Quant Mashup - @Quantivity
[Academic Paper] Optimal Delta Hedging for Options [@Quantivity]
The “practitioner Black-Scholes delta” for hedging options is a delta calculated from the Black-Scholes-Merton model (or one of its extensions) with the volatility parameter set equal to the implied volatility. As has been pointed out by a number of researchers, this delta does not minimize the
- 8 years ago, 24 Mar 2016, 12:50pm -
[Academic Paper] Positive Skewness, Anti-leverage, Reverse Volatility Asymmetry, Short Sale Constraints: Chinese Markets [@Quantivity]
There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we
- 8 years ago, 5 Jan 2016, 09:57pm -
[Academic Paper] Measuring Tail Risks at High Frequency [@Quantivity]
Measuring Tail Risks at High Frequency
- 8 years ago, 27 Dec 2015, 06:23am -
[Academic Paper] Pairwise Correlations [@Quantivity]
Pairwise Correlations
- 8 years ago, 27 Dec 2015, 06:23am -
[Academic Paper] Value, Size, Momentum and the Average Correlation of Stock Returns [@Quantivity]
Value, Size, Momentum and the Average Correlation of Stock Returns
- 8 years ago, 23 Dec 2015, 09:37pm -
[Academic Paper] The Factor Structure of Time-Varying Discount Rates [@Quantivity]
The Factor Structure of Time-Varying Discount Rates
- 8 years ago, 23 Dec 2015, 09:37pm -
[Academic Paper] Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk [@Quantivity]
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
- 8 years ago, 23 Dec 2015, 09:37pm -
[Academic Paper] Benchmarking Benchmarks: Much Ado About Nothing [@Quantivity]
Benchmarking Benchmarks: Much Ado About Nothing
- 8 years ago, 12 Dec 2015, 07:36pm -
[Academic Paper] Generalized Recovery [@Quantivity]
Generalized Recovery
- 8 years ago, 12 Dec 2015, 07:36pm -
[Academic Paper] Tail-Risk Protection Trading Strategies [@Quantivity]
Tail-Risk Protection Trading Strategies
- 8 years ago, 12 Dec 2015, 07:36pm -
[Academic Paper] Option Return Predictability [@Quantivity]
Option Return Predictability
- 8 years ago, 7 Dec 2015, 11:56pm -
[Academic Paper] Low Risk Anomalies? [@Quantivity]
Low Risk Anomalies?
- 8 years ago, 7 Dec 2015, 01:19am -
[Academic Paper] In Search of Alpha - Trading on Limited Investor Attention [@Quantivity]
In Search of Alpha - Trading on Limited Investor Attention
- 8 years ago, 7 Dec 2015, 01:19am -
[Academic Paper] Average Skewness Matters! [@Quantivity]
Average Skewness Matters!
- 8 years ago, 7 Dec 2015, 01:18am -
[Academic Paper] Ninety Years of Media Coverage and the Cross-Section of Stock Returns [@Quantivity]
Ninety Years of Media Coverage and the Cross-Section of Stock Returns
- 8 years ago, 7 Dec 2015, 01:18am -
[Academic Paper] Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns [@Quantivity]
Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
- 8 years ago, 7 Dec 2015, 01:17am -
[Academic Paper] Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs [@Quantivity]
Stop-loss strategies are commonly used by investors to reduce their holdings in risky assets if prices or total wealth breach certain pre-specified thresholds. We derive closed-form expressions for the impact of stop-loss strategies on asset returns that are serially correlated, regime switching,
- 8 years ago, 29 Nov 2015, 02:23pm -
[Academic Paper] Dissecting Investment Strategies in the Cross Section and Time Series [@Quantivity]
We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions
- 8 years ago, 29 Nov 2015, 02:23pm -
[Academic Paper] Rethinking Performance Evaluation [@Quantivity]
We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make
- 8 years ago, 29 Nov 2015, 02:22pm -
[Academic Paper] Note on Correlation of First Differences of Averages in a Random Chain [@Quantivity]
Note on Correlation of First Differences of Averages in a Random Chain
- 8 years ago, 9 Nov 2015, 12:57pm -
[Academic Paper] Multi-Scale and Hidden Resolution Time Series Models [@Quantivity]
Multi-Scale and Hidden Resolution Time Series Models
- 8 years ago, 9 Nov 2015, 12:57pm -
[Academic Paper] Multi-scale Random Field Models [@Quantivity]
Multi-scale Random Field Models
- 8 years ago, 9 Nov 2015, 12:57pm -
[Academic Paper] Multi-Scale Stochastic Modeling of Dynamics of a Time-Averaged Variable [@Quantivity]
Multi-Scale Stochastic Modeling of Dynamics of a Time-Averaged Variable
- 8 years ago, 9 Nov 2015, 12:56pm -
[Academic Paper] Risk Premia: Asymmetric Tail Risks and Excess Returns [@Quantivity]
Risk Premia: Asymmetric Tail Risks and Excess Returns
- 8 years ago, 8 Nov 2015, 02:25pm -
[Academic Paper] Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling [@Quantivity]
Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling
- 8 years ago, 8 Nov 2015, 02:25pm -
[Academic Paper] Anchoring Adjusted Capital Asset Pricing Model [@Quantivity]
Anchoring Adjusted Capital Asset Pricing Model
- 8 years ago, 8 Nov 2015, 02:24pm -
[Academic Paper] Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets [@Quantivity]
Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets
- 8 years ago, 8 Nov 2015, 02:24pm -
[Academic Paper] Over or Under? Momentum, Idiosyncratic Volatility and Overreaction [@Quantivity]
Over or Under? Momentum, Idiosyncratic Volatility and Overreaction
- 8 years ago, 8 Nov 2015, 02:24pm -
[Academic Paper] Networks of Equities in Financial Markets [@Quantivity]
Networks of Equities in Financial Markets
- 8 years ago, 2 Nov 2015, 12:42pm -
[Academic Paper] Network Perspective of the Stock Market [@Quantivity]
Network Perspective of the Stock Market
- 8 years ago, 2 Nov 2015, 12:42pm -
[Academic Paper] Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships [@Quantivity]
Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships
- 8 years ago, 2 Nov 2015, 12:41pm -
[Academic Paper] Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs [@Quantivity]
Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs
- 8 years ago, 2 Nov 2015, 12:41pm -
[Academic Paper] Equity Returns at Turn of the Month [@Quantivity]
Equity Returns at Turn of the Month
- 8 years ago, 2 Nov 2015, 12:40pm -
[Academic Paper] Momentum and Risk Adjustment [@Quantivity]
Momentum and Risk Adjustment
- 8 years ago, 28 Sep 2015, 04:43am -
[Academic Paper] Market Condition and Momentum [@Quantivity]
Market Condition and Momentum
- 8 years ago, 28 Sep 2015, 04:42am -
[Academic Paper] Extreme Events in Stock Market Fundamental Factors [@Quantivity]
Extreme Events in Stock Market Fundamental Factors
- 8 years ago, 28 Sep 2015, 04:42am -
[Academic Paper] Measuring Multiscaling in Financial Time Series [@Quantivity]
Measuring Multiscaling in Financial Time Series
- 8 years ago, 28 Sep 2015, 04:41am -
[Academic Paper] Understanding Systematic Risk: A High-Frequency Approach [@Quantivity]
Understanding Systematic Risk: A High-Frequency Approach
- 8 years ago, 28 Sep 2015, 04:41am -
[Academic Paper] Robust Gaussian Filtering [@Quantivity]
Robust Gaussian Filtering
- 9 years ago, 15 Sep 2015, 06:57am -
[Academic Paper] k-Shape: Efficient and Accurate Clustering of Time Series [@Quantivity]
k-Shape: Efficient and Accurate Clustering of Time Series
- 9 years ago, 13 Sep 2015, 06:13pm -
[Academic Paper] Robeco: Expected Returns 2016 - 2020 (via @ZipperTheory) [@Quantivity]
Robeco: Expected Returns 2016 - 2020 (via @ZipperTheory)
- 9 years ago, 8 Sep 2015, 12:31am -
[Academic Paper] Acceleration Effect and Gamma Factor in Asset Pricing (improved Momentum) [@Quantivity]
Acceleration Effect and Gamma Factor in Asset Pricing (improved Momentum)
- 9 years ago, 6 Sep 2015, 12:40am -
[Academic Paper] Supply and Demand of S&P 500 Put Options [@Quantivity]
Supply and Demand of S&P 500 Put Options
- 9 years ago, 30 Aug 2015, 04:16pm -
[Academic Paper] Low-Beta Investment Strategies [@Quantivity]
Low-Beta Investment Strategies
- 9 years ago, 30 Aug 2015, 04:14am -
[Academic Paper] Persistency of the Momentum Effect: The Role of Consistent Winners and Losers [@Quantivity]
Persistency of the Momentum Effect: The Role of Consistent Winners and Losers
- 9 years ago, 30 Aug 2015, 04:11am -
[Academic Paper] Principal Component Analysis of High Frequency Data [@Quantivity]
Principal Component Analysis of High Frequency Data
- 9 years ago, 29 Aug 2015, 06:22pm -
[Academic Paper] Large-Dimensional Factor Modeling Based on High-Frequency Observations [@Quantivity]
Large-Dimensional Factor Modeling Based on High-Frequency Observations
- 9 years ago, 29 Aug 2015, 06:18pm -
[Academic Paper] Passive Hedge Funds (via @carlfischer101) [@Quantivity]
Passive Hedge Funds (via @carlfischer101)
- 9 years ago, 19 Aug 2015, 01:41pm -
[Academic Paper] Dynamic Mode Decomposition for Financial Trading Strategies [@Quantivity]
Dynamic Mode Decomposition for Financial Trading Strategies
- 9 years ago, 19 Aug 2015, 04:22am -