Noise as Information for Illiquidity: We propose a measure of liquidity for the overall financial market by exploiting its connection with the amount of arbitrage capital in the market and observed price deviations in US Treasuries.The Risk Map: A New Tool for Validating Risk Models: This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the...

Alpha Generation and Risk Smoothing using Volatility of Volatility: We put forward a framework that produces a formulain which returns become a function of volatility and therefore become somewhat morepredictable. We show that this strategy produces excess returns giving us the upside of leverage without the downside.The Cross Section of Expected Returns with MIDAS Betas: This paper employs mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with...

Just how much do the Worlds richest hedge fund managers make? This infographic explores who earned the most last year and just what a millionaire hedge fund manager looks like. It uncovers the truth about how many women are in the upper leagues of hedge fund management and breaks down the elite group by age revealing what the typical millionaire manager is like.Many people grossly mis-estimate just how much hedge fund managers make, often quoting celebrities they assumed to of earned more. The...

My colleague forwarded this email to me, I guess some of you may be interested.First International Conference on Futures and other Derivative Markets15-16 October 2012 Beihang University, Beijing, China________________________________________CALL FOR PAPERSThe Shanghai Futures Exchange, Beihang University and Renmin University of China are jointly organizing a conference on the topic of futures and other derivative markets. This conference aims to join academics and business economists to...

A Review of Volatility and Option Pricing: a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility.Read Big Text Files Column by Column: use a new R package "colbycol" to read big data column by column in R to partly overcome memory issue.Forecasting Yield Curves with Survey Information:  could this information-rich supplementary data be used to improve the interest rate forecasting models for...

There is a large debate on whether we should blame the Black Scholes model for the credit crisis, for example, Guardian publishes an article "The mathematical equation that caused the banks to crash" discussing the issue that the Black-Scholes equation was the mathematical justification for the trading that plunged the world's banks into catastrophe. Should we? I don't think so, the black scholes is just a weapon, it is the person who use it improperly should be blamed instead. This infographic...

A Generalized Measure of Riskiness: a generalized options’ implied measure of riskiness based on the risk neutral return distribution of financial securities is able to provide asset allocation implications and successfully predict the cross section of 1-, 3-, 6-, and 12-month ahead risk-adjusted returns of individual stocks. Identifying financial crises in real time: we develop a new measure to study the behavior of stochastic time series, which permits to distinguish events which are different...

A Sea Change in Quantitative Finance: thoughts on P - Q Convergence in Quantitative Finance.An Alternative Three-Factor Model: A new factor model consisting of the market factor, an investment factor, and a return-on-equity factor reduces the magnitude of the abnormal returns of a wide range of anomalies-based trading strategies.People of Quant Research: a list of influential people in academy 257f on Quantitative Finance research.What Strategy Worked in 2011: what might cause the different...

A Sea Change in Quantitative Finance: thoughts on P - Q Convergence in Quantitative Finance.An Alternative Three-Factor Model: A new factor model consisting of the market factor, an investment factor, and a return-on-equity factor reduces the magnitude of the abnormal returns of a wide range of anomalies-based trading strategies.People of Quant Research: a list of influential people in academy on Quantitative Finance research.What Strategy Worked in 2011: what might cause the different...

Developed by George Lane in the 1950s, the Stochastic Oscillator is one of the most popular stock trading indicators, that provide good signals in many Forex pairs, stocks and commodities. In this article we will describe how to profit with it and catching bottoms and tops.First of all it is important to understand the formula of the Stochastic Oscillator:Main Stochastic (%K) = 100 * (Closing Price - Lowest Close of Last 5 Bars) / (Highest High of Last 5 Bars - Lowest Close of Last 5...