MoneyScience News |
- Published / Preprint: Energy, entropy, and arbitrage. (arXiv:1308.5376v1 [q-fin.PM])
- Published / Preprint: Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model. (arXiv:1308.5658v1 [q-fin.ST])
- Published / Preprint: 26Aug/Macroeconomic impact assessment of OTC derivatives regulatory reforms report issued by the Macroeconomic Assessment Group on Derivatives (MAGD)
- Blog Post: Falkenblog: AQR's Quality at a Reasonable Price
| Published / Preprint: Energy, entropy, and arbitrage. (arXiv:1308.5376v1 [q-fin.PM]) Posted: 26 Aug 2013 05:33 PM PDT We introduce a framework to analyze the relative performance of a portfolio with respect to a benchmark market index. We show that this relative performance has three components: a term that can be interpreted as energy coming from the market fluctuations, a relative entropy term that measures "distance" between the portfolio holdings and the market capital distribution, and another entropy term... Visit MoneyScience for the Complete Article.      |
| Posted: 26 Aug 2013 05:33 PM PDT We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean, variance, skewness and kurtosis) and asymptotic behavior (quantiles). We show that the asymmetry of the distribution (with often small losses and... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Aug 2013 01:08 AM PDT Press release about the "Macroeconomic impact assessment of OTC derivatives regulatory reforms" report published by the Macroeconomic Assessment Group on Derivatives (MAGD) (BIS Press Release 26 August 2013) Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: AQR's Quality at a Reasonable Price Posted: 25 Aug 2013 09:08 PM PDT Our intrepid equity researchers at AQR have come out with a new paper adding to the color on how to pick a strategy given value considerations. In Asness, Frazzini and Pedersen's latest paper, Quality Minus Junk, they first try to create a 'quality' metric, and then try to meld it with value. Quality is defined very clearly as the composite of 4 factors (each of which is made up of 3-5... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |