How Home Assistant Protects Against Missile Strikes
Plus, more links to make you a little bit smarter today.
I Made A Fundraiser For My Upcoming Book
Your Culture Decides Your Fate
I used to think that individualism was the absolute best thing, and that any culture who didn’t practice individualism just happened to not know how individualism worked. Then I met the Chinese.
How Home Assistant Protects Against Missile Strikes
In 2022, Russia launched a full-scale invasion of Ukraine, waging a genocidal war against my country. Ukraine is being hit by all types of weapons (except nuclear) daily. Home Assistant helps me stay safe and notifies me about incoming threats.
Diffusion Models
Notes on the theory behind models like Stable Diffusion and their applications.
Optimal Market-Neutral Multivariate Pair Trading on the Cryptocurrency Platform
This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a “bucket” of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To address quantitative conflicts from multiple trading signals, a novel bi-objective convex optimization formulation is designed to balance investor preferences between profitability and risk tolerance. We understand that cryptocurrencies carry significant financial risks. Therefore this process includes tunable parameters such as volatility penalties and action thresholds. In experiments conducted in the cryptocurrency market from 2020 to 2022, which encompassed a vigorous bull run followed by a bear run, the OTT achieved an annualized profit of 15.49%. Additionally, supplementary experiments detailed in the appendix extend the applicability of OTT to other major cryptocurrencies in the post-COVID period, validating the model’s robustness and effectiveness in various market conditions. The arbitrage operation offers a new perspective on trading, without requiring external shorting or holding the intermediate during the arbitrage period. As a note of caution, this study acknowledges the high-risk nature of cryptocurrency investments, which can be subject to significant volatility and potential loss.
Risk measurement of joint risk of portfolios: a liquidity requirement aspect
This paper presents a novel axiomatic framework of measuring the joint risk of a portfolio consisting of several financial positions. We construct a distortion-type risk measure to measure the joint risk of portfolios, which we referred to as distortion joint risk measure, representing the liquidity requirement caused by the joint risk of portfolios. After its fundamental properties have been studied, we axiomatically characterize it by proposing a novel set of axioms. Furthermore, based on the representations for distortion joint risk measures, we also propose a new class of vector-valued distortion joint risk measures. Their fundamental properties are also investigated. It turns out that this new class is rich enough, as it can not only induce new vector-valued multivariate risk measures, but also recover some popular vector-valued multivariate risk measures known in the literature. Examples are given to illustrate the proposed distortion joint risk measures. This paper mainly gives some theoretical results, helping one to have an insight look at the measurement of joint risk of portfolios.