Quantitative Finance Collector

QuantShare Trading Software

Sat, 04 Feb 2012 11:19:22 +0000

The manager of QuantShare has contacted me about this software, after several days trial I feel it may be of interest to some of you so I post a short introduction here.

QuantShare is a new technical/fundamental analysis software available since only few months.

The sharing server is what makes QuantShare apart from anything else. It is a place where users can share their trading systems, indicators, downloaders, custom drawing tools...

If you need intraday data for futures, simply search for a downloader in the sharing server and chances are you will find one already implement by a member of the community. There are more than 800 items there and this number keeps increasing every day.

Besides, the sharing server, QuantShare has an impressive number of tools (Charting, Simulator, Composite, Genetic Algorithm, Neural Network ...).

The simulator for example allows you to create trading systems and backtest them very easily. The money management tool can be used in case you want to implement strategies that are more advanced. Once your system is ready, the Portfolio tool allows you to generate buy and sell orders automatically using the trading system rules.

It is also possible to include composites, fundamental data, news data and anything that can be quantified in your system.

Click here to get a free QuantShare Trading Software trial.

Tags - trading , software
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Week in Review 020212 Quantitative Finance

Thu, 02 Feb 2012 16:54:27 +0000

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.

Volatility-responsive asset allocation: a volatility-responsive asset allocation policy can lead to a more consistent outcome and a better trade-off between risk and return.

China, Merkel and Euro: Merkel knocks at China's door, with poor Euro.

Tags - quant , factor , strategy , bloomberg , kalman-filter , allocation
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Week in Review 260112 Credit Default Swap

Thu, 26 Jan 2012 11:21:02 +0000

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.

Systematic Risk and the Cross-Section of Hedge Fund Returns: systematic risk is a powerful determinant of the cross-sectional differences in hedge fund returns.

Returns of the dragon: stock market returns and the Chinese zodiac.

Tags - allocation , extreme , risk , cds , hedge-fund
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Week in Review 200112 Forecast Return

Thu, 19 Jan 2012 11:26:41 +0000

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?

Euro Zone Debt Crisis in Graphics: Fourteen graphs showing what's happened in Euro zone.

How to Get Published in Academic Journals

How to get Published from Taylor & Francis on Vimeo.

Tags - confidence , history , match , matlab , quant , strategy , euro , crisis , google , forecast
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Top 20 Movies For Business Men

Mon, 16 Jan 2012 21:34:20 +0000

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)

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.

2, Glengarry Glen Ross (1992)

An examination of the machinations behind the scenes at a real estate office. A story for everyone who works for a living.

3, Trading Places (1983)

A snobbish investor and a wily street con artist find their positions reversed as part of a bet by two callous millionaires.

4, Boiler Room (2000)

A college dropout gets a job as a broker for a suburban investment firm, which puts him on the fast track to success, but the job might not be as legitimate as it sounds.

5, Pirates of Silicon Valley (1999)

The film documents the impact on the development of the personal computer of the rivalry between Apple Computer and Microsoft. It spans the time period of the early 1970s to 1997, when Steve Jobs (Noah Wyle) and Bill Gates (Anthony Michael Hall) develop a partnership after Jobs returns to Apple Computer.

6, The Coca-Cola Kid (1985)

An eccentric marketing guru visits a Coca-Cola subsidiary in Australia to try and increase market penetration. He finds zero penetration in a valley owned by an old man who makes his own soft drinks, and visits the valley to see why. After "the Kid's" persistence is tested he's given a tour of the man's plant, and they begin talking of a joint venture. Things get more complicated when the Coca-Cola man begins falling in love with his temporary secretary, who seems to have connections to the valley.

7, The Secret of My Succe$s (1987)

A talented young man can't get an executive position without rising through the ranks, so he comes up with a shortcut, which also benefits his love life.

8, In Good Company (2004)

A middle-aged ad exec is faced with a new boss who's nearly half his age... and who also happens to be sleeping with his daughter.

9, Barcelona (1994)

Ted, a stuffy white guy from Illinois working in sales for the Barcelona office of a US corporation, is paid an unexpected visit by his somewhat less stuffy cousin Fred, who is an officer in the US Navy. Over the next few months, both their lives are irrevocably altered by the events which follow Fred's arrival, events which are the trivial stuff of a comedy of manners at first but which gradually grow increasingly dramatic.

10, Jerry Maguire (1996)

When a sports agent has a moral epiphany and is fired for expressing it, he decides to put his new philosophy to the test as an independent with the only athlete who stays with him.

11, Office Space (1999)

Comedic tale of company workers who hate their jobs and decide to rebel against their greedy boss.

12, The Corporation (2003)

Documentary that looks at the concept of the corporation throughout recent history up to its present-day dominance.

13, The Insider (1999)

A research chemist comes under personal and professional attack when he decides to appear in a "60 Minutes" expose on Big Tobacco.

14, The Hudsucker Proxy (1994)

A naive business graduate is installed as president of a manufacturing company as part of a stock scam.

15, Antitrust (2001)

A computer programmer's dream job at a hot Portland-based firm turns nightmarish when he discovers his boss has a secret and ruthless means of dispatching anti-trust problems.

16, Rogue Trader (1998)

Rogue Trader tells the true story of how one man managed to bring down England's best respected merchant bank. Ewan McGregor plays Leeson, an ambitious young man from North London who is hired by the Barings Brothers Bank and sent to Indonesia to help untangle some problems with bearer bonds. Leeson does well enough to earn a transfer to Singapore, where he's put in charge of Barings' staff at the Singapore International Money Exchange.

17, Other People's Money (1991)

A corporate raider threatens a hostile take-over of a "mom and pop" company. The patriarch of the company enlists the help of his wife's daughter, who is a lawyer, to try and protect the company. The raider is enamoured of her, and enjoys the thrust and parry of legal manoeuvring as he tries to win her heart.

18, Disclosure (1994)

A computer specialist is sued for sexual harassment by a former lover turned boss who initiated the act forcefully, which threatens both his career and his personal life.

19, What Women Want (2000)

After an accident, a chauvenistic executive gains the ability to hear what women are really thinking.

20, Barbarians at the Gate (1993)

The president of a major tobacco company decides to buy the company himself, but a bidding war ensues as other companies make their own offers.

Tags - movie , business , top , world
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Week in Review 130112 Top 25 Hedge Funds

Fri, 13 Jan 2012 15:08:33 +0000

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.

Getting up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide: a reading list covering the key facts and mechanisms in the build-up of risk, the panics in short-term-debt markets, the policy reactions, and the real effects of the current financial crisis.

Skyscrapers Predict Financial Crises: is it really true?

A Survey of Systemic Risk Analytics: a survey of 31 quantitative measures of systemic risk in the economics and finance literature, chosen to span key themes and issues in systemic risk measurement and management. Matlab codes are also provided.

Forecasting the Equity Risk Premium: The Role of Technical Indicators: utilizing information from both technical indicators and macroeconomic variables substantially increases out-of sample forecasting performance relative to either alone.

VIX and SPX return: a simply trading strategy based on VIX level seems to work well.
Tags - hedge-fund , financial-engineer , crisis , optimization , systemic , vix
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Online Option Pricing Models

Mon, 09 Jan 2012 14:37:20 +0000

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.
Tags - option
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Week in Review 060112 Trading Strategy

Fri, 06 Jan 2012 10:59:31 +0000

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:

Tags - trading , strategy , var , correlation , machine , cds , optimization
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Todays 50 Top Trending Stocks

Wed, 04 Jan 2012 18:05:39 +0000

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.

Finding 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

Tags - trading , marketclub , trend
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New Site Feature - QA

Sun, 01 Jan 2012 19:01:49 +0000

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.
Tags - blog , facebook , faq
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Days in Sydney

Thu, 29 Dec 2011 16:44:53 +0000

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.

Tags - sydney
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Selected Papers of Third Day Conference 12162011

Wed, 21 Dec 2011 01:29:43 +0000

Like other conference, the last day of the 24th Australasian Finance & Banking Conference witnessed fewer attendance and less active discussion: people have left or eager to leave. Fortunately or unfortunately, my session was in the afternoon and had even fewer audiences.

Entropic Least-Squares Valuation of American Options Subject to Moment Constraints: improvement of pricing accuracy of American options by incorporating a set of risk-neutral moment constraints into an entropic pricing framework.

Forecasting Equicorrelations: We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets.

Integrated Framework for Portfolio Risk Management: Various risk measures are managed in a unique integrated framework for portfolio selection problems.

Information Asymmetry and Momentum Anomalies: In this paper, we construct an information asymmetry factor (VECINF) based on the price discovery of large trades. VECINF is significantly negatively correlated with market excess return, indicating that market-wide information asymmetry is lower in bull markets.

Why Did Some Banks Perform Better During the Credit Crisis?: thoughtful question and investigation.

Volatility, Correlation, and Spread ETFs as Factors: Several methods for measuring factors have been investigated in previous literature, but an easy-to-implement general method is simply to specify a group of heterogeneous indexes or traded portfolios.

That's the end of this conference, hopefully you have found some interesting articles as I did, enjoy them.

Tags - american , moment , correlation , portfolio , crisis
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Selected Papers of Second Day Conference 12152011

Tue, 20 Dec 2011 01:38:18 +0000

Benchmark Replication Portfolio Strategies: a novel approach to the benchmark replication problem which uses a minimum tracking error variance as an objective subject to a target expected outperformance.

Options Trading and the Extent that Stock Prices Lead Future Earnings Information: Findings in this study support the proposition that options trading results in more current information that is relevant for predicting future earnings being impounded into stock prices.

The Lure of the Slant: Analyst Optimism and Asset Prices: This paper studies the effect of analyst optimism on asset prices.

Are Co-Skewness and Co-Kurtosis Factors Priced?: The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model.

On the Returns to Small Growth Stocks: The results in this paper provide fresh evidence on the role of skewness in asset pricing as well as new perspectives on the well-known size and book-to-market effects of stock returns.

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence: We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price.

Investor Sentiment and Momentum and Contrarian Trading Strategies: Mutual Fund Evidence: sentiment beta captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders.

A full list of the presented papers can be downloaded at Conference papers.
Tags - conference , tracking-error , earning , optimsim , skewness , kurtosis , discovery , sentiment
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Selected Papers of First Day Conference 12142011

Mon, 19 Dec 2011 03:17:33 +0000

On each day there are approximately 80 papers to be presented in 20 sessions, which is really a lot and hard to have a detailed and useful discussion, I would say too many presentations are the weak side of this 24th Australasian Finance & Banking Conference. I selected several papers of the first day based on my interests:

Asymmetric Effects of the Financial Crisis: Collateral-Based Investment-Cash Flow Sensitivity Analysis: investment-cash flow sensitivity must be measured taking into account the value of a firm’s assets that can be used as collateral.

Explaining Momentum Strategies Using Intrinsic Price Fluctuations: This paper focuses on cross-sectional equity momentum patterns by modeling a stock’s price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies.

Adverse Information and Mutual Fund Runs: anticipation of adverse events can also trigger runs in mutual funds.

Liquidity and Price Discovery of Algorithmic Trading: An Intraday Analysis on the SPI Futures Contract: the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process.

A full list of the presented papers can be downloaded at Conference papers.
Tags - conference , crisis , momentum , liquidity
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Selected Papers of PhD Forum 12132011

Sun, 18 Dec 2011 02:46:41 +0000

I am finally back China from the 24th Australasian Finance & Banking Conference, 22 hours long flight from London -> Shanghai -> Sydney is more challenging than I thought. In the following posts I will select a few papers I personally feel interesting, hope you can enjoy reading them as I do.

Stock Market Fragility and the Quality of Governance of the Country: relationship between the quality of governance of a country and its degree of financial fragility.

The Ultimate Irrelevance Proposition in Finance?: Over 80% of published studies are distinguishing between statistical and economic significance and about quantifying and interpreting the economic magnitudes of the statistical relationships they measure. Yet, only 10% of them acknowledge limits to the power of their tests and fewer still do anything about them. What can you learn from the paper to change your writing style in order to increase chance of being accepted?

Information Management in Financial Markets: Implications for Stock Momentum and Volatility: the amount of positive information released by a company is positively related to both its future stock performance and future positive releases, suggesting that companies tend to ration the delivery of positive news and create sustainable price trends.

A full list of the PhD forum papers can be downloaded at PhD forum.
Tags - performance , writing , phd
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