Friday reading list 22/01/2010
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2010/01/22 09:56 | by abiao ]
2010/01/22 09:56 | by abiao ]
1, Time-Varying Momentum Profitability, "In this paper, we present a comprehensive examination of the time-series predictability of momentum profits. We uncover a list of intriguing features of the time-variation in momentum profits: (1) market volatility has significant power to forecast momentum payoffs, which is even more robust than that of market state or business cycle variables; (2) the time-series predictability is centered on loser stocks; and (3) the time-series patterns appear to be at odds with the cross-sectional results." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1534325
2, Econometric Modeling for Transaction Cost-Adjusted Put-Call Parity: Evidence from the Currency Options Market, "this study developed a transaction cost-adjusted put-call parity (TC-Adj-PCP) econometric model to examine the efficiency of options markets. The fundamental analysis of the proposed model concludes that transaction costs represent an omitted variable for the PCP model, where the uniqueness of this variable is demonstrated under PCP in the context of options market efficiency. The novelty of the TC-Adj-PCP model resolves controversial transaction costs issues for traders and researchers." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1537834
3, Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis, "find that bans (i) were detrimental for liquidity, especially for stocks with small market capitalization and high volatility; (ii) slowed down price discovery, especially in bear market phases, and (iii) failed to support stock prices. " http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1533163
4, On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements
2, Econometric Modeling for Transaction Cost-Adjusted Put-Call Parity: Evidence from the Currency Options Market, "this study developed a transaction cost-adjusted put-call parity (TC-Adj-PCP) econometric model to examine the efficiency of options markets. The fundamental analysis of the proposed model concludes that transaction costs represent an omitted variable for the PCP model, where the uniqueness of this variable is demonstrated under PCP in the context of options market efficiency. The novelty of the TC-Adj-PCP model resolves controversial transaction costs issues for traders and researchers." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1537834
3, Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis, "find that bans (i) were detrimental for liquidity, especially for stocks with small market capitalization and high volatility; (ii) slowed down price discovery, especially in bear market phases, and (iii) failed to support stock prices. " http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1533163
4, On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements
Matlab File Exchange
[ 2010/01/21 10:41 | by abiao ]
2010/01/21 10:41 | by abiao ]
I guess most of Matlab users know Matlab central: an open exchange for the Matlab and simulink user community, where a major section is Matlab file exchange, including a large list of Matlab files across wide application, for example, you can choose to browse files by category
Specifically, financial services, Mathematical modeling and Statistics and Probability are three categories I keep eyes on.
Besides Matlab central, Matlab M-files database built by university of Stuttgart is another site I often visit, it has a smaller size but grow quickly, focusing on using Matlab for numerical calculation.
Stay tuned.
Specifically, financial services, Mathematical modeling and Statistics and Probability are three categories I keep eyes on.
Besides Matlab central, Matlab M-files database built by university of Stuttgart is another site I often visit, it has a smaller size but grow quickly, focusing on using Matlab for numerical calculation.
Stay tuned.
Meta Financial Functions Library
[ 2010/01/19 11:00 | by abiao ]
2010/01/19 11:00 | by abiao ]
Meta Financial Functions Library is a free library for option pricing written in C++, as of now, Meta Systems offers no commercial products, and the library is still under beta, as indicated by its author: "The Meta Financial Formula Library implements many commonly used functions as correctly as possible once and then provides wrapper functions and code to be able to reuse the implemenation from other tools and languages."
At the moment Meta Financial Functions Library covers a wide range of vanilla and exotic options, which can be obviously seen from the name of functions, for example, a list of functions includes black76, black76_put, black76_call, blackscholes, gbs, gcarry, AmericanExchangeOption, AssetOrNothing, BAWAmericanApprox, BSAmericanApprox, BinaryBarrier, CashOrNothing, ComplexChooser, DiscreteAdjustedBarrier, DoubleBarrier, EquityLinkedFXO, EuropeanExchangeOption, ExchangeExchangeOption, Executive, ExtendibleWriter, ExtremeSpreadOption, FixedStrikeLookback, FloatingStrikeLookback, ForEquOptInDomCur, ForwardStartOption, GapOption, GeometricAverageRateOption, JumpDiffusion, LevyAsian, LookBarrier, OptionsOnOptions, OptionsOnTheMaxMin, PartialFixedLB, PartialFloatLB, PartialTimeBarrier, PartialTimeTwoAssetBarrier, Quanto, RollGeskeWhaley, SimpleChooser, SoftBarrier, SpreadApproximation, StandardBarrier, SuperShare, SuperShare_inlined, Swapoption, TakeoverFXoption, TimeSwitchOption, TurnbullWakemanAsian, TwoAssetBarrier, TwoAssetCashOrNothing, TwoAssetCorrelation, VasicekBondPrice, VasicekBondOption...
, what a long list! you shall download the library at http://www.metasystems.no/, which is free and the author makes the source code clean and publicly available, learning from others is always enjoying.
At the moment Meta Financial Functions Library covers a wide range of vanilla and exotic options, which can be obviously seen from the name of functions, for example, a list of functions includes black76, black76_put, black76_call, blackscholes, gbs, gcarry, AmericanExchangeOption, AssetOrNothing, BAWAmericanApprox, BSAmericanApprox, BinaryBarrier, CashOrNothing, ComplexChooser, DiscreteAdjustedBarrier, DoubleBarrier, EquityLinkedFXO, EuropeanExchangeOption, ExchangeExchangeOption, Executive, ExtendibleWriter, ExtremeSpreadOption, FixedStrikeLookback, FloatingStrikeLookback, ForEquOptInDomCur, ForwardStartOption, GapOption, GeometricAverageRateOption, JumpDiffusion, LevyAsian, LookBarrier, OptionsOnOptions, OptionsOnTheMaxMin, PartialFixedLB, PartialFloatLB, PartialTimeBarrier, PartialTimeTwoAssetBarrier, Quanto, RollGeskeWhaley, SimpleChooser, SoftBarrier, SpreadApproximation, StandardBarrier, SuperShare, SuperShare_inlined, Swapoption, TakeoverFXoption, TimeSwitchOption, TurnbullWakemanAsian, TwoAssetBarrier, TwoAssetCashOrNothing, TwoAssetCorrelation, VasicekBondPrice, VasicekBondOption...
, what a long list! you shall download the library at http://www.metasystems.no/, which is free and the author makes the source code clean and publicly available, learning from others is always enjoying.Popular Culture and the Stock Market
[ 2010/01/16 09:42 | by abiao ]
2010/01/16 09:42 | by abiao ]
Long time I haven't reviewed service provided by other site, this weekend's review is about a club service by EWI, as stated by its authors: "Elliott Wave International (EWI) is the world’s largest market forecasting firm. EWI’s 20-plus analysts provide around-the-clock forecasts of every major market in the world via the internet and proprietary web systems like Reuters and Bloomberg. EWI’s educational services include conferences, workshops, webinars, video tapes, special reports, books and one of the internet’s richest free content programs, Club EWI."
Below is a video introduction and a free report to research more about its club, take a look if interested. Wall Street legend and best-selling author Robert Prechter says "You can almost hear the Dow going up and down over the airwaves." Watch this 3-minute clip from his documentary History's Hidden Engine to see how social mood governs movements in the stock market and trends in popular culture. Then access his 50-page report "Popular Culture and the Stock Market" free.
Below is a video introduction and a free report to research more about its club, take a look if interested. Wall Street legend and best-selling author Robert Prechter says "You can almost hear the Dow going up and down over the airwaves." Watch this 3-minute clip from his documentary History's Hidden Engine to see how social mood governs movements in the stock market and trends in popular culture. Then access his 50-page report "Popular Culture and the Stock Market" free.
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Friday's reading list 15/01/2010
[ 2010/01/15 19:01 | by abiao ]
2010/01/15 19:01 | by abiao ]
Two paper I find pretty interesting this week, both are published in Mathematical Finance Journal:
1, PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD, by JIN E. ZHANG and TIECHENG LI, "This paper studies the critical stock price of American options with continuous dividend yield. We solve the integral equation and derive a new analytical formula in a series form for the critical stock price. American options can be priced and hedged analytically with the help of our critical-stock-price formula. Numerical tests show that our formula gives very accurate prices. With the error well controlled, our formula is now ready for traders to use in pricing and hedging the S&P 100 index options and for the Chicago Board Options Exchange to use in computing the VXO volatility index."
2, ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES, by MARK S. JOSHI, "A new family of binomial trees as approximations to the Black–Scholes model is introduced. For this class of trees, the existence of complete asymptotic expansions for the prices of vanilla European options is demonstrated and the first three terms are explicitly computed.As special cases, a treewith third-order convergence is constructed and the conjecture of Leisen and Reimer that their tree has second-order convergence is proven." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=976561
1, PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD, by JIN E. ZHANG and TIECHENG LI, "This paper studies the critical stock price of American options with continuous dividend yield. We solve the integral equation and derive a new analytical formula in a series form for the critical stock price. American options can be priced and hedged analytically with the help of our critical-stock-price formula. Numerical tests show that our formula gives very accurate prices. With the error well controlled, our formula is now ready for traders to use in pricing and hedging the S&P 100 index options and for the Chicago Board Options Exchange to use in computing the VXO volatility index."
2, ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES, by MARK S. JOSHI, "A new family of binomial trees as approximations to the Black–Scholes model is introduced. For this class of trees, the existence of complete asymptotic expansions for the prices of vanilla European options is demonstrated and the first three terms are explicitly computed.As special cases, a treewith third-order convergence is constructed and the conjecture of Leisen and Reimer that their tree has second-order convergence is proven." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=976561
