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Free Webinar - Luigi Ballabio on QuantLib Development - July 13th, 10am BST

 

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FINalternatives wrote a new blog post titled Q&A: Reg A+ Will Transform the Alternative Asset Landscape
In addition to easing capital formation for small companies, Regulation A+ has enormous implications for the alternatives industry by taking illiquid assets and bringing them to the masses through securitization. Dara Albright, co-founder of the upcoming FinFair Conference, explains why. read more
2 hours ago
FINalternatives wrote a new blog post titled Lyxor White Paper: Hedge Funds Could Return 5-6% in Annual Excess Return
A new white paper from Lyxor Asset Management studied the key drivers of hedge fund performance under three potential long-term macroeconomic scenarios and estimates hedge funds could deliver annual excess returns of 5-6% above the 3-month LIBOR rate, with low volatility, over the next five years. read more
3 hours ago
The Reformed Broker wrote a new blog post titled Barry Ritholtz interviews Leon Cooperman
Lee Cooperman is one of the nicest, most sincere people I've met in this industry. ...
3 hours ago
FINalternatives wrote a new blog post titled SocGen's Oudea: Bank Retreat From Market Making To Continue, Raising Liquidity Concerns
Tougher rules and higher expenses will continue to drive banks out of the market making business, potentially leading to liquidity and price discovery problems, according to Societe Generale CEO Frederic Oudea. read more
3 hours ago
FINalternatives wrote a new blog post titled Burcham Promoted to MD at Levine Leichtman
Levine Leichtman Capital Partners has promoted David Burcham to managing director.  read more
4 hours ago
FINalternatives wrote a new blog post titled Elliott Takes Stakes in Samsung C&T Shareholders as Merger Motions Denied
The efforts of activist hedge fund Elliott Associates to block a merger between Samsung C&T and a holding company controlled by the Samsung founding family have been hit with another blow. read more
4 hours ago
FINalternatives wrote a new blog post titled Santander Names Salas Global Head of Institutional Sales
Santander Asset Management has hired Ileana Salas as global head of institutional sales. read more
5 hours ago
The Reformed Broker wrote a new blog post titled The Riskalyze Report: Advisors buy the EM sell-off
At the request of so many investment advisors, my friends at Riskalyze share the big trends in the assets going into and coming out of advisor portfolios every week. The underlying data is aggregated from hundreds of thousands of client accounts across the $44 billion and counting that advisors manage on the Riskalyze platform*. I......
5 hours ago
FINalternatives wrote a new blog post titled HFR: Hedge Funds Dip 1.24% in June, Remain Up 1.27% YTD
Hedge funds dealt with declines in global financial markets during June, exacerbated by heightened volatility and geopolitical concerns in Greece and tempered somewhat by gains in agricultural commodities, according to the latest data from Hedge Fund Research. read more
5 hours ago
FINalternatives wrote a new blog post titled Feig To Leave Fortress; Novogratz to Become Sole CIO of Macro Fund
Jeff Feig has stepped down as co-chief investment officer of Fortress Investment Group’s $2.8 billion macro fund after less than a year with the firm. read more
5 hours ago
The Reformed Broker wrote a new blog post titled We’re below the S&P 500’s 200-day moving average.
The S&P 500 has taken out its 200-day moving average to the downside on an intra-day basis as of this writing. The index finished out last month just above this key level of supply/demand by pennies, but we’ve been flirting with it all year as stocks have gone nowhere and the trendlines have flattened. As......
7 hours ago
Wealth and Capital Markets Blog wrote a new blog post titled A vital utility in the OTC derivatives industry
Leading OTC derivatives industry participants including banks and post-trade services providers are backing the creation of an creating an OTC post-trade infrastructure utility. This hub will help automate the margin management in the industry and is also expected to reduce the disputes around margining. Until recently, moving important functions to utilities was often frowned upon. In several instances, firms showed reluctance to participate in a utility unless there was evidence of widespread acceptance of its services. But now factors such as regulatory requirements and the need to cut...
10 hours ago
The Reformed Broker wrote a new blog post titled Hot Links: All Hell Breaks Loose
What I'm reading this morning ...
11 hours ago
The Psy-Fi Blog wrote a new blog post titled Bitcoin Bugs' Belief
Bitcoin Bugs From time to time something odd happens to the gold price – it goes down. This is usually a shock to the advocates of anti-fiat money who’ve been squirreling away the shiny stuff against the inevitable day when nation states collapse. They get quite cross when they discover that the said nation states may in fact be flogging their gold at historically high prices and driving the price down. Apparently the thought that countries might resist collapsing hadn’t occurred to the gold bugs. In the meantime we’re seen the rise of Bitcoin, one of a number of cryptocurrencies that offer...
11 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Estimation of integrated quadratic covariation between two assets with endogenous sampling times. (arXiv:1507.01033v1 [q-fin.ST])
When estimating integrated covariation between two assets based on high-frequency data,simple assumptions are usually imposed on the relationship between the price processes and the observation times. In this paper, we introduce an endogenous 2-dimensional model and show that it is more general than the existing endogenous models of the literature. In addition, we establish a central limit theorem for the Hayashi-Yoshida estimator in this general endogenous model in the case where prices follow pure-diffusion processes.
22 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Impact of dependence on some multivariate risk indicators. (arXiv:1507.01175v1 [math.PR])
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous paper [17] we proved that the proposed allocation technique satisfies a set of coherence axioms. In the present one, we study the properties and asymptotic behavior of the allocation for some distribution models. We analyze also the impact of the dependence structure on the allocation using some copulas.
22 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Tightness and duality of martingale transport on the Skorokhod space. (arXiv:1507.01125v1 [math.PR])
The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhedging of exotic derivatives in financial mathematics, which turns out to be the corresponding Kantorovich dual. In this paper we consider the continuous-time martingale transport on the Skorokhod space of cadlag paths. Similar to the classical setting of optimal transport, we introduce different dual problems and establish the corresponding dualities by a crucial use of the S-topology and the dynamic programming...
22 hours ago
All About Alpha wrote a new blog post titled SCOTUS on Copyright Means a Win for Fences: Loss for the Noosphere
An idea for the hierarchical design of a platform's APIs, and a particular expression of that idea, walk into a bar. What's the punch line?
22 hours ago
Wealth and Capital Markets Blog wrote a new blog post titled The Ascendance of the B2B Robo
Automated investment advisory is increasingly a B2B business. The trend towards an institutional model reflects the high cost of customer acquisition inherent in the direct to consumer approach, as well as the increasing seriousness with which RIAs, brokers, and other incumbents take the automated investment phenomenon. I talk about the blending of robo and real life in a past post. Basically, the institutional model has taken three forms: A build out from an existing non-discretionary platform. See Schwab’s Intelligent Portfolios and TradeKing Advisors as examples. Automation for the...
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