paper request

tbretagn · Post by **tbretagn** » Fri Nov 16, 2018 9:30 am

@frolloos would it be possible to get it was well? thanks T

frolloos · Post by **frolloos** » Mon Nov 19, 2018 3:54 am

Sent.

purbani · Post by **purbani** » Thu Nov 29, 2018 8:11 am

Does anyone have a soft copy of T. Guida and G. Coqueret, “Machine learning in systematic equity allocation: a model comparison,”

tbretagn · Post by **tbretagn** » Tue Dec 04, 2018 12:36 pm

Would anyone have the latest JPM AI and ML report? really curious to see if they have actually checked the results this year. Thx

nikol · Post by **nikol** » Tue Dec 04, 2018 5:43 pm

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 · Post by **Alfa** » Tue Jan 01, 2019 10:05 pm

Anyone familiar with a paper from DB Research titled "Signal Processing: The options issue" (2010)?

bullero · Post by **bullero** » Fri Feb 22, 2019 10:50 am

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 · Post by **nikol** » Fri Feb 22, 2019 2:06 pm

Is it the one you are looking at?

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

bullero · Post by **bullero** » Fri Feb 22, 2019 5:10 pm

@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 · Post by **contango_and_cash** » Sat Mar 09, 2019 9:53 pm

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?