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Feb 19

Friday reading list 19/02/2010

Posted by abiao at 08:47 | Code | Comments(0) | Reads(4975)
1, Market Timing & Trading Strategies Using Asset Rotation, "In this paper we present empirical results on the statistical and economic viability of a market timing trading strategy that is based on rotation between two risky assets. We use data on Exchange Traded Funds (ETFs) and models for both the returns and the volatility of the underlying assets." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1537914
2, Hedging the Black Swan: Conditional Heteroskedasticity and Tail Dependence in S&P500 and Vix, "In this paper, we show how the conditional approach of Heffernan and Tawn (2004) can be implemented to model extremal dependence between financial time series. A hedging example based on VIX futures is used to demonstrate its flexibility and superiority against the conventional OLS regression approach." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1549164
3, Stability of Mean-Variance Portfolio Weights, "The mean-variance portfolio weights are known to be strongly affected by the estimation errors of the parameters of asset distribution. Our paper studies this phenomenon from a new angle. We distil the stability measurements of separate coordinates of portfolio weights estimator into a single number. We derive analytical formulas that relate this measure with the mean and the covariance matrix of asset returns." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1553073
4, Unusual News Events and the Cross-Section of Stock Returns, "We show that stocks that experience a sudden increase in idiosyncratic volatility earn abnormally high contemporaneous returns but significantly underperform otherwise similar stocks in the future." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1362121
5, Exact Simulation of Point Processes with Stochastic Intensities, "This paper develops a method for the exact simulation of point processes with stochastic intensities. The method is based on a change of the filtration that describes the information flow in the point process model." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1551647

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