MoneyScience News |
- Published / Preprint: A Market Model for VIX Futures. (arXiv:1504.00428v1 [q-fin.MF])
- Published / Preprint: A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (arXiv:1504.00579v1 [q-fin.TR])
- Published / Preprint: Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123. (arXiv:1504.00640v1 [math.PR])
- Blog Post: ThePracticalQuant: A real-time processing revival
- Blog Post: iMFdirect: Contours of Macroeconomic Policy in the Future
- Phys.Org Mobile: Quantum teleportation on a chip
- Blog Post: TheFinancialServicesClub: The billion dollar fraud and how deep learning might avoid it
| Published / Preprint: A Market Model for VIX Futures. (arXiv:1504.00428v1 [q-fin.MF]) Posted: 02 Apr 2015 05:36 PM PDT A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX, practices observed in interest-rate modelling, and the desire to develop a platform to better understand VIX option implied volatilities. The main contribution of the... Visit MoneyScience for the Complete Article.      |
| Posted: 02 Apr 2015 05:36 PM PDT We formulate an analytically tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand, and order cancellation is not a prominent feature. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresholds. We... Visit MoneyScience for the Complete Article.    |
| Posted: 02 Apr 2015 05:36 PM PDT The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures. Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: A real-time processing revival Posted: 02 Apr 2015 10:56 AM PDT [A version of this post appears on the O'Reilly Radar blog.]Things are moving fast in the stream processing world.There’s renewed interest in stream processing and analytics. I write this based on some data points (attendance in webcasts and conference sessions; a recent meetup), and many conversations with technologists, startup founders, and investors. Certainly, applications are driving this... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Contours of Macroeconomic Policy in the Future Posted: 02 Apr 2015 07:16 AM PDT By Olivier Blanchardread more... Visit MoneyScience for the Complete Article.    |
| Phys.Org Mobile: Quantum teleportation on a chip Posted: 02 Apr 2015 04:19 AM PDT Quantum teleportation on a chip http://t.co/iCRXnNOGab — moneyscience (@moneyscience) April 1, 2015 Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The billion dollar fraud and how deep learning might avoid it Posted: 02 Apr 2015 02:56 AM PDT Banks are being hacked all the time. According to various statistics, banks get over a million cyberattacks a year, and protecting the bank from breach is getting harder and harder. This was well illustrated by the Kapersky report of a cybercrime group in February gaining access to over $1 billion in two years by targeting over 100 banks in 30 countries. read more... Visit MoneyScience for the Complete Article.    |
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