Alpha Discovery Neural Network based on Prior Knowledge. (arXiv:1912.11761v1...
In financial automatic feature construction task, genetic programming is the state-of-the-art-technic. It uses reverse polish expression to represent features and then uses genetic programming to...
View ArticleDynamics of the Price Behavior in Stock Market: A Statistical Physics...
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states,...
View ArticleSecretary-General Says United Nations Must Embrace Blockchain
United Nations secretary-general António Guterres says the intergovernmental giant needs to embrace blockchain https://t.co/wX4JCkgEZF â CryptAssetsâ¦
View ArticleHow financial markets turned upside down in 2019
Weak data used to send stocks down but the promise of never-ending cheap money from central banks means the only way is uphttps://t.co/Izyz2B6jcN ââ¦
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Newsletter December 2019 Vertically and Crosswise
Editorial Vertically and Crosswise With constantly moving spots MathFinance has moved its Frankfurt office to KaiserstraÃe 50, located between the central station and the old ECB building. Looking...
View ArticleSEC Proposes to Codify Certain Consultations and Modernize Auditor...
The Securities and Exchange Commission today announced that it is proposing amendments to codify certain staff consultations and modernize certain aspects of its auditor independence framework. The...
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The Market is Huge! Revisiting the Big Market Delusion
For the high-profile IPOs that have reached the market in 2019, with apologies to Charles Dickens for stealing and mangling his words, it has been the best and the worst of years. On the one hand, you...
View ArticleQuantpedia Premium Update – 30th December 2019
Three new strategies have been added. Two new related research papers have been included into existing strategy reviews. And one short free blog post has been published during last few weeks. The post...
View ArticleStart Your Algorithms: Speed is Good Again, or is it?
Until the final days of 2019, it has been a quiet year for high-frequency trading-related news. The whole concept of a trade executed in nanoseconds, and the related concept of a trading program...
View ArticleInvestor Attention on Internet Financial Markets
Publication date: Available online 30 December 2019Source: Finance Research LettersAuthor(s): Rongda Chen, Qian Qian, Chenglu Jin, Min Xu, Qiping SongAbstractInvestor attention is more likely to affect...
View ArticleSmoothed or not smoothed: the impact of the 2008 global financial crisis on...
Publication date: Available online 30 December 2019Source: Finance Research LettersAuthor(s): Erhan KilincarslanAbstractThis study examines the cash dividend behaviour of a panel dataset of 1,178 firms...
View ArticleBooks I enjoyed in 2019
Here are nonfiction books I enjoyed reading in 2019. Not all of these books were released this year, although most them are 2019 releases. I read many of these using Apple Books on my iPad but I've...
View ArticleSelecting stock pairs for pairs trading while incorporating lead-lag...
Pairs Trading is carried out in the financial market to earn huge profits from known equilibrium relation between pairs of stock. In financial markets, seldom it is seen that stock pairs are correlated...
View ArticleA Risk-Sharing Framework of Bilateral Contracts. (arXiv:1901.03874v2...
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for...
View ArticleEstimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with...
When stock prices are observed at high frequencies, more information can be utilized in estimation of parameters of the price process. However, high-frequency data are contaminated by the market...
View ArticleFast calibration of two-factor models for energy option pricing....
A general method is presented to compute the variance of a linear stochastic process through a matrix Lyapunov differential equation. This approach, adopted from control theory, is alternative and...
View ArticleA review of two decades of correlations, hierarchies, networks and clustering...
This document is an ongoing review on the state of the art of clustering financial time series and the study of correlation and other interaction networks. This preliminary document is intended for...
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