On Drawdown-Modulated Feedback Control in Stock Trading. (arXiv:1710.01503v1...
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal...
View ArticleOn Inefficiency of Markowitz-Style Investment Strategies When Drawdown is...
The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops...
View ArticleTransform Analysis for Hawkes Processes with Applications in Dark Pool...
Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers...
View ArticleClik here to view.
Clik here to view.
Clik here to view.
Management Accounting and Control: Tools and Concepts in a Central European...
Management accounting has been the basic toolbox in business administration for decades. Today it is an integral part of all curricula in business education and no student can afford not to be...
View ArticleClik here to view.
Clik here to view.
The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides) by...
"The 7 Reasons Most #MachineLearning Funds Fail" (Slides) by Lopez de Prado https://t.co/MB5bTRFLPP Presents some really interesting ideas. â Thomas Wieckiâ¦
View ArticleClik here to view.
Are you ready for FRTB? Five questions to ask yourself
The Fundamental Review of the Trading Book (FRTB) is one of the biggest and most significant market risk regulatory changes in the past two decades. If you donât have a firm plan in place yet, or if...
View ArticleWiley: Listed Volatility and Variance Derivatives: A Python-based Guide -...
Book - Listed Volatility and Variance Derivatives: A Python-based Guide @wiley_finance - https://t.co/RlFZM4F1dH â moneyscience (@moneyscience) October 5,â¦
View ArticleThe Rise of Behavioral Economics: Richard Thaler's 'Misbehaving' by Cass R....
Whether or not @R_Thaler gets the Nobel next week, he has had a much bigger impact than most winners. A summary:https://t.co/VKJ9M5c98P â Cass Sunsteinâ¦
View ArticleIntervention On Default Contagion Under Partial Information....
We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting...
View ArticleThe Chebyshev method for the implied volatility. (arXiv:1710.01797v1 [q-fin.CP])
The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. In contrast to the Black-Scholes formula...
View ArticleOn Kelly Betting: Some Limitations. (arXiv:1710.01787v1 [math.OC])
The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal resource allocation among a set of gambles which are repeated over time. The criterion calls for maximization...
View ArticleKelly Betting Can Be Too Conservative. (arXiv:1710.01786v1 [q-fin.PM])
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this setting, there is a...
View Article"Nash-in-Nash" Tariff Bargaining with and without MFN -- by Kyle...
We provide an equilibrium analysis of the efficiency properties of bilateral tariff negotiations in a three-country, two-good general equilibrium model of international trade when transfers are not...
View Article