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Quantitative Finance Code Collector's Blog

Recovering Index Implied Volatility Skew Week in Review

June 12, 2012 Comments (0)

General publication strategies: advice on paper publication, especially for early stage researchers.New Book Fore­cast­ing: prin­ci­ples and practice: a free online book on forecasting with a fore­cast pack­age for R by Rob J Hyn­d­man and George Athana­sopou­los.It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification: we develop 2 new methods of mean-variance portfolio selection (volatility timing and reward-to-risk timing) that deliver portfolios...

Option pricing models implemented in AirXCell

June 10, 2012 Comments (0)

AirXCell is an online R application framework currently supporting a programmable spreadsheet, an R development environment and various financial calculation forms.A new calculation form has been implemented recently within AirXCell for financial option pricing (option valuation). The option pricer within AirXCell enables the user to compute theoretical option prices. It already offers an extended set of basic and exotic models (about a dozen) than enables the user to price a wide range of...

New Illiquidity Measure Week in Review

May 21, 2012 Comments (0)

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...

Forecast Expected Return Week in Review

May 10, 2012 Comments (0)

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...

Infographic: The Worlds Richest Hedge Fund Managers Exposed

May 8, 2012 Comments (0)

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...

First International Conference on Futures and other Derivative Markets

May 2, 2012 Comments (0)

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...

Risk Management Week in Review 020512

May 2, 2012 Comments (0)

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...

Infographic: Is the Black Scholes Model Responsible for the Credit Crunch

April 24, 2012 Comments (0)

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...

Top Hedge Fund in London Week in Review

April 20, 2012 Comments (0)

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...

Week in Review 020212 Quantitative Finance

April 18, 2012 Comments (0)

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...