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The effect of structural reforms on public debt
There is broad consensus on the desirability of making markets more efficient, across several economies to increase competitiveness and improve future growth prospects (OECD, 2012; European...
View ArticleWhy does our Tail Reaper program work in times of market turmoil?
I generally don't like to write about our investment programs here, since the good folks at the National Futures Association would then have to review my blog posts during their regular...
View ArticleInvestor Bulletin: Please Consider Adding a Trusted Contact to Your Account
The SECâs Office of Investor Education and Advocacy and the Financial Industry Regulatory Authority (FINRA) are issuing this Investor Bulletin to urge you to consider adding a âtrusted contact...
View ArticleHyperscaling natural language processing
The Data Exchange Podcast: Edmon Begoli on distributed online learning and its applications in public health.Subscribe: iTunes, Android, Spotify, Stitcher, Google, and RSS.Full show notes can be found...
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Mathematical Uncertainty Principles
How to understand a core idea from Quantum Mechanics.Continue reading on Cantorâs Paradise »
View ArticleAre the Robots Really Taking Over?
By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 3 The Alternative Investment...
View ArticlePersuading a Consumer to Visit. (arXiv:1802.09396v4 [math.PR] UPDATED)
We consider a variation on the classic Weitzman search problem: competing firms with products of unknown quality may design how much information a consumer's visit will glean. After observing these...
View ArticleSequential testing for structural stability in approximate factor models....
We develop a monitoring procedure to detect changes in a large approximate factor model. Letting $r$ be the number of common factors, we base our statistics on the fact that the $left( r+1right) $-th...
View ArticleNon-stationary neural network for stock return prediction....
We consider the problem of neural network training in a time-varying context. Machine learning algorithms have excelled in problems that do not change over time. However, problems encountered in...
View ArticleBow-tie structure and community identification of global supply chain...
We study on topological properties of global supply chain network in terms of degree distribution, hierarchical structure, and degree-degree correlation in the global supply chain network. The global...
View ArticleApplication of Deep Neural Networks to assess corporate Credit Rating....
Recent literature implements machine learning techniques to assess corporate credit rating based on financial statement reports. In this work, we analyze the performance of four neural network...
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Does more competition spur innovation or discourage it?
Increased levels of global trade integration, especially driven by the rise of China, have led to a fierce public debate about the winners and losers from international trade. Recently, calls for...
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Newsletter March 2020: Vanna-Volga and the Greeks
Editorial Vanna-Volga and the Greeks Many people ask us whatâs so special about calculating Greeks in the vanna-volga approach. Isnât it like calculating bumped values and ratios of...
View ArticleGetting Back to Basics: Protecting, Serving, and Empowering InvestorsRemarks...
Getting Back to Basics: Protecting, Serving, and Empowering Investors Remarks by Commissioner Allison Herren Lee before the Investment Adviser Association Compliance Conference 2020 March 5, 2020
View ArticleSemimartingale theory of monotone mean–variance portfolio allocation
Abstract We study dynamic optimal portfolio allocation for monotone meanâvariance preferences in a general semimartingale model. Armed with new results in this area, we revisit the work of Cui etÂ...
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