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- Published / Preprint: Asymptotic Glosten Milgrom equilibrium. (arXiv:1310.4994v1 [q-fin.TR])
- Published / Preprint: Mirror and Synchronous Couplings of Geometric Brownian Motions. (arXiv:1304.1999v2 [math.PR] CROSS LISTED)
- Blog Post: ThePracticalQuant: Deep Learning oral traditions
- Blog Post: TheFinancialServicesClub: The Finanser's Week: 14th October - 20th October 2013
- Blog Post: TheAlephBlog: On Negative Book Reviews
- Blog Post: PatrickBurns: US market portrait 2013 week 42
| Published / Preprint: Asymptotic Glosten Milgrom equilibrium. (arXiv:1310.4994v1 [q-fin.TR]) Posted: 20 Oct 2013 05:37 PM PDT This paper studies the Glosten Milgrom model whose risky asset value admits an arbitrary discrete distribution. Contrast to existing results on insider's models, the insider's optimal strategy in this model, if exists, is not of feedback type. Therefore a weak formulation of equilibrium is proposed. In this weak formulation, the inconspicuous trade theorem still holds, but the optimality for the... Visit MoneyScience for the Complete Article.      |
| Posted: 20 Oct 2013 05:37 PM PDT The paper studies the question of whether the classical mirror and synchronous couplings of two Brownian motions minimise and maximise, respectively, the coupling time of the corresponding geometric Brownian motions. We establish a characterisation of the optimality of the two couplings over any finite time horizon and show that, unlike in the case of Brownian motion, the optimality fails in... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Deep Learning oral traditions Posted: 20 Oct 2013 10:38 AM PDT [A version of this post appears on the O'Reilly Strata blog.]This past week I had the good fortune of attending two great talks1 on Deep Learning, given by Googlers Ilya Sutskever and Jeff Dean. Much of the excitement surrounding Deep Learning stems from impressive results in a variety of perception tasks, including speech recognition (Google voice search) and visual object recognition (G+ image... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The Finanser's Week: 14th October - 20th October 2013 Posted: 20 Oct 2013 02:09 AM PDT Our biggest stories of the past week are ... read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Negative Book Reviews Posted: 19 Oct 2013 10:50 PM PDT Occasionally, I write negative book reviews. I am not always right, but sometimes I locate books that are not up to par, or are downright mistaken. I try to back up my findings with facts, but there is still a problem. If I publish the negative review at Amazon, it is in the interests of the author and publisher to recruit people to vote my review down. My Amazon reviewer rank isn’t... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2013 week 42 Posted: 19 Oct 2013 03:56 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article.    |
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