Quantitative Finance
Follow
Find
7.8K views | +0 today
Quantitative Finance
News, Slides and various discussions about quant finance
Your new post is loading...
Your new post is loading...
Scooped by Vincent Denoiseux
Scoop.it!

SPY: The impact of correlation

SPY: The impact of correlation | Quantitative Finance | Scoop.it
With this post I want to share some very interesting research insight from the world of correlation.  Correlation metrics get a lot of attention during severe bear markets.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

A minimum variance portfolio in 2011

A minimum variance portfolio in 2011 | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
2011 was a good vintage for minimum variance, at least among stocks in the S&P 500.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Realized efficient frontiers

Realized efficient frontiers | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
A look at the distortion from predicted to realized.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

A Primer on the Euro Breakup

A Primer on the Euro Breakup | Quantitative Finance | Scoop.it
A Primer on the Euro Breakup
John Mauldin
February 27, 2012
~~~
It’s one thing to say that peripheral eurozone countries are better off leaving the euro, but how, exactly?
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

R for Quants, Part II (A)

R for Quants, Part II (A) | Quantitative Finance | Scoop.it
(This article was first published on Cartesian Faith » R, and kindly contributed to R-bloggers)
This is the second part in a three part series on teaching R to MFE students at CUNY Baruch.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Equity Anomalies Around the World

Equity Anomalies Around the World | Quantitative Finance | Scoop.it

This study investigates a number of anomaly variables in capital markets research around the world, including asset growth, book-to-market, investment-to-assets, momentum, net stock issues, size, and total accruals. We use zero-cost trading strategies, the Fama-French factor model, and the newly developed alternative investment-based three-factor model (Chen, Novy-Marx, and Zhang 2010) to show that these anomalies produce significant abnormal returns across countries. We show that abnormal returns vary dramatically among countries and between developed and emerging economies. We provide strong evidence to support the limits of arbitrage theory in international equity markets by documenting a positive correlation between idiosyncratic risk and abnormal returns for all of the anomalies. We also show that idiosyncratic risk has less impact on abnormal return for developed countries than emerging countries. Our results support the mispricing explanation of the existence of various anomalies around the world.

more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Data Exploration – Gold vs Gold Mining Stocks

Data Exploration – Gold vs Gold Mining Stocks | Quantitative Finance | Scoop.it
(This article was first published on Adventures in Statistical Computing, and kindly contributed to R-bloggers)
I have been looking into time series analysis with R.  I'm still ramping up the learning curve as I am very accustomed to SAS/ETS.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Stochastic Volatility Models and the Pricing of VIX Options

Stochastic Volatility Models and the Pricing of VIX Options | Quantitative Finance | Scoop.it
Stochastic Volatility Models and the Pricing of VIX Options is written by Joanna Goard, Mathew Mazur and published in Mathematical Finance.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Long Vol and Short Vol

Long Vol and Short Vol | Quantitative Finance | Scoop.it
Option selling has always been a fascination for me, and long time readers may recall a lot of the posts I used to do on the subject years ago.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

10 Monday AM Reads

10 Monday AM Reads | Quantitative Finance | Scoop.it
My reads to start the week off: • Freddie Mac Bets Against American Homeowners (ProPublica) • Money From MF Global Feared Gone (WSJ) • 9.8 Million Shadow Inventory Says Housing Market is a Long Way From the Bottom (Naked Capitalism) • Flurry of...
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Jamie Dimon: impact on U.S. banks of a Greek default is “almost zero”

Jamie Dimon: impact on U.S. banks of a Greek default is “almost zero” | Quantitative Finance | Scoop.it
Thu 26 Jan 12 | 06:00 AM ET...
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

RStudio v0.95 Released

RStudio v0.95 Released | Quantitative Finance | Scoop.it
(This article was first published on RStudio Blog, and kindly contributed to R-bloggers) The final version of RStudio v0.95 is now available for download from our website (thanks to everyone who put the preview release through its paces...
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

10 Friday AM Reads

10 Friday AM Reads | Quantitative Finance | Scoop.it
Some reads to start off your day: • Tech Giants’ Revenue Slows (WSJ) see also Google Cools Off, and Stock Drops (WSJ) • Josh Brown: It’s an RIA World, Everyone Else Just Lives in it (WSJ) • 5 Reasons QE3 Is Off The Table (Pragmatic Capitalism) but...
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Is the Correction Camp Too Crowded?

Is the Correction Camp Too Crowded? | Quantitative Finance | Scoop.it
We posted yesterday that the S&P500 was set up for a pullback after carving out an outside day (higher high and lower low than previous day) at strong resistance and looked for follow through selling today.   Didn’t happen.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Portfolio Optimization – Why do we need a Risk Model

Portfolio Optimization – Why do we need a Risk Model | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
In the last post, Multiple Factor Model – Building Risk Model, I have shown how to build a multiple factor risk model.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Case Shiller: What Housing Bottom?

Case Shiller: What Housing Bottom? | Quantitative Finance | Scoop.it
December 2011 Case-Shiller Home Price Indices showed that 2011 ended at new index lows.
The National Composite Index fell by 3.8% during Q4;  year over year changes were down 4.0%.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Combining Value and Momentum Approaches

Combining Value and Momentum Approaches | Quantitative Finance | Scoop.it
This is a really interesting semi-annual report from Hussman.  In it he shows the returns of his main fund, both hedged and unhedged.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Frontier Markets: Punching Below Their Weight?

Frontier Markets: Punching Below Their Weight? | Quantitative Finance | Scoop.it

Are frontier markets the next emerging markets? And if so, should global equity investors include them in their portfolios? From a risk parity perspective, investors could benefit from a frontier markets allocation well in excess of the market weight of the asset class. A risk parity portfolio tends to outperform a market cap-weighted portfolio during periods of positive equity returns while delivering comparable returns during crisis periods. Even if portfolio managers could not follow a risk parity asset allocation strategy due to benchmark tracking considerations, overweighting frontier markets could help them outperform their benchmarks during upside periods without increasing downside risks significantly.

more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Norway is the new Yale. What can we learn from the world’s largest fund?

Norway is the new Yale. What can we learn from the world’s largest fund? | Quantitative Finance | Scoop.it

The Norwegian Government Pension Fund Global was recently ranked the largest fund on the planet. It is also highly rated for its professional, low-cost, transparent, and socially responsible approach to asset management. Investment professionals increasingly refer to Norway as a model for managing financial assets. We present and evaluate the strategies followed by the Fund, review long-term performance, and describe how it responded to the financial crisis. We conclude with some lessons that investors can draw from Norway’s approach to asset management, contrasting the Norway Model with the Yale Model.

more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Multiple Factor Model – Building CSFB Factors

Multiple Factor Model – Building CSFB Factors | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
This is the third post in the series about Multiple Factor Models.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Multiple Factor Model – Building Fundamental Factors

Multiple Factor Model – Building Fundamental Factors | Quantitative Finance | Scoop.it
This is the second post in the series about Multiple Factor Models.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Using LaTeX, R, and Sweave to Create Reports in Windows

Using LaTeX, R, and Sweave to Create Reports in Windows | Quantitative Finance | Scoop.it
(This article was first published on R, Ruby, and Finance, and kindly contributed to R-bloggers) LaTeX is a typesetting system that can easily be used to create reports and scientific articles, and has excellent formatting options for...
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Multiple Factor Model – Fundamental Data

Multiple Factor Model – Fundamental Data | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
The Multiple Factor Model can be used to decompose returns and calculate risk.
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

The distribution of financial returns made simple

The distribution of financial returns made simple | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers) Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the...
more...
No comment yet.
Scooped by Vincent Denoiseux
Scoop.it!

Time Series Intervention Analysis wih R and SAS

Time Series Intervention Analysis wih R and SAS | Quantitative Finance | Scoop.it
(This article was first published on Econometric Sense, and kindly contributed to R-bloggers)
In a previous post, I worked through the theory behind intervention analysis.
more...
No comment yet.