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Apr 2

Prof Hal White Passed Away Week in Review 020412

Posted by abiao at 13:20 | Review | Comments(0) | Reads(5291)
Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility: on average, about 99% of the intraday variation of implied volatility can be explained by moneyness and changes in the index level. Compared to the typical smile regression with moneyness alone, about 50% of the remaining errors can be attributed to movements in the underlying index.

A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices: We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the high-low ratio reflects both the stock’s variance and its bid-ask spread.

How to Prevent Other Financial Crises: Policy recommendations to avoid additional crises, focused on "less is more" simple rule of "captain goes down with ship." These aim at eliminating the combination of statistical moral hazard and scientism-misuse of probabilistic methods that got us into trouble.

A No BS Guide to the Basics of Parallelization in R:a simple example to use multi-core in R to speed-up.

Markets, Ethics and Mathematics - A Defence of Mathematics: should we blame mathematics for the crisis? a defence of mathematics.

The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates: a paper by Jarrow and Li (2012) estimates the impact of the Federal Reserveís 2008 - 2011 quantitative easing (QE) program on the U.S. term structure of interest rates.

Halbert L. White, Jr., 1951-2012: It is with great sadness that UCSD Economics Professor Hal White passed away Saturday morning after an extended struggle with cancer.

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