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Next Dates: - Introduction to QuantLib Development with Luigi Ballabio, September 2 - 4, 2013 - £1700
REVISION: Alpha Representation for Active Portfolio Management and High Frequency Trading in Seemingly Efficie
Sat, 05 May 2012 01:36:47 GMT
We introduce an asymptotic theory of portfolio performance evaluation via a trade strategy representation theorem for high frequency trading, by embedding a trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor [linear] asset pricing model. Our model produced several new results. First, we introduce a spectral test for market timing based on design matrix transformation. Second, we find that the trade strategy process is a local martingale with a ba
