MoneyScience News |
- Published / Preprint: Financial Knudsen number: breakdown of continuous price dynamics and asymmetric buy and sell structures confirmed by high precision order book information. (arXiv:1508.06024v1 [q-fin.TR])
- Published / Preprint: Non-zero-sum stopping games in discrete time. (arXiv:1508.06032v1 [math.OC])
- Published / Preprint: Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer. (arXiv:1508.06182v1 [q-fin.CP])
- Published / Preprint: Theory of pricing as relativistic kinematics. (arXiv:1508.06225v1 [q-fin.GN])
- Published / Preprint: A computational spectral approach to interest rate models. (arXiv:1508.06236v1 [q-fin.CP])
- Finextra PR: Alt finance market will grow by one quarter over two years - Amicus
- EU hypocrites!
| Posted: 25 Aug 2015 05:37 PM PDT We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy and sell) independently. The improved model builds on the time-averaged number of particles in the inner layer and its change per unit time, where the inner... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Non-zero-sum stopping games in discrete time. (arXiv:1508.06032v1 [math.OC]) Posted: 25 Aug 2015 05:37 PM PDT We consider two-player non-zero-sum stopping games in discrete time. Unlike Dynkin games, in our games the payoff of each player is revealed after both players stop. Moreover, each player can adjust her own stopping strategy according to the other player's action. In the first part of the paper, we consider the game where players act simultaneously at each stage. We show that there exists a Nash... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Aug 2015 05:37 PM PDT We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding schemes, and present numerical examples that show high success rates. The formulation incorporates transaction costs (including permanent and temporary market impact), and, significantly, the solution does not require the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Theory of pricing as relativistic kinematics. (arXiv:1508.06225v1 [q-fin.GN]) Posted: 25 Aug 2015 05:37 PM PDT The algebra of transactions as fundamental measurements is constructed on the basis of the analysis of their properties and represents an expansion of the Boolean algebra. The notion of the generalized economic measurements of the economic quantity and quality of objects of transactions is introduced. It has been shown that the vector space of economic states constructed on the basis of these... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Aug 2015 05:37 PM PDT The Polynomial Chaos Expansion (PCE) technique recovers a finite second order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions of a given stochas- tic quantity {\xi}, hence acting as a kind of random basis. The PCE methodology has been developed as a mathematically rigorous Uncertainty Quantification (UQ) method which aims at providing... Visit MoneyScience for the Complete Article.    |
| Finextra PR: Alt finance market will grow by one quarter over two years - Amicus Posted: 25 Aug 2015 10:03 AM PDT Growing institutional appetite for investing in the altfi market: Alt finance up 25% in two years - see: http://t.co/djzvKJh24J — Julian Cork (@JulianCork)… Visit MoneyScience for the Complete Article.    |
| Posted: 25 Aug 2015 10:03 AM PDT "EU hypocrites! The naming and shaming of tax havens is fraught with folly" http://t.co/BTIMvkytwa http://pic.twitter.com/vDd9Lwwf4L — Arthur Charpentier… Visit MoneyScience for the Complete Article.    |
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