NuclearPhynance Archive

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

Sent.

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

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

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

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

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?

Is it the one you are looking at?





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

@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".

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?