point

 

 Remember me

Register  |   Lost password?










All site blogs

Yield Curve Prediction Week in Review 150312

April 27, 2012 by tigergb   Comments (0)

Consistent Long-Term Yield Curve Prediction: an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable, allowing us to separate clearly the tasks of estimating the volatility structure and of calibrating market prices of risk.

An Introduction to 6 Machine Learning Models: a high level summary of underlying algorithmic approach.


Backstage Wall Street: An Insider’s Guide to Knowing Who to Trust, Who to Run From, and How to Maximize Your Investments: Josh lays out in great detail what every person needs to know about what is going on today in the world of investments that are being offered to you from every broker, advisor etc that wants your money.
Tags - , , ,
Unclear about this post? Read the full post at Yield Curve Prediction Week in Review 150312 or Asking questions and receiving answers.

, , , , , , , , , , ,

200 Moving Average Week in Review 090312

April 27, 2012 by tigergb   Comments (0)

Hidden Markov model applied to FX prediction: can we use Markov Switching model for trading strategy?

3 ways to the use the 200 day moving average: 3 ways to use 200 day moving average to identify trend, slope and crossover.

Modeling Interest Rates with One Factor and Maturity-Dependent Volatility: detailed example of using Heath Jarrow and Morton (HJM) interest rate model.

Interview: Patrick Burns Quantitative Finance in R: the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing.

Multiple Factor Model – Building 130/30 Index: detailed R example how to build 130/30 Index based on the a multiple factor model.
Tags - , , , , , ,
Unclear about this post? Read the full post at 200 Moving Average Week in Review 090312 or Asking questions and receiving answers.

, , , , , , , , , , , , , , ,

Interview: Patrick Burns Quantitative Finance in R

April 27, 2012 by tigergb   Comments (0)

Patrick BurnsDr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written many papers on quantitative finance and statistics, he is also the author of the book The R Inferno and the R package BurStFin.  


Tell us a little background info about yourself. Where are you from? What’s your education background?


I was born on the edge of a wheat field in the Empty Quarter.  I made my way to Seattle for university where I received a PhD in statistics (with an emphasis on computing and a smattering of economics).  Much later I moved to London.

In graduate school one of my office mates was Robert Gentleman, who would a few years later be half of the team that originated R.


How long have you been using the R language and to what extent? What are the main reasons you choose to run analysis in R rather than other languages?


I first touched R in the early 90's when Robert came around with it on his laptop.  However I didn't seriously make the switch from S-PLUS to R until I started Burns Statistics in 2002.

A big reason I use R is because I used to be a developer of S-PLUS (R's sibling) and so I'm naturally fluent in R.

............

Tags - , , ,
Unclear about this post? Read the full post at Interview: Patrick Burns Quantitative Finance in R or Asking questions and receiving answers.

, , , , , , , , , , , , , , , , , ,

2011 Risk Manager of the Year Week in Review 010312

April 27, 2012 by tigergb   Comments (0)

LABORSTA Internet: View and download data for over 200 countries or territories from LABORSTA, an International Labour Office database on labour statistics operated by the ILO Department of Statistics, excellent!

Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach: peak-over-threshold (POT) method outperforms the transformed kernel density and the generalized extreme value block-maxima approaches to estimate Value-at-Risk.

Volatility timing and portfolio selection: How best to forecast volatility: the frequency of data used to construct volatility estimates, and the loss function used to estimate the parameters of a volatility model.

Interview: Donald R. van Deventer Risk Management: interview Donald, the Chairman and Chief Executive Officer of Kamakura Corporation, one of the 50 members RISK Magazine Hall of Fame in 2002.

The "Out of Sample" Performance of Long-run Risk Models: This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009.

GARP, 2011 Risk Manager of the Year Awarded to Aaron Brown: the 2011 Risk Manager of the Year Award to Aaron Brown, Head of Risk Management at AQR Capital Management, author of the book Red-Blooded Risk: The Secret History of Wall Street


Tags - , , ,
Unclear about this post? Read the full post at 2011 Risk Manager of the Year Week in Review 010312 or Asking questions and receiving answers.

, , , , , , , , , , , , , , , , , , , , , , , ,

Interview: Donald R. van Deventer Risk Management

April 27, 2012 by tigergb   Comments (0)

Dr. Donald R. van Deventer is the Chairman and Chief Executive Officer of Kamakura Corporation, the world's leading provider of risk management solutions. His primary financial consulting and research interests involve the practical application of leading Kamakura Corporationedge financial theory to solve critical financial risk management problems. He was elected to the 50 member RISK Magazine Hall of Fame in 2002. Dr. Donald R. van Deventer has served on the editorial board of the Journal of Credit Risk since 2005, and has written numerous papers and several books covering a wide range of risk management.  


Tell us a little background info about yourself. Where are you from? What’s your education background?


I grew up in Los Angeles and was a double major at Occidental College in mathematics and economics.  I went to Harvard University and earned my Ph.D. in business economics in 1977.  The business economics program is a joint program of the Department of Economics and the Harvard Business School.


You had worked for a few financial institutions before founding your own company, what are the advantage and disadvantage of working in a risk solution provider over in the risk management group of a big financial firm, especially for a junior?


If one has the chance to work for a very innovative firm like Kamakura, there’s the challenge and the pleasure of making the state of the art better every day.  Within large financial institutions, a junior risk analyst is often trapped using an old fashioned legacy risk system purchased years before from a mediocre vendor.  That’s bad for one’s career for two reasons.  First, you don’t learn state of the art risk management and you run the risk of turning into a risk dinosaur at a young age. Second, if the firm is not using best practice risk management, the odds of failure are high even at a large bank as we’ve seen in the last five years.


A lot of people blame Copula or Black-Scholes formula for the current financial crisis, what’s your opinion on this debate?


My partner Prof. Robert Jarrow has a nice paper on the misuse of financial models and a video on the front page of the Kamakura web site www.kamakuraco.com on exactly this topic.  Black and Scholes certainly shouldn’t be blamed if an analyst uses the Black model (which assumes interest rates are constant) to price interest rate options.  The incorrect usage of financial models is astonishingly widespread.

............

Tags - , , , , ,
Unclear about this post? Read the full post at Interview: Donald R. van Deventer Risk Management or Asking questions and receiving answers.

, , , , , , , , , , , , , , , , , , , , , , , , , ,

Identify Financial Crisis Week in Review 230212

April 27, 2012 by tigergb   Comments (0)

Econometric measures of connectedness and systemic risk in the finance and insurance sectors: We propose several econometric measures that can identify and quantify financial crisis periods, and seem to contain predictive power in out-of-sample tests.

Math: Free Courses: Get free Math courses from the world’s leading universities.

Morgan Stanley's Commodity Thermometer:
commodity thermometer
Tags - , ,
Unclear about this post? Read the full post at Identify Financial Crisis Week in Review 230212 or Asking questions and receiving answers.

, , , , , , , , ,

Option Strategies Week in Review 160212

April 27, 2012 by tigergb   Comments (0)

Stochastic Volatility Models and the Pricing of VIX Options:  this paper examines and compares the performance of a variety of continuous-time volatility models in their ability to capture the behavior of the VIX.

Finding the best distribution that fits the data: the title tells, select a best fitted distribution among dozens candidates for a given data series.

No-Hype Options Trading: Myths, Realities, and Strategies That Really Work realistic strategies to consistently generate income every month, while debunking many myths about options trading that tend to lead retail traders astray.

RStudio in the cloud, for dummies: run cloud computing version of R with RStudio, cool!

............

Tags - , , , , , ,
Unclear about this post? Read the full post at Option Strategies Week in Review 160212 or Asking questions and receiving answers.

, , , , , , , , , , ,

Stochastic Volatility Models and the Pricing of VIX Options

April 27, 2012 by tigergb   Comments (0)

Stochastic Volatility Models and the Pricing of VIX Options is written by Joanna Goard, Mathew Mazur and published in Mathematical Finance. It examines and compares the performance of several volatility models to estimate the VIX, a measure of the implied volatility of S&P 500 index options. You can get access to the paper here.

An accurate estimation of VIX is obviously important given its special role as the fear gauge, there is extensive literature trying to do so, among them, mean-reverting models are especially popular. The authors compare eight different mean-reverting models, with each having different mean reversion speed or diffusion term, specifically, they can be summarized as follows in table 2.1:
volatility mean reversion models

............

Tags - , , ,
Unclear about this post? Read the full post at Stochastic Volatility Models and the Pricing of VIX Options or Asking questions and receiving answers.

, , , , , , , , , ,

Interview: Ernest P. Chan Quantitative Trading

April 27, 2012 by tigergb   Comments (0)

Dr. Ernest P. Chan is an expert in the development and application of statistical models and software for trading currencies, futures, and stocks. He is the principal of QTS Capital Management, LLC., which manages a hedge fund as well as individual clients’ accounts. He also offers training to clients via workshops or individualized consulting to trade for themselves using Matlab. Dr. Ernest P. Chan is the author of the famous book "Quantitative Trading: How to Build Your Own Algorithmic Trading Business".

Ernest Chan quantitative trading


Tell us a little background info about yourself. Where are you from? What’s your education background?


I was born in Hong Kong, and I moved with my family to Toronto, Canada, when I was 17. I studied physics as an undergrad at U of Toronto, and received a Ph.D. in theoretical condensed matter physics from Cornell University. But after graduation, I never did any work in physics. I first worked as a researcher at IBM T. J. Watson Research Center’s Human Language Technologies group, where I designed statistical pattern recognition algorithms. Quite a few of my colleagues in that group moved on to become hugely successful algorithmic traders. (The current heads of Renaissance Technologies, Robert Mercer and Peter Brown, were both managers of that group.) After a few years, I too moved on to a career in finance, beginning at Morgan Stanley.


How long have you been as a quantitative trader? We know you had worked for a few big investment banks and hedge funds, what are the pros and cons of working as an independent traders and a manager of your own fund, instead of in a big firm?


............

Tags - , ,
Unclear about this post? Read the full post at Interview: Ernest P. Chan Quantitative Trading or Asking questions and receiving answers.

, , , , , , , , , , , , , , , , , , , , , , , , , , ,