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Nov 25

Week In Review 251111 Style Analysis

Posted by abiao at 10:26 | Review | Comments(0) | Reads(5076)
This week is very quiet (despite of the poor performance in Eurozone), since people are busy preparing Thanksgiving & Black Friday. As always, I appreciate if you come across some interesting articles and like to share with us. Simply @a_biao via twitter or drop me a line at abiao@mathfinance.cn.

Style analysis: Detailed examples and R codes to "guess" the asset allocation of a fund by style analysis: a procedure attributing funds performance to the performance of asset classes;

Asynchrony in market data: solutions to diminish the covariance matrix estimation error caused by trading asynchrony: markets around the world being open at different times;

A New Simple Approach for Constructing Implied Volatility Surfaces: a new calibration method goes directly from implied volatility dynamics to implied volatility surface, said to be better than existing implied volatility surface models?

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