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Week in Review 020212 Quantitative Finance

April 27, 2012 by tigergb   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 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.

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Week in Review 260112 Credit Default Swap

April 27, 2012 by tigergb   Comments (0)

Time Series Matching with Dynamic Time Warping: a follow-up post for time series matching mentioned in last week.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations: a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast of market risk.

Problems with Using CDS to Infer Default Probabilities: banking regulations and risk management decisions should not be based on CDS implied default probabilities.

Why Borrowing Rates Should Never Be Tied to Credit Default Swap Spreads: shortfall of doing so.

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Week in Review 200112 Forecast Return

April 27, 2012 by tigergb   Comments (0)

Consumer Confidence and Equity Returns: what can we learn from Michigan Consumer Confidence index to reflect future equity returns?

Time Series Matching: If history repeat itself, we can "predict" futures return. Using historical data and time series matching analysis to make an educated guess what S&P 500 will do in the next week, month, quarter. Detailed R codes are provided.

Best Practices for Programming MATLAB: List of Best Practices for Matlab coding.

Systematic Investor Toolbox: a collection of tools that we use in everyday quantitative investment research written in R.

My Life in Finance: by Eugene F. Fama.

Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?: the answer is, not surprisingly, YES.

Trend-following and Momentum Strategies in Futures Markets: momentum trading signals generated by fitting a linear trend on the asset price path maximise the out-of-sample performance while minimizing the portfolio turnover, hence dominating the ordinary momentum trading signal in literature, the sign of past return. Second, the results show strong momentum patterns at the monthly frequency of rebalancing, relatively strong momentum patterns at the weekly frequency and relatively weak momentum patterns at the daily frequency.

Forecasting with Internet Search Data: can we?


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Top 20 Movies For Business Men

April 27, 2012 by tigergb   Comments (0)

It is difficult to survive in a complicated business world without sound knowledge on economics, management, law, the ways of doing business, etc. Some top business school teaches its MBA students the knowledge, but not everyone is (indeed, only a few are) fortunate enough to enter Harvard, Stanford, or Wharton. Below is a list of top 20 movies that a business man needs to watch, some of them are even highly recommended by those business school professors. You will have a better understanding of the principles and rules of how the business world runs, it will help your career as well.

Disclaimer: the videos are embedded from Youtube uploaded by others, some are full version and others are Trailer. Please consider to buy the movies from Amazon.


1, Wall Street (1987)


wall street
A young and impatient stockbroker is willing to do anything to get to the top, including trading on illegal inside information taken through a ruthless and greedy corporate raider who takes the youth under his wing.


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Week in Review 130112 Top 25 Hedge Funds

April 27, 2012 by tigergb   Comments (0)

The Top 25 Best Performing Hedge Funds In The World: the top 25 large (more than $1 billion AUM) hedge fund performers around the world, with strategy from macro, long/short to multi.

2011 IAFE/SunGard Financial Engineer of the Year: Robert Engle Selected as the Recipient of the 2011 IAFE/SunGard Financial Engineer of the Year Award.

A "Ratings Neutral" Investment Policy: lessors learned from the current financial crisis.

Research Seminar: Optimization: learn optimization online, free ebooks downloadable.

How to Identify and Predict Bull and Bear Markets?: We compare methods based on rules with methods based on econometric models, in particular Markov regime-switching models.

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Online Option Pricing Models

April 27, 2012 by tigergb   Comments (0)

Online option calculator was shared several time before, for example, the post online derivative calculator, On-Line Options Pricing & Probability Calculators, etc. Today I came across another very clean website: online Option Pricing Models.

As the website describes:

Quotation
You can get the price (and the Greeks) of the available options by applying several methods:

- Black & Scholes model for european options and greeks calculation.
- Bjerksund & Stensland model for american options.
- Binomial model (Cox, Ross & Rubinstein, Jarrow-Rudd Risk Neutral, Tian) for american and european options.
- Shifted Lognormal model for european options.
- Partial Differential Equation (PDE) approach: Finite Difference (FD) and Radial Basis Function (RBF) methods for american and   european options.
- Monte-Carlo for digital option (Cash-or-Nothing) and european options and greeks estimation (FD and Malliavin).

Volatility models (SABR with calibration, Lognormal model, etc.) are also available.



I randomly tested the option calculators, they are working well, on top of that, the site is created by a French master student. So it is fine to give him credit with a separated post. Check it at http://pricing-option.com/Default.aspx.
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Week in Review 060112 Trading Strategy

April 27, 2012 by tigergb   Comments (0)

This week-in-review list is longer than usual since it actually covers over two weeks readings. Back to work from holiday, cheers up.

Quantpedia: The Encyclopedia of Trading Systems - turn academic research into financial profit.

PortfolioProbe: Blog year 2011 in review.

Portfolio optimization using forward-looking information: A minimum-variance strategy based on price information from a cross-section of plain-vanilla options consistently outperforms a wide range of benchmark strategies.

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes:  two simple methods to produce a feasible (i.e. real, symmetric, and positivesemidefinite) correlation matrix when the econometric one is either noisy, unavailable, or inappropriate.

Forecasting with Option Implied Information: surveys the methods available for extracting forward-looking information from option prices.

Machine Learning: enroll an online class of machine learning for free.

Collusion and CDS Dealer Volume: roughly 76-82% of all single name credit default swaps are trades between Bill Smith at Goldman Sachs and John Smith at JPMorgan or other dealer firms, should an investor take these traded prices as meaningful information?

The top 7 portfolio optimization problems: an excellent list of top 7 optimization problems we often meet and possible way to solve them.

A youtube video showing how to calculate Value at Risk of put options:

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Todays 50 Top Trending Stocks

April 27, 2012 by tigergb   Comments (0)

What does a successful trader do that an unsuccessful trader can't seem to master? They quickly find and get in and out of the winning trades with expert precision. What does this better than anyone else? Smart money of course!

Big banks and financial institutions have the capital and agility to persuade large and medium cap stocks to move in a preferred direction. It may sound like they have the upper hand, but individual traders can join them in a move and profit from the ride.

50 top trading stocksFinding where the smart money is can be similar to a shell game, so how can you find where the smart money is going to strike next? The answer is simple: You find the top trending stocks! Strong trending stocks have major volume, a clear direction, and lots of liquidity - A.K.A where the smart money is. Wouldn't it be nice to find a list of current strong trending stocks?

Now you can...for FREE! Simply click here.

MarketClub has been in the business of trend following for decades, and they are happy to announce that you can take a look at Today's Top 50 Trending Stocks now...for free! This dynamic report will compile a daily list of market movers that can make a difference in your portfolio for 2012.

It costs you nothing, and it could be the game changer you have been looking for.

It's time you started trading like the smart money, get started today for free!

Enjoy,
Adam Hewison

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New Site Feature - QA

April 27, 2012 by tigergb   Comments (0)

As some of you may notice, I added one new feature to the site: Quant Q&A, where people can ask questions and receive answers from other members of the community. You don't have to register in order to ask or answer questions. Although there are some existing quantitative finance forums or communities, I do hope it can become to be highly relevant to quantitative finance studies (from beginner level), and most importantly, provide a place for people to interact with each other.

Besides Quant Q&A, a  facebook fan page was created to allow facebook users to track and discuss the latest posts. A facebook box was also added to the right sidebar of each page on the whole blog.

Hopefully these changes facilitate us to interact and discuss more efficiently, if you feel the same way, start now by either asking a question or liking us on facebook.

Wish all of us have a fruitful new year.
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Days in Sydney

April 27, 2012 by tigergb   Comments (0)

Spent 5 days in Sydney, it was my first time to Australia, never thought it is so far away. What an isolated land: 11-hour flight from London to Shanghai, and another 11 hours from Shanghai to Sydney. It takes even longer from Sydney to America. The good side is it is away from pollution, blue sky, clean river, stark contrast with Shanghai, which is getting more terrible.

Sydney is an interesting city: it has less Chinese than I was told, I saw more British faces there than in London; people have a leisure life, bus drivers chat through window when waiting for traffic lights, which is seldom seen in UK; we can't buy beer and other alcohol easily other than in pub (my friend told me there are usually stores selling beer besides a supermarket, but I didn't find any), in contrary, buying beer is convenient in UK, quite a few small stores in a single block open till very late; the living expense is rather high, a bottle of beer is 1.5 time more expensive than that in UK after currency adjustment. As listed here, Sydney is ranked the 14th most expensive city in the world, while London is the 18th.

Happy new year, guys. I will fly back to UK 2 days later and arrive in my city at 10:30pm on 31st, December, hopefully the train will be on time for me to join the new year party.
abiao
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