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May 21
Noise as Information for Illiquidity: We propose a measure of liquidity for the overall financial market by exploiting its connection with the amount of arbitrage capital in the market and observed price deviations in US Treasuries.

The Risk Map: A New Tool for Validating Risk Models: This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. We show that the Risk Map can be used to validate market, credit, operational, or systemic risk estimates (VaR, stressed VaR, expected shortfall, and CoVaR) or to assess the performance of the margin system of a clearing house.

Deviations from Put-Call Parity and Stock Return Predictability: Deviations from put-call parity contain information about future returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 51 basis points per week.

Nassim Taleb on the J.P.Morgan Trading Loss: Nassim Taleb interviewed on the J.P.Morgan Trading Loss (May 2012).
May 16
Shortly after the internet explosion of the 1990s, technology was immediately integrated into the classrooms. Technology, even though symbolizes advancement in human knowledge, was seen as a setback by many educators. Many efforts have been established to help educators realize the benefits of technology and ways of implementing them in the classroom. This advancement created a constantly expanding gap between the student’s perception on the use of technology within the learning atmosphere, and the teacher’s perception and limitations.


Via: DeVry University
May 10
Alpha Generation and Risk Smoothing using Volatility of Volatility: We put forward a framework that produces a formulain which returns become a function of volatility and therefore become somewhat morepredictable. We show that this strategy produces excess returns giving us the upside of leverage without the downside.

The Cross Section of Expected Returns with MIDAS Betas: This paper employs mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors. We show that beta estimates under MIDAS present lower mean absolute forecasting errors and generate a better out-of-sample performance of the optimized portfolios relative to OLS betas.

Online resources for handling big data and parallel computing in R: links to online documents and slides on handling big data and parallel computing in R.

The Worlds Richest Hedge Fund Managers Exposed: how much do the Worlds richest hedge fund managers make?
May 8
Just how much do the Worlds richest hedge fund managers make? This infographic explores who earned the most last year and just what a millionaire hedge fund manager looks like. It uncovers the truth about how many women are in the upper leagues of hedge fund management and breaks down the elite group by age revealing what the typical millionaire manager is like.

Many people grossly mis-estimate just how much hedge fund managers make, often quoting celebrities they assumed to of earned more. The fact is that this elite group generally goes by unreported and anonymous despite the fact they make more than the GDP equivalent of many small countries combined, every year, even in the depths of one of the worse financial recessions the world has seen for decades.

Uncover the secrets of the elite group that makes up the worlds richest hedge fund managers and share with your friends in this catch infographic!
The Worlds Richest Hedge Fund Managers
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May 5
Penny stocks, also known as cent stocks in some countries, are common shares of small public companies that trade at less than $1.00. For example, in the United Kingdom, stocks priced under £1 are called penny shares. In the case of many penny stocks, the market price has previously fallen dramatically and the company's market capitalisation is very small compared to the total size of the balance sheet; such stocks are considered to be highly speculative and high risk but may have a large potential for profit.

Before investing in risky penny stocks, below infographic is a list of things you need to know about it.


Via: StockRockandRoll
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