Quantitative Finance Collector is a blog on Quantitative finance analysis, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.
Dec
18
I am finally back China from the 24th Australasian Finance & Banking Conference, 22 hours long flight from London -> Shanghai -> Sydney is more challenging than I thought. In the following posts I will select a few papers I personally feel interesting, hope you can enjoy reading them as I do.
Stock Market Fragility and the Quality of Governance of the Country: relationship between the quality of governance of a country and its degree of financial fragility.
The Ultimate Irrelevance Proposition in Finance?: Over 80% of published studies are distinguishing between statistical and economic significance and about quantifying and interpreting the economic magnitudes of the statistical relationships they measure. Yet, only 10% of them acknowledge limits to the power of their tests and fewer still do anything about them. What can you learn from the paper to change your writing style in order to increase chance of being accepted?
Information Management in Financial Markets: Implications for Stock Momentum and Volatility: the amount of positive information released by a company is positively related to both its future stock performance and future positive releases, suggesting that companies tend to ration the delivery of positive news and create sustainable price trends.
A full list of the PhD forum papers can be downloaded at PhD forum.
Stock Market Fragility and the Quality of Governance of the Country: relationship between the quality of governance of a country and its degree of financial fragility.
The Ultimate Irrelevance Proposition in Finance?: Over 80% of published studies are distinguishing between statistical and economic significance and about quantifying and interpreting the economic magnitudes of the statistical relationships they measure. Yet, only 10% of them acknowledge limits to the power of their tests and fewer still do anything about them. What can you learn from the paper to change your writing style in order to increase chance of being accepted?
Information Management in Financial Markets: Implications for Stock Momentum and Volatility: the amount of positive information released by a company is positively related to both its future stock performance and future positive releases, suggesting that companies tend to ration the delivery of positive news and create sustainable price trends.
A full list of the PhD forum papers can be downloaded at PhD forum.
Oct
13
Quotation
Library of econometric functions for performance and risk analysis of financial portfolios. This library aims to aid practitioners and researchers in using the latest research in analysis of both normal and non-normal return streams.
We created this library to include functionality that has been appearing in the academic literature on performance analysis and risk over the past several years, but had no functional equivalent in R. In doing so, we also found it valuable to have wrapper functions for functionality easily replicated in R, so that we could access that functionality using a function with defaults and naming consistent with common usage in the finance literature. The following sections cover Performance Analysis, Risk Analysis (with a separate treatment of VaR), Summary Tables of related statistics, Charts and Graphs, a variety of Wrappers and Utility functions, and some thoughts on work yet to be done.
We created this library to include functionality that has been appearing in the academic literature on performance analysis and risk over the past several years, but had no functional equivalent in R. In doing so, we also found it valuable to have wrapper functions for functionality easily replicated in R, so that we could access that functionality using a function with defaults and naming consistent with common usage in the finance literature. The following sections cover Performance Analysis, Risk Analysis (with a separate treatment of VaR), Summary Tables of related statistics, Charts and Graphs, a variety of Wrappers and Utility functions, and some thoughts on work yet to be done.
http://braverock.com/brian/R/PerformanceAnalytics/html/PerformanceAnalytics-package.html
Aug
9
Performance attribution is used as a way to check the relative performance of portfolio against selected Benchmark, the difference of which is called active return. Brinson method decomposes active return to asset selection effect and industry selection effect, helping investor realize where the active return is from, which asset or industry has a biggest contribution to the active return of portfolio, ect.
