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Quantitative Finance Code Collector's Blog

Recent developments of option pricing models

April 9, 2015 Comments (0)

Journal of Econometrics accepts several papers on option pricing, some are quite interesting and represent the recent developments of this field. I list them here just in case you are also interested.Smile from the Past: A general option pricing framework with multiple volatility and leverage componentsQuotationIn the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose a...

Sell in May and Go Away: Evidence from China

October 26, 2014 Comments (0)

I have co-authored a short paper with a friend in Zhejiang University, forthcoming in the Finance Research Letters, titled "Sell in May and Go Away: Evidence from China".QuotationUsing the Chinese stock market data from 1997 to 2013, this paper examines the “Sell in May and Go Away” puzzle first identified by Bouman and Jacobsen (2002). We find strong existence of the Sell in May effect, robust to different regression assumptions, industries, and after controlling for the January or February...

Performance of Trend Factor in Chinese market

March 10, 2014 Comments (0)

Han, Y.F., and Zhou, G.F. have an interesting working paper on the performance of a trend factor they proposed:QuotationIn this paper, we propose a trend factor to capture cross-section stock price trends. In contrast to the popular momentum factor constructed by sorting stocks based on a single criterion of past year performance, we form our trend factor with a cross-section regression approach that makes use of multiple trend indicators containing daily, weekly, monthly and yearly...

A simple strategy between A-shares and H-shares

February 2, 2014 Comments (0)

A similar article was posted at the sub-personal blog before and I paste it here in case someone is interested.At the moment there are 84 firms listed at both A (Shanghai and Shenzhen) and H (Hongkong) stock markets, according to the law of one price, the stock prices of these firms should be at similar level. However, there are huge differences, without considering exchange rate (1 RMB = 1.28 HK$), the ratio of the price in A market to the price in H market for a same firm is as low as 52.72%...

Thinknum Platform

January 22, 2014 Comments (0)

Justin, the founder of Thinknum, contacted me a few days ago about his site, I am very glad to share on this blog since it looks interesting and close related to the blog content.  Thinknum is a web platform that enables investors to collaborate on financial analysis, it aggregates the abundance of financial data and insights on the web and presents it to our users in an intuitive format, indexing the world’s financial information in the process.A few samples of what you can do on...

Bloomberg Businessweek 15% Off Coupon

January 3, 2014 Comments (0)

Bloomberg Businessweek, commonly and formerly known as BusinessWeek, is a weekly business magazine published by Bloomberg L.P. Founded in 1929, the magazine was created to provide information and interpretation about what was happening in the business world. BusinessWeek was first published in September 1929, only weeks before the stock market crash of 1929. The magazine provided information and opinions on what was happening in the business world at the time. Early sections of the magazine...

Time-Varying Fund Manager Skill

July 27, 2013 Comments (0)

Another interesting paper forthcoming in Journal of Finance investigates the stock picking and market timing abilities of mutual fund managers. QuotationWe propose a new definition of skill as a general cognitive ability to either pick stocks or time the market at different times. We find evidence for stock picking in booms and for market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers...

European Option Price with Excess Skewness and Kurtosis

May 10, 2013 Comments (0)

Stock returns however exhibit nonormal skewness and kurtosis as pointed out by Hull (1993) and Nattenburg (1994). Moreover, the volatility skews are a consequence of the empirical normality assumption violation. For this reason, Corrado and Su (1996) extend the Black-Scholes formula to account for nonnormal skewness and kurtosis in stock returns.This package calculates the European put and call option prices using the Corrado and Su (1996) model. This method explicitly allows for excess...

Liquidity-Driven Dynamic Asset Allocation

May 1, 2013 Comments (0)

A paper published in The Journal of Portfolio Management, 2013, 39 (3), pp 102-111, by James X. Xiong, Rodney N. Sullivan, and Peng Wang. QuotationWe propose a model of portfolio selection that adjusts an investors’ portfolio allocation in accordance with changing market liquidity environments and market conditions. We found that market liquidity provides a useful “leading indicator” in dynamic asset allocation. Specifically, market liquidity risk premium cycles anticipate economic and market...

Mutual Funds R2 as Predictor of Performance

February 15, 2013 Comments (0)

Improving the accuracy of mutual funds' performance prediction is an interesting and endless topic. A paper published in Review of Financial Studies by Amihud and Goyenko (2013) No. 26 (3) investigates this issue at a new angle: Lower R2 indicates greater selectivity, and it significantly predicts better performance. Nice.QuotationWe propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multifactor benchmark model. Lower R2 indicates greater...