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Concentration of measure - Wikipedia
Just the wikipedia article, but to recall the idea that high dim normed space are approx defined by quad form (hence the variance in free energy / gaussian distribution)
coink  math  concentration  measure  dvoretzky  isoperimetric  high  dimension 
17 hours ago by paunit
floats - Force figure placement in text - TeX - LaTeX Stack Exchange
Another element in how to integrate svg (or other graphics) into tex document. This is really a nice post
coink  latex  svg  floating  figure 
8 days ago by paunit
graphics - How to include SVG diagrams in LaTeX? - TeX - LaTeX Stack Exchange
This is a useful pot pourri on how to integrate SVG into a tex document --- not exactly the smoothest integration in the world, but there are 30y between technologies
coink  latex  svg  inkscape 
8 days ago by paunit
Exponential Hedging and Entropic Penalties
A (very) technical article on the duality between the Merton portfolio optimization (hedging side) and minimum martingale measure (pricing view) for entropy risk. This is mostly mathematics, not very much economics in there.
coink  risk  management  entropy  optimal  portfolio  mathematics  delbaen 
14 days ago by paunit
A numerical algorithm for indifference pricing in incomplete markets
Entropy pricing applied in non linear manner -- with a full convex minimization of the lagrangian of entropy measure serving as the sensitivity computation. duality based
coink  risk  management  entropy  pricing  numerical  lim 
14 days ago by paunit
Approximation of the ruin probability using the scaled Laplace transform inversion
Interesting riff on ging from laplace transform back to space. The model problem here is close to a simple risk question: what level of average losses (in a tail model) correspond to a givne laplace transform of those losses? This is ill posed, naturally, but regularization seems to help.
coink  risk  management  inverse  laplace  transform  tail 
18 days ago by paunit
Update rules for convex risk measures
A very nice article by Sina Tutsch on the vexing problem of updates to convex risk measures and time consistency -- ie th problem of keeping a time-consistent estimate of risk in a two period model. Simple examples are not made explicit, but i believe a very simple hidden markov chain model shows the problem and solution in terms of mixtures might approach this nicely.
coink  convex  risk  measures  forward  backward  time  consistency  sina  tutsch 
20 days ago by paunit
Convex and coherent risk measures
Another article from Follmer on convex risk measures, touches on the time consistency even if the formal definitions of consistency are not 100% clear
coink  risk  management  convex  measure  time  consistency  follmer 
20 days ago by paunit
Deep Hedging
Buehler 2018, not perfectly readable but much of the next article is already present
coink  financial  reinforcement  learning  buehler  deep  hedging 
21 days ago by paunit
The QLBS Q-Learner Goes NuQLear
Follow up on QLBS with some numerical experiments (not much) and much re-use from original article.
coink  reinforcement  learning  black  model  financial 
21 days ago by paunit
Dynamic convex risk measures: time consistency, prudence, and sustainability
Mostly interesting in the discussion regarding time consistency, and sequential consistency more generally (ie what is required to apply the Bellman principle to the dual formulation of the hedging problem). Simple case where "greedy" consistency applies (on transition from t to t+1) leads to only entropy measure, this is interesting on its own and kind of mind boggling.
See also in Bartzekas the distinction between sequential consistency and sequential improvement in the context of stochastic DP (a path he does not explore :-))
coink  convex  risk  measures  time  consistency  sequential  bellman  follmer 
23 days ago by paunit
Convex Risk Measures:Basic Facts, Law-invariance and beyond,Asymptotics for Large Portfolios
An extension of convex risk measure interpretation. This is a review of sorts, quite well written and with many references. What i was looking for: link with preferences (ordering of bets or stochastic dominance).
coink  convex  risk  measure  follmer  stochastic  dominance 
24 days ago by paunit
Convex and coherent risk measures
Föllner on convex risk measures, with a focus on what time consistency means (ie the compatibility of the way to measure with the implicit dynamic programming optimization). This is quite related for Föllmer student Penner 2007 (see corresponding PhD thesis)
coink  convex  risk  measure  follner  time  consistency 
24 days ago by paunit
Americans' Trust in Government, Each Other, Leaders | Pew Research Center
A long essay on public trust and facets of this based on large sample polling.
coink  sociology  trust  america  political  science 
28 days ago by paunit
2020 Democratic primary: The case for Elizabeth Warren - Vox
Nice artilce from Ezra Klein on Liz Warren, explains a bit why she topped momentarily the polls last year -- impressive candidate, less lucky
coink  politics  elizabeth  warren  ezra  klein 
29 days ago by paunit
Utility Indifference Pricing - An Overview
Large review of utility based pricing -- aka indifference pricing, mostly literature on incomplete markets. This is also related to the hedging with transaction costs
coink  finance  transaction  cost  incomplete  markets  indifference  pricing 
4 weeks ago by paunit
A Discrete Time Equivalent Martingale Measure
Variations on martingale measures without continuous hedging, this is a variation on Girsanov (late 90's). Still actual from a certain perspective.
coink  banking  incomplete  markets  discrete  time  hedging  girsanov 
4 weeks ago by paunit
(PDF) Direct policy search reinforcement learning based on particle filtering
Note directly exploitable but gives state of the art for direct policy search as of the publication (around 2012) + contribution in the form of particle filters (and analogy with MCMC)
coink  reinforcement  learning  particle  filter  direct  policy  search 
5 weeks ago by paunit
Basel IV: Revised trading and banking book boundary for market risk
A presentation from PWC on the regulatory aspects of the trading book/banking book classification; this does not break new ground and mostly reflects the regulatory text but it is nevertheless a good introduction (see in particular p 15)
coink  regulatory  basel  banking  trading  book 
6 weeks ago by paunit
Chernoff bound - Wikipedia
Just to remember the name of the link btw. Laplace transform and tail properties.
coink  probabilities  chernoff  bounds  tail  estimation 
6 weeks ago by paunit
An Explanatory Note on the Basel II IRB Risk Weight Functions
This document from Basel goes into details to explain how the regulatory model that takes the asymptotics of old Merton structural model as replacing "full credit VaR" in credit risk model.
coink  credit  risk  asymptotics  merton  regulatory  basel 
6 weeks ago by paunit
Online LaTeX Equation Editor - create, integrate and download
A useful site to generate (bits) of equations online into images
coink  editor  latex  math 
6 weeks ago by paunit
Reinforcement learning and optimal control
By the author of neuro-dynamic programming, another classic in the field (see Sutton & Barto). A series of course-level slides that are quite good, plus videos of a course at Arizona state university by the same -- really enjoyable.
coink  machine-learning  reinforcement  optimal  control  bertsekas 
6 weeks ago by paunit
Neuro-Dynamic Programming An Overview
By one of the authors of the book "neuro-dynamic programming" a nice survey from mid naughties on learning and optimization. Insists on the pitfalls and partial solutions. Makes reference to reinforced learning (ie Sutton & Barto)
coink  optimization  machine-learning  neuro-dynamic  programming  bertsekas 
6 weeks ago by paunit
QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds
Interesting source in DH for a slightly simpler setting which is viewed as a benchmark for other RL aglos.
coink  risk  management  hedging  transaction  cost  reinforcement  learning 
7 weeks ago by paunit
More Than You Ever Wanted To Know* About Volatility Swaps
Nice article from GS quants on volatility derivatives, mostly on variance swaps and vol swaps are "derivatives" on variance
coink  risk  management  variance  volatility  swap  goldman  sachs 
7 weeks ago by paunit
Optimization of Conditional Value-at-Risk
Article focus on the minimization structure implicit in tail VaR (wrt fixed proba structure in the context of the article) and general application to portfolio optimization. This is indeed not too far from the hedging problem addressed in DH.
More detailed analysis in the convex case (ie where loss is a linear function of position which is part of a convex set)
coink  risk  management  CVaR  dynamic  programming  optimization  coherent  measure 
7 weeks ago by paunit
Distortion Risk Measures: Coherence and Stochastic Dominance
A riff on stochastic dominance (second order, ie wrt risk aversion) and actuarial view in risk management. Quite clear on the topic.
coink  finance  risk  management  stochastic  dominance  coherence  measure 
7 weeks ago by paunit
Stochastic dominance - Wikipedia
Just for reference since this is the central intuition for the modern concepts of risk measure definition
coink  finance  stochastic  dominance  risk  measures 
7 weeks ago by paunit
The minority game: An economics perspective
A variant of El Faro's minority game, that review literature on econophysics and explains differnet points of view on this field
coink  economics  game  theory  minority  kets 
7 weeks ago by paunit
Carbon tax debate: the top 5 things everyone needs to know - Vox
An explainer on carbon tax (carbon pricing) the make reference to the article previously read (see as well as a few others.
coink  co2  carbon  climate  environment  policy 
7 weeks ago by paunit
Columbia | SIPA Center on Global Energy Policy | US Carbon Tax Design: Options and Implications
An interesting paper of the design questions to answer to get an efficient carbon tax -- although very US centric the design questions apply to other economies. The principle is to look at the way the physical economy works and decide where to tax based on a mix of convenience and fairness -- taking onto account imports or exports. Accounting for the tax as production/consumption based varies depending on the ability to tax
coink  co2  carbon  climate  tax  design  policy  economics  environment 
7 weeks ago by paunit
The brave new world of carbon trading
A wonderful paper by Pr Spash on the strange dominance of polluting permits (article is rather terse, but two comparison points allude to a more quirky spirit, and make for a lighter reading: indulgence traffic in medieval church, and soma in Brave New World :-)
coink  trading  emissions  ETS  carbon  pricing 
7 weeks ago by paunit
« CumCum », « CumEx » : le scandale des dividendes expliqué simplement
The basic (and apparently simple) mechanics of dividend heist in Europe 2008-2012
coink  banking  heist  dividend  cum-ex 
7 weeks ago by paunit
Implementing a stamp duty on sterling to finance international development
An interesting riff on a Tobin-like tax for FX and implementation questions (based on specifics of settlement of FX cash trades)
coink  finance  tobin  tax  FX  settlement 
8 weeks ago by paunit
Why innovation in economics should build on success: the case of the financial crisis |
James K. Galbraith on the field of macro, a nice article in reaction to the Great Recession.
coink  macro  krugman  godley  keynes  great  recession 
9 weeks ago by paunit
Copulas for Finance A Reading Guide and Some Applications
A very readable introduction to copulas in finance, pre-crisis though
coink  probabilities  copula  finance  math 
9 weeks ago by paunit
On the singular components of a copula
Decomp of proba on square into ac wrt lebesgues and singular, shows that this can be non trivial, leads to simultaneous defaults
coink  probabilities  copula  absolute  continuity  credit  risk 
9 weeks ago by paunit
A family of transformed copulas with singular component
Same topic as "Simulating from a Family of Generalized Archimedean Copulas" from Durante, more details on the topic
coink  copula  stats  credit  risk 
9 weeks ago by paunit
Patchwork copulas
A way to build piece together bits of copulas (no joke) to approximate any given copula "uniformly" in a certain sense. Great measure intuition behind this stuff.
coink  copula  probabilities  math  measure  durante 
9 weeks ago by paunit
Simulation of copulas
Various methods for sampling more or less directly from copulas based on conditioning (select first uniform, then the second conditioned to partial derivative of copula, assuming it can be differentiated). Part of the appendix of a book the name of which escapes me
coink  copula  montecarlo  conditional 
9 weeks ago by paunit
An importance sampling approach for copula models in insurance
Inspired from financial risk analysis, how to sample from given copula in a monte carlo setting (where the goal is to evaluate some expectation over multivariate X, where the the copula of X's components is given as well as their margins)
coink  copula  importance  sampling  montecarlo 
9 weeks ago by paunit
Understanding Relationships Using Copulas
Actuarial oriented view of copula, explains concisely the frailty model and relation with the copula. This is more statistics oriented, and quite readable.
coink  stats  copula  actuarial 
9 weeks ago by paunit
Where Is the New Keynes? | The New Yorker
Interesting review of post crisis state of the macro world
coink  macro  financial  crisis  keynes  economics 
9 weeks ago by paunit
The frailty model
Theoretical & empirical literature on frailty model (survival, context usually biology or insurance) with censorship of right survival tails
coink  survival  frailty  model 
10 weeks ago by paunit
probability - Could someone explain conditional independence? - Mathematics Stack Exchange
Nice stack exchange conversation on conditional independence -- with examples that present some intuition of hidden knowledge (slightly more relevant that the biased coin examples in e.g. although this is naturally the same thing)
coink  probabilities  conditional  independence 
10 weeks ago by paunit
Conditional independence, conditional mixing and conditional association
On the concept of conditional independence and the consequences for law of large numbers: an intrinsic view (generalizations of Borel Cantelli, Kolmogorov and friends) that works well for instance for credit risk aggregation
coink  probabilities  conditional  independence  central  limit 
10 weeks ago by paunit
Regulatory Capital Modelling for Credit Risk
Mathematized Basel aka the mathematics of the basic Merton model used in Basel II IRB -- risk weights.
coink  banking  basel-2.5  credit  portfolio  risk 
11 weeks ago by paunit
One bad apple: default risk at CCPs -
An interesting article on the modeling of default of a member where default is correlated to the market move that caused the IM call to be missed (a Merton-like model in a sense).
coink  XVA  CCP  LCH  clearing  counterparty  risk 
11 weeks ago by paunit
Swap Default Funds at the CME & LCH |
Basic pragmatics of the default fund at LCH & CME. Interestings factoids:
- Default fund by simulation of the whole portfolio (all accounts) and worst case (picture slightly different from in fact)
- Order of bids on default conditions the use of default fund -- this is an interesting play on the participants incentives
coink  LCH  clearing  auction  default  fund 
11 weeks ago by paunit
Hidden Markov map matching through noise and sparseness - 6.pdf
Very well written article on the HMM for map matching problem ("pure" on road model) that represents the state of the art from 2010's -- without the switching between on- and off-road states.
Also presents empirical results with an actual GPS traces and different subsampling strategies to expose the limits of the inference noisy GPS -> position based on map information.
coink  map  matching  GPS  HMM 
december 2019 by paunit
[1303.1883] Real-time On and Off Road GPS Tracking
An ingredient for the map matching feature of maps project. Did not read the article yet, but abstract seems quite close.
coink  map  matching  routes  GPS  tracks 
december 2019 by paunit
Calculating Position from Raw GPS Data – Telesens
A very nice article on GPS technology and the path from celestial mechanics to obtaining actual position. Includes some discussion on the source of error and why z is generally worse than horizontal coordinates (which is intuitive from a geometric perspective). Matlab code + references to the technical/engineering sources.
coink  GPS  celestial  mechanics  engineering  geometry 
december 2019 by paunit
Using readable streams - Web APIs | MDN
Javascript readable stream -- mostly browser side here coming from Mozilla
coink  programming  javascript  readable  stream 
december 2019 by paunit
Computational Turbulent Incompressible Flow
Applied Mathematics: Body & Soul Vol 4 (Navier Stokes & Euler equations, with galerkin style discretization) by Johan Hoffman and Claes Johnson
coink  fluid  mechanics  navier  stokes  galerkin  adaptive 
december 2019 by paunit
Le nouveau système réglementaire Lambert 93
New Lambert 93 system (article from IGN presentation) quite detailled, explains the order of magnitude of longitudinal aberration
coink  geography  IGN  lambert  projection 
december 2019 by paunit
More than you ever wanted to know about GeoJSON -
A simple resource on geojson (with a bit of historical context, which i find interesting)
coink  geojson  json  geography  history 
december 2019 by paunit
Ionicons: The premium icon pack for Ionic Framework
Just another SVG icon library that can be used in wep apps
coink  design  icons  svg 
december 2019 by paunit
Simulation of Simplicity
Subtitled: A Technique to Cope with Degenerate Cases in Geometric Algorithms.

Referenced in S2 implementation (google's geometric library) to handle the polygon and ray-tracing mechanics.

This deals with a kind of symbolic perturbation technique to cast degenerate cases back into the regular cases -- an interesting technique. Also references in discrete Morse's theory (when dealing with Smale complex) so the technique had some posterity.
coink  computational  geometry  simulation  simplicity 
december 2019 by paunit
Line Simplification
A variant of Douglas Peucker for line simplification in the context of maps
coink  computer  vision  algorithm  geography  visvalingam 
december 2019 by paunit
Home page for the json query command line -- a very nice tool indeed
coink  json  jq 
december 2019 by paunit
Country Codes
A useful reference site from a doux illuminé that keeps tabs on admin unit across the world
coink  geography  stats  administrative  codes  ISO  statoid 
november 2019 by paunit
GitHub - golang/geo: S2 geometry library in Go
A bit of computational geometry, including spherical (and not spherical...) case. Port of equivalent C++ library
coink  golang  s2  port  computational  geometry 
november 2019 by paunit
Intersections of a Set of Segments
Description of classical algorithm in computer graphics, mostly interested in the test for simplicity of polygons -- as "jordan curves" and the Bentley-Ottmann algorithm, clearly explained
coink  computer  vision  geometry  simple  polygon  bentley  ottmann 
november 2019 by paunit
GitHub - tmcw/awesome-geojson: GeoJSON utilities that will make your life easier.
A series of geoJson resources (both code and data) quite up to date and useful
coink  geography  geojson 
november 2019 by paunit
Natural Earth
An essential source for many vector data (countries, regions, cities, etc). Data is open (public domain actually), but technically in shapefile format. Translation of some of this onto goejson exists see eg
coink  open-data  geography  countries  natural  earth 
november 2019 by paunit
GeoZones -
An open data set that covers multi-level zones in France and the rest of the world (completion depends on the country)
coink  open-data  geojson  countries  zones 
november 2019 by paunit
Bigslice - cluster computing in Go
An go-centric boutique Spark clone that seems quite easy to use for simple pipeline designs
coink  distributed  golang  spark 
november 2019 by paunit
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