Remember me

Register  |   Lost password?

All site blogs

New Illiquidity Measure Week in Review

May 21, 2012 by tigergb   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 performance of a risk model. We show that the Risk Map can be used to validate market, credit, operational, or systemic risk estimates (VaR, stressed VaR, expected shortfall, and CoVaR) or to assess the performance of the margin system of a clearing house.

Deviations from Put-Call Parity and Stock Return Predictability: Deviations from put-call parity contain information about future returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 51 basis points per week.

Nassim Taleb on the J.P.Morgan Trading Loss: Nassim Taleb interviewed on the J.P.Morgan Trading Loss (May 2012).

Tags - , , , , ,
Read the full post at New Illiquidity Measure Week in Review.

, , , , , , , , ,

RF Considerations in High Frequency Trading Architectures

May 21, 2012 by mikeohara   Comments (0)

Many financial trading firms have recently discovered wireless as an excellent transmission medium for executing their critical trades at extremely low latency compared to their fiber connections.  Some firms are actively installing wireless networks but will they see the promised latency results they are expecting?  At NeXXCom Wireless we look at the network holistically meaning, not just the latency through the RF channel.  Our recently released white paper explores all the considerations that should be evaluated when selecting the proper RF technology platform and provider in order to avoid hidden or unplanned latencies.  


, , , , , , , , ,