Gilbert Liou

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配对交易(pair trading)现在还有人做吗?具体是怎么操作的?

CVA新规则出来后,欧洲银行都讨论了些啥?

这周一直在ISDA和ECB的组织下跟欧洲同行一起讨论学习巴塞尔关于CVA的新征求意见稿,欧洲银行业由于靠着瑞士巴塞尔相对较近,近水楼台,各种小道消息传得也比较多。。一周开了好几次欧洲范围的电话会议,总体感觉上,这次大家主要有以下讨论热点话题:<p>1)标准法的条件:<p>在capital floor的提议遭到业界一片反对之声后 (参见这个链接),目前看来,巴塞尔的策略是希望通过对模型法设定一个很高的准入门槛来逼迫建模实力相对欠缺的银行转而使用标准法,这次征求意见稿里有一句是这么说的<p>"A basic approach for CVA risk is also proposed for banks that …

Trading Cost这一块的研究在传统的alpha research一直处于比较鸡肋的状态,一般在找到信号,模型优化,历史回测都结束后,才会加入transaction cost来模拟实盘表现。然而这最后一步往往是压死骆驼的最后一根稻草,学术上称之为implementation shortfall<p>Perold, André.(1988) "The Implementation Shortfall: Paper vs. Reality."<p>可谓<b>trading cost如此多娇,引无数signal尽折腰。</b><p>题主所说的trading cost和market impact我分别理解为量化交易时的直接成本 …

第五章 黄金时代

我暂且把题目中的「社会问题」理解为健康,教育,种族,犯罪等等不在狭义的传统经济学研究领域范围内的主题。诺贝尔经济学奖获得者 Gary Becker 是最早把经济学的方法论拓展到人类行为分析(尤其是非市场行为分析)的学者。他的一系列研究算是为社会问题的经济学分析提供了理论基础。下面这个问题的几个高票答案从不同层面总结了 Becker 的研究,我就不赘述了。<br>如何评价诺贝尔经济学奖得主 Gary Stanley Becker 的学术成就? - 社会学<p>下面只列几篇我读过的觉得有意思的用经济学方法分析社会问题的文章:<p><b>1. 法律与犯罪</b><p>斯坦佛大学法学院教授 John Donohue 与芝加哥大学经济学院教授 …

MARK一下,晚上过来吹牛B<br>#######################################<br>@董可人我今天要是再失眠明天我也不会让你睡好的!<br>最小二乘法是对普通线性回归参数估计的一种方法,目标是是loss function达到最小,而此时的loss function是误差平方和。<br>岭回归和普通线性回归的区别,我们可以从三种方式来看。<br>1. 最优化问题的不同 (我比较懒,公式就贴照片了),<br>对于岭回归,我们的最优化问题多了后面这些beta的平方和。<p>多元线性回归的OLS回归不仅仅可以看成是对loss function的最小化,得出的结果也是Y在X的线性空间上的投影。<p>2 从多变量回归的变量选择 …

High-Frequency Trading around Large Institutional Orders

Jun 18, 2015<p>When high-frequency traders (HFTs) enter markets, the bid-ask spread declines. Several academic studies have reported such result. …

Trading

REINFORCEjs: Gridworld with Dynamic Programming

# About **REINFORCEjs** is a Reinforcement Learning library that implements several common RL algorithms supported with fun web demos, and is …

Stanford University

Volatility Weighting Applied to Momentum Strategies

37 Pages Posted: 29 Apr 2015 Last revised: 29 Jul 2016<p>Unaffiliated Authors - Independent<p>Robeco Asset Management, Quantitative Investment Research<p>Date …

A Martingale Decomposition of Discrete Markov Chains

12 Pages Posted: 28 Apr 2015<p>University of North Carolina (UNC) at Chapel Hill - Department of Economics; University of Aarhus - CREATES<p>Date Written: …

[1207.0580] Improving neural networks by preventing co-adaptation of feature detectors

Computer Science > Neural and Evolutionary Computing<p>Title: Improving neural networks by preventing co-adaptation of feature detectors<p>Abstract: When a …

[1505.05629] Regulating Greed Over Time

Statistics > Machine Learning<p>Title: Regulating Greed Over Time<p>Abstract: In retail, there are predictable yet dramatic time-dependent patterns in …

The Unreasonable Effectiveness of Recurrent Neural Networks

There’s something magical about Recurrent Neural Networks (RNNs). I still remember when I trained my first recurrent network for Image Captioning. …

Deep Learning

Uncovering Trend Rules

17 Pages Posted: 12 May 2015<p>Robeco Asset Management<p>Robeco Asset Management, Quantitative Investment Research<p>Date Written: May 11, 2015<p>Abstract<p>Trend …

REVISION: Which Trend Is Your Friend?

Managed-futures funds and CTAs trade predominantly on trends. There are several ways of identifying trends, either using heuristics or statistical …

Superstatistical Fluctuations in Time Series of Leverage Returns

14 Pages Posted: 25 Nov 2013<p>S&P Global Market Intelligence<p>S&P Capital IQ<p>Date Written: November 24, 2013<p>Abstract<p>Fat tails of q-Gaussian distributions …

Transition from lognormal to chi-square superstatistics for financial time series. (arXiv:1506.01660v2 [q-fin.ST] UPDATED)

Share price returns on different time scales can be well modelled by a superstatistical dynamics. Here we provide an investigation which type of …

[cond-mat/0507411] From time series to superstatistics

Condensed Matter > Statistical Mechanics<p>Title: From time series to superstatistics<p>Abstract: Complex nonequilibrium systems are often effectively …

The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods

Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert W., The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods, …

谢邀 @tan Momen,刚清完Q,抽空回答下T.T。<br>如何看出财务报表是否作假呢?说实话,很难。<br>如果光分析财务报表的话,应该有以下的几个关注点可以参考一下(这些也是经常会被出Q的点):<br>1.期末的货币资金余额很大,高负债和高现金并存情况,但与企业的业务规模不匹配;<br>2.公司业绩越来越好,但是存货周转率和应收账款的周转率却一直在下降;<br>3.利润表中的营业利润和现金流量表中的经营现金流量严重不匹配,比如营业利润为1000万,但是经营现金流量净额仅有100万甚至为负数;<br>4.经营现金流量净额多年多年为大额的正数,但是投资现金流量多年持续大额为负数;<br>5.收入规模增长很快但营业费用和管理费用出现很大降幅;<br>6. …

Portfolio Insurance with Adaptive Protection (PIWAP)

23 Pages Posted: 22 Feb 2015<p>THEAM, BNP Paribas Investment Partners<p>BNP Paribas Asset Management<p>BNP Paribas Investment Partners<p>Date Written: January …

Facts About Factors

24 Pages Posted: 17 Apr 2015<p>State Street Corporate<p>State Street Corporate<p>Massachusetts Institute of Technology (MIT) - Sloan School of Management<p>State …

the front page of the internet

EM vs gradient descent : MachineLearning

In what cases is it better to use EM vs just simple gradient descent (using Monte Carlo approximation if you've integrals in your likelihood function)<p>…

小更一下:回答中提到的所有论文全部附上免费版本的链接。<p>=======昏各线=======<p>统计博士,但印象中看书看教材都是应付考试的,看得最多的是论文。恩,要说对我影响很深的论文倒是可以列出几篇。<p>鉴于有同学还是蛮感兴趣的,还是说说吧。<p>首先,我觉得论文影响更大是因为,不管什么教材&课程(包括博士课程),与之后科研期间中看的论文相比,也只能算是通识教育。但凡写成教材,其中内容至少已经是3-5年甚至更久以前,且比较成熟&严谨的成果了,要接触前沿问题只能多看论文。<p>接下来,我尽量举几篇我自己科研方向(贝叶斯统计、统计计算、变量选择)的经典论文。<p>1. Tibshirani, R. (1996). Regre …

REVISION: Fact, Fiction, and Value Investing

Value investing has been a part of the investment lexicon for at least the better part of a century. In particular the diversified systematic “value …

Alpha Generation and Risk Smoothing Using Managed Volatility by Tony Cooper

Abstract<p>It is difficult to predict stock market returns but relatively easy to predict market volatility. But volatility predictions don't easily …

A Proof of the Optimality of Volatility Weighting Over Time

23 Pages Posted: 20 Feb 2012 Last revised: 15 Aug 2014<p>Robeco Asset Management, Quantitative Investment Research<p>Date Written: May 28, 2012<p>Abstract<p>We …