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Feb 2
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.
Jan 26
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.
Jan 19
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?

Jan 16
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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Jan 13
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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