Mathematical finance

Alpha Profiling

Alpha profiling is an application of machine learning to optimize the execution of large orders in financial markets by means of algorithmic trading. The purpose is to select an execution schedule that minimizes the expected implementation shortfall, or more generally, ensures compliance with a best execution mandate.Alpha profiling models learn statistically-significant patterns in the execution of orders from a particular trading strategy or portfolio manager and leverages these patterns to associate an optimal execution schedule to new orders. In this sense, it is an application of statistical arbitrage to best execution. For example, a portfolio manager specialized in value investing may have a behavioral bias to place orders to buy while an asset is still declining in value. In this case, a slow or back-loaded execution schedule would provide better execution results than an urgent one. But this same portfolio manager will occasionally place an order after the asset price has already begun to rise in which case it should best be handled with urgency; this example illustrates the fact that Alpha Profiling must combine public information such as market data with private information including as the identity of the portfolio manager and the size and origin of the order, to identify the optimal execution schedule. (Wikipedia).

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What is z alpha / 2?

Simple definition of z a/2, how to find it with a confidence level table, z-table or a TI-83.

From playlist z-test

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Beta Function - Integral Representation Derivation

Today, we derive the integral representation for the Beta function. We will be using this result in a future video to prove the Euler reflection formula!

From playlist Integrals

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Lesson: One Sample Hypothesis Testing

This video introduces 1 sample hypothesis testing and provides an example of a z-test.

From playlist Hypothesis Testing with One Sample

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What is an Alpha Level?

How an alpha level relates to Type 1 errors and the null hypothesis.

From playlist Hypothesis Tests and Critical Values

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Live from the ATLAS Experiment

Find out more about the ATLAS Experiment and recent upgrades of the detector.

From playlist 360° videos

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Maximum Likelihood Estimation Examples

http://AllSignalProcessing.com for more great signal processing content, including concept/screenshot files, quizzes, MATLAB and data files. Three examples of applying the maximum likelihood criterion to find an estimator: 1) Mean and variance of an iid Gaussian, 2) Linear signal model in

From playlist Estimation and Detection Theory

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Mod-04 Lec-31 Dominated Actions and Iterated Elimination

Game Theory and Economics by Dr. Debarshi Das, Department of Humanities and Social Sciences, IIT Guwahati. For more details on NPTEL visit http://nptel.iitm.ac.in

From playlist IIT Guwahati: Game Theory and Economics | CosmoLearning.org Economics

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Mod-04 Lec-30 Characterisation of Mixed Strategy Equilibrium

Game Theory and Economics by Dr. Debarshi Das, Department of Humanities and Social Sciences, IIT Guwahati. For more details on NPTEL visit http://nptel.iitm.ac.in

From playlist IIT Guwahati: Game Theory and Economics | CosmoLearning.org Economics

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Hydrodynamics for symmetric exclusion in contact with reservoirs. - CEB T2 2017 - Goncalves - 3/3

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From playlist 2017 - T2 - Stochastic Dynamics out of Equilibrium - CEB Trimester

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QRM 5-1: Tails in Data - MS Plot and Concentration Profile

Welcome to Quantitative Risk Management (QRM). Let us continue our discussion about the graphical tools we can use to study tails. We will consider the very useful Max-to-Sum (MS) plot, able to tell us something about the existence of moments, and the Concentration Profile, another way of

From playlist Quantitative Risk Management

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Nader Masmoudi - 4/4 Inviscid Limit and Prandtl System

One of the main open problems in the mathematical analysis of fluid flows is the understanding of the inviscid limit in the presence of boundaries. In the case of a fixed bounded domain, it is an open problem to know whether solutions to the Navier-Stokes system with no slip boundary condi

From playlist Nader Masmoudi - Inviscid Limit and Prandtl System

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Hydrodynamics for symmetric exclusion in contact with reservoirs. - CEB T2 2017 - Goncalves - 2/3

Patricia Goncalves (Instituto Superior Técnico, Lisboa) - 23/05/17 Hydrodynamics for symmetric exclusion in contact with reservoirs. In the first lecture I will discuss the notion of hydrodynamic limit and as example we will present the proof for the symmetric simple exclusion process in

From playlist 2017 - T2 - Stochastic Dynamics out of Equilibrium - CEB Trimester

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This test was based on NightHawkinLight's formula of Starlite.

From playlist NightHawkInLight Community Video Responses!

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Quasi-static hydrodynamic limits by Stefano Olla

DISCUSSION MEETING : HYDRODYNAMICS AND FLUCTUATIONS - MICROSCOPIC APPROACHES IN CONDENSED MATTER SYSTEMS (ONLINE) ORGANIZERS : Abhishek Dhar (ICTS-TIFR, India), Keiji Saito (Keio University, Japan) and Tomohiro Sasamoto (Tokyo Institute of Technology, Japan) DATE : 06 September 2021 to 1

From playlist Hydrodynamics and fluctuations - microscopic approaches in condensed matter systems (ONLINE) 2021

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On fourth order PDEs modeling electro-static Micro-ElectroMechanical Systems

Nassif Ghoussoub (University of British Columbia). Plenary Lecture from the 1st PRIMA Congress, 2009. Plenary Lecture 9. Abstract: You can view the abstract for this talk here: http://prima2009.maths.unsw.edu.au/plenarylectures/PRIMA2009-Ghoussoub-abstract.pdf

From playlist PRIMA2009

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Singularity formation in incompressible fluids - Tarek Elgindi

Workshop on Recent developments in incompressible fluid dynamics Topic: Singularity formation in incompressible fluids Speaker: Tarek Elgindi Affiliation: Duke University Date: April 04, 2022 I will give a review of recent progress on finite-time singularity formation in incompressible f

From playlist Mathematics

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The Beta Function: Deriving its TRIGONOMETRIC EQUIVALENT!

Help me create more free content! =) https://www.patreon.com/mathable Merch :v - https://teespring.com/de/stores/papaflammy https://www.amazon.com/shop/flammablemaths https://shop.spreadshirt.de/papaflammy Outtake: https://youtu.be/7OnsKwFC_FM Beta Int

From playlist Integrals

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