Undoubtedly, the pension systems are in a crisis. Corporations, governments and regulators need to adopt new approaches before individuals are left alone with their pension and healthcare planning. An increasing dependency ratio (ratio of pensioners versus workers) has forced governments to decrease their retirement benefits; while at the same time corporate pension schemes have disappointed with their low returns (not to speak about their deficits) due to their current financial planning. The...

This white paper introduces Markowitz mean-variance model with a general overview and sets out to explain why and how the finance industry has fully embraced this as method of choice for portfolio planning. The main focus of the white paper is to bring out many aspects of the portfolio planning problem which are addressed by enhanced mean-variance models that meet the growing requirements of the finance industry. Portfolio analysis is a leading issue with fund managers who apply such models in...

OptiRisk Systems in collaboration with UNICOM Seminars Ltd is pleased to bring to you its series of yearly events on Hidden Markov Models, Interest Rate Modeling, Portfolio Analysis and Asset Liability Management. The workshops are delivered by subject experts and provide valuable tools and fresh thinking that can be applied to industry. Following are the events which are jointly organised by OptiRisk Systems, CARISMA, and Fraunhofer ITWM and most of these carry CFA PDUs. 1)      Application of...

Reblogged from Cisco Blog In recent years, the financial industry has witnessed a revolution. To discuss, debate, and seek a bit of consensus on the crucial issues impacting the industry, I met earlier this year in New York with a team of experts at the Electronic Trading Innovation Council. For the event, Cisco partnered with the founders of the council, Julio Gomez and Clay Booma. I was joined by my Cisco colleagues Aron Dutta, co-managing director for financial markets, Cisco IBSG; Chris...

Past research has looked at the sentiment on Twitter to predict stock price, but until now little research has focused on the volume of tweets and the way tweets are linked. Reblogged from Wall Street & Technology Researchers have developed a model that uses data from Twitter to help predict the traded volume and value of a stock the following day. While past research has looked at the sentiment, positive or negative, of tweets to predict stock price, little research has focused on the...

Continuing the Debate from The Economist An  interesting write-up from Abnormal Returns One of the persistent themes on Wall Street is that investing strategies go in and out of favor on a regular basis.  Oftentimes this has to do with the performance of the strategies, sometimes based on the structure of markets and always having to do with the media hype surrounding a strategy.  Most strategies that reach the level of public consciousness are likely. The fact of the matter is that even the...

The debate hosted by The Economist For the Motion Jim Overdahl Vice-president, Securities and Finance Practice, National Economic Research Associates High-frequency trading has improved the overall quality of markets. Trading costs are lower, markets are deeper and more liquid, discrepancies in prices across related markets are reduced, and prices better reflect information about the value of stocks and commodities. Against the Motion Seth Merrin Founder and CEO, Liquidnet High-frequency...

Reblogged from GigaOm IBM’s Jeopardy-playing supercomputer Watson is now getting a gig in the retail banking sector as part of an IBM partnership with Citi. This is in addition to its position as a diagnostic assistant for doctors. But the many careers of Watson aren’t just a fun story for the tech press; they illustrate a very big technological and business opportunity for companies like IBM and Microsoft — the rendering of big data into human scale. For Citi, Watson will be used by retail...

Algorithmic Trading, Investment, by Haksun Li. Thank you Lewis for introducing me to the field of “Quantitative Equity Portfolio Management”. It opens my eyes to the other spectrum of “Quantitative Trading.” Apparently what Lewis considers quantitative trading is very different from what I consider quantitative trading. I call the former an economist approach and the latter a mathematician approach. This blog piece does a very brief comparison and points out some new research directions by...

- By Michael Sun In an article “Sentimental education” published in the The Trade, Issue 24, April to June 2010, Professor Gautam Mitra, Director of OptiRisk Systems, was interviewed and argued that “ News data can give alternative investment managers advantages of speed, scope and better risk control than models driven purely by market data. Portfolio models essentially can take more factors into account and respond more reliably with this additional perspective to drive correlations. The...