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Quantitative Finance Collector is a blog on Quantitative finance analysis, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.
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Week in Review 020212 Quantitative Finance
Thu, 02 Feb 2012 10:28:35 GMT
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 performance of funds in 2011, is it due to trading strategies?
Bloomberg Open Market Data: Now you can adopt Bloomberg's market data interfaces without cost or restriction.
Kalman Filtering in R: Pros and Cons of existing R packages for Kalman Filtering.
Volatility-responsive asset allocation: a volatility-responsive asset allocation policy can lead to a more consistent outcome and a better trade-off between risk and return.
China, Merkel and Euro: Merkel knocks at China's door, with poor Euro.
Tags - quant , factor , strategy , bloomberg , kalman-filter , allocation
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