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tbretagn


Total Posts: 277
Joined: Oct 2004
 
Posted: 2018-12-04 12:36
Would anyone have the latest JPM AI and ML report? really curious to see if they have actually checked the results this year. Thx

Et meme si ce n'est pas vrai, il faut croire en l'histoire ancienne

nikol


Total Posts: 784
Joined: Jun 2005
 
Posted: 2018-12-04 17:43
I join in request.

efinancial has given big compliment to JPM Kolanovic

https://news.efinancialcareers.com/uk-en/285249/machine-learning-and-big-data-j-p-morgan

Have you last and this year report?

UPD. Google: kolanovich "big data ai strategies" --> Looking only for last year update

Not sure if this is the one
https://arxiv.org/abs/1811.09549

"Idiosyncrasies and challenges of data driven learning in electronic trading"
Vangelis Bacoyannis, Vacslav Glukhov, Tom Jin, Jonathan Kochems, Doo Re Song

Alfa


Total Posts: 10
Joined: Jun 2018
 
Posted: 2019-01-01 22:05
Anyone familiar with a paper from DB Research titled "Signal Processing: The options issue" (2010)?

bullero


Total Posts: 52
Joined: Feb 2018
 
Posted: 2019-02-22 10:50
I would like to read bagheads paper about pricing bid and ask spread as an option. I know the original thread is ~10 years old but maybe someone here still has the paper roaming around?

nikol


Total Posts: 784
Joined: Jun 2005
 
Posted: 2019-02-22 14:06
Is it the one you are looking at?


"Spread, volatility, and volume relationship in financial markets and market making profit optimization"

bullero


Total Posts: 52
Joined: Feb 2018
 
Posted: 2019-02-22 17:10
@nikol Thanks for input but I am afraid that the paper you linked is not the one I am looking for. Quoting baghead:
"
Posted: 2008-06-04 10:28

the bid-to-mid spread is a premium that compensates the market maker for the SEMI-VARIANCE, the downside. That can be defined as the premium of an ATM option with time-to-expiry equal to the expected time until the market maker will be able to unwind the position.

I extended this concept three years ago to describe the RELATIONSHIP between bid/offers of two (correlated) securities. It concluded in modelling the difference in bid/offers as a Margrabe option. The securities I analysed showed temporary violations of that upper price bound of pairwise liquidity which reverted quickly supposedly by a mechanism I called liquidty commonality arbitrage."

The original thread here at NP may be found using the search function for "bid ask spread as an option".

contango_and_cash


Total Posts: 110
Joined: Sep 2015
 
Posted: 2019-03-09 21:53
Once upon a time I had downloaded the "what i knew and when I knew it" from thorpe's old website but sadly those have gone missing.

does anyone happen to have?

schmitty


Total Posts: 61
Joined: Jun 2006
 
Posted: 2019-03-10 04:45
> "what i knew and when I knew it" from thorpe's old website
> but sadly those have gone missing.

Here's Part 1, I don't seem to have Part 2.

Attached File: Option_Theory_What_I_Knew_&_When_I_Knew_It_Thorp.pdf

Cheng


Total Posts: 2864
Joined: Feb 2005
 
Posted: 2019-03-12 10:43
Has anyone Deutsche's latest Long-Term Asset Return Study (author is Jim Reid)?

"He's man, he's a kid / Wanna bang with you / Headbanging man" (Grave Digger, Headbanging Man)

nikol


Total Posts: 784
Joined: Jun 2005
 
Posted: 2019-03-20 18:38
this?

"Long-Term Asset Return Study" Sep2017

http://www.tramuntalegria.com/wp-content/uploads/2017/09/Long-Term-Asset-Return-Study-The-Next-Financial-Crisis-db.pdf

Cheng


Total Posts: 2864
Joined: Feb 2005
 
Posted: 2019-03-25 11:08
Like this, just in new Smiley

"He's man, he's a kid / Wanna bang with you / Headbanging man" (Grave Digger, Headbanging Man)

HankScorpio


Total Posts: 478
Joined: Mar 2007
 
Posted: 2019-03-26 13:41
@contango_and_cash

Attached File: optiontheory.doc
Attached File: optiontheory2.doc
Attached File: optiontheory3.doc

traveller


Total Posts: 2
Joined: Apr 2019
 
Posted: 2019-04-02 17:21
Hi Kch,

Looks like you were looking for the same paper as me, exactly one year ago!

Did you have any luck finding "The Fediscope"? I have the legal filing but not the Lehman piece. If you have, could you share it with me? Some of those old Lehman pieces are real gems.

Thank you if you can!

mtsm


Total Posts: 237
Joined: Dec 2010
 
Posted: 2019-04-14 19:25
Fediscope...

Tried uploading, but am not seeing the file yet...

nikol


Total Posts: 784
Joined: Jun 2005
 
Posted: 2019-04-15 23:20
Try reverse engineer this

https://patents.google.com/patent/US7885884

(take pdf)

traveller


Total Posts: 2
Joined: Apr 2019
 
Posted: 2019-04-25 15:41
Thanks Nikol I had the legal filing. MTSM, could you send me the Fediscope piece by email if the uploading to site doesn't work?

Thanks again.

deeds


Total Posts: 448
Joined: Dec 2008
 
Posted: 2019-04-25 22:19
Hate to pile on, will reciprocate when possible -

MTSM, may i also have the Fediscope piece?

D

nikol


Total Posts: 784
Joined: Jun 2005
 
Posted: 2019-04-26 15:47
MTSM

Interested to read Fediscope too.


filthy


Total Posts: 1264
Joined: Jun 2004
 
Posted: 2019-05-07 17:50
Does anyone have a way to get,
"evaluating a call option and the optimal timing strategy in the stock market",

by Howard Taylor.

published in Stochastic Optimization Models in Finance, 1975, pg 553-562?

"Game's the same, just got more fierce"

pj


Total Posts: 3457
Joined: Jun 2004
 
Posted: 2019-05-07 18:42
@filthy
check your mail

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

Strange


Total Posts: 1578
Joined: Jun 2004
 
Posted: 2019-05-07 20:41
@pj - can I get that too?

“My dear, here we must run as fast as we can, just to stay in place. And if you wish to go anywhere you must run twice as fast as that.”

pj


Total Posts: 3457
Joined: Jun 2004
 
Posted: 2019-05-07 21:56
If your email works...

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

pj


Total Posts: 3457
Joined: Jun 2004
 
Posted: 2019-05-07 21:56
Double post

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

pj


Total Posts: 3457
Joined: Jun 2004
 
Posted: 2019-05-07 21:56
Triple post

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

Alfa


Total Posts: 10
Joined: Jun 2018
 
Posted: 2019-05-08 16:42
Although not a paper hope its find to ask for it here?

Anyone willing to share institutional analysis/research of tech stocks which could serve as an example/model of a well written analysis/research?
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