable when gauged on the yardstick of marginal contribution to systemic risk.” This amounts to making, and betting on, the erroneous assumption that a lack of correlation with the used risk factors is a lack of systemic risk altogether.

, , , , , , , ,

Published / Preprint: Regularity of the Optimal Stopping Problem for Jump Diffusions. (arXiv:0902.2479v6 [math.OC] UPDATED)

March 18, 2012 by MoneyScience   Comments (0)

The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the singularity of the L\'{e}vy measure, this paper shows that the value function of this optimal stopping problem on an unbounded domain with finite/infinite variation jumps is in $W^{2,1}_{p, loc}$ with $p\in(1, \infty)$. As a consequence, the...

, , , , ,

Blog Post: MoneyManagersLive: The First Break?

March 18, 2012 by MoneyScience   Comments (0)

Is this the first move in the long awaited end to the bond bull market or just a short-term blip? Treasury yields shot up yesterday after comments by the Federal Reserve seemed to indicate that since the economy is picking up there would not be a need for another round of bond purchases. Interest rates have been pushed to historic lows due to slow economic growth, central bank purchases, flight to safety moves (i.e., European credit fears), and general investor aversion to equities. Due to...

, , , , , , , ,

Blog Post: mathfinance: Yield Curve Prediction Week in Review 150312

March 18, 2012 by MoneyScience   Comments (0)

Consistent Long-Term Yield Curve Prediction: an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable, allowing us to separate clearly the tasks of estimating the volatility structure and of calibrating market prices of risk.An Introduction to 6 Machine Learning Models: a high level summary of underlying algorithmic approach.Backstage Wall Street: An Insider’s Guide to Knowing Who to Trust, Who to Run From, and How to...

, , , , , ,

Blog Post: substructural: Garbage Collection in JavaScript

March 18, 2012 by MoneyScience   Comments (0)

A recent post on Scirra claimed that reusing long-lived objects was an ingredient to good JavaScript garbage collection behavior. That made me curious. This claim is generally true when the garbage collector in question is a generational one. Generational garbage collectors split the heap (memory from where all non-stack allocated things are allocated from) into several "generations". The "generational assumption" is that short-lived objects tend to be collected more frequently than long-lived...

, , , , , , , , ,