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Publication Name: Quantitative Finance Collector

Brief description: Quantitative Finance Collector is a blog on Quantitative finance analysis, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.

Publication URL: http://www.mathfinance.cn/

RSS Feed: http://www.mathfinance.cn/feed.php

Owner Name: Biao

Joined: July 7th, 2011

Activity

Quantitative Finance Code Collector wrote a new blog post titled Recent developments of option pricing models

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 very general and fully analytical option pricing framework, encompassing a wide class of discrete time...
(1262 days ago)

Quantitative Finance Code Collector wrote a new blog post titled Sell in May and Go Away: Evidence from China

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 effect. However, part of the puzzle is subsumed by the seasonal affective disorder effect. We then...
(1426 days ago)

Quantitative Finance Code Collector wrote a new blog post titled Performance of Trend Factor in Chinese market

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 information. We find that the average return on the trend factor is 1.61% per month, more than twice of the...
(1657 days ago)