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- Published / Preprint: Heterotic Risk Models. (arXiv:1508.04883v1 [q-fin.PM])
- Published / Preprint: Detecting intraday financial market states using temporal clustering. (arXiv:1508.04900v1 [q-fin.TR])
- Vendor News: Infosys Announces Aikido - Next-Generation Services in Design Thinking, Platforms and Knowledge-Based IT
| Published / Preprint: Heterotic Risk Models. (arXiv:1508.04883v1 [q-fin.PM]) Posted: 20 Aug 2015 05:37 PM PDT We give a complete algorithm and source code for constructing what we refer to as heterotic risk models (for equities), which combine: i) granularity of an industry classification; ii) diagonality of the principal component factor covariance matrix for any sub-cluster of stocks; and iii) dramatic reduction of the factor covariance matrix size in the Russian-doll risk model construction. This... Visit MoneyScience for the Complete Article.      |
| Posted: 20 Aug 2015 05:37 PM PDT We propose the application of a high-speed maximum likelihood clustering algorithm to detect temporal financial market states, using correlation matrices estimated from intraday market microstructure features. We first determine the ex-ante intraday temporal cluster configurations to identify market states, and then study the identified temporal state features to extract state signature vectors... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Aug 2015 05:16 AM PDT Infosys, (NYSE: INFY), a global leader in consulting, technology, outsourcing and next-generation services, today announced Aikido, three enhanced service offerings in Design Thinking, Platforms and Knowledge-Based IT (KBIT). Visit MoneyScience for the Complete Article.    |
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