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Feb 2

Week in Review 020212 Quantitative Finance

Posted by abiao at 16:54 | Review | Comments(1) | Reads(19592)
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.

Volatility-responsive asset allocation: a volatility-responsive asset allocation policy can lead to a more consistent outcome and a better trade-off between risk and return.

China, Merkel and Euro: Merkel knocks at China's door, with poor Euro.


Hi,

have a look at http://www.eurostockscreener.com to scan the EU markets!
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