The two sigma problemBy Neuberger Berman
TheTwoSigmaProblem
A value strategy that accounts for the intangibles in a stock’s fundamental value is expected not to exhibit any regime change as exhibited by the book-to-price based value strategy. In the accompanying white paper, we show that a value strategy based on earnings yield—a value measure that...
in stressed times, liquidity becomes paramount, and the cash bond is suddenly an illiquid cash hog relative to the liquid future, and the two instruments are no longer
We study the connection between the UCT problem and Cartan subalgebras in C*-algebras. The UCT problem asks whether every separable nuclear C*-algebra satisfies the UCT, i.e., a noncommutative analogue of the classical universal coefficient theorem from algebraic topology. This UCT problem is one...
被指控下载数千行代码的高盛程序员谢尔盖·阿莱尼科夫(Sergey Aleynikov)在六年的辗转反复中,最终再次被定罪。尽管被判刑八年,他服刑一年后就于2012年被释放。在另一起案件中,被指控从纽约的Two Sigma Investments LP偷窃的中国籍量化交易员被判刑10个月。他在服完刑后不久就飞回了家。
This model relaxes the strict assumption in the EKC model that Y and EP are directly corresponding, and also overcomes the problem of Tapio decoupling that only considers the relative change relationship between the two. Through this division, we can clearly and accurately classify countries with si...
A solution to the market making problem 链接:arxiv.org/abs/1105.3115 一、简介: 从量化的角度来看,市场微观结构可以看作是市场参与者之间一系列的竞价博弈。它实现了供需之间的平衡,形成了一个用于估值的均衡交易价格。每场竞价博弈的规则(如定盘拍卖、连续拍卖等)由运营每个交易场所的公司决定。然而,大多数电子...
Problem Setup 数据:(x,y)∈Rd×R, 模型:两层神经网络,hidden layer宽度为N, ,y^(x,θ)=1N∑i=1Nσ∗(x,θi),θi∈RD. 如,常见的两层ReLU全连接神经网络可以表示为 σ∗(x,θi)=aiσ(⟨wi,x⟩+bi),θi∈Rd+2. 损失函数:square loss ℓ(y^,y)=(y−y^)2,理论关心的true er...
Ken Feldman, PhD, is a Lean Six Sigma (LSS) Master Black Belt and Principal Consultant at Optec Consulting. He has more than 50 years of experience helping organizations improve quality and performance in a wide variety of diverse industries. ...