Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
By Gerlof de Vrij, Roy Hoevenaars and Pieter Jelle van der Sluis
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This paper deals with statistical measures based on high frequency data from stock markets, and in particular looks at how these measures changed according to time, with a focus on before and after the crisis of 2008.
Understanding key risk can be difference between success and failure
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Recent trends in research may help firms obtain reliable correlations from limited data
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
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