This is a summary of links featured on Quantocracy on Monday, 09/21/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Active Share Debate: AQR versus the Academics [Alpha Architect]There is an interesting discussion in the geeky world of academic finance literature between the intellectual muscle at AQR and academia. aqr versus the academics on active share The discussion revolves around the following question: Does Active Share matter? This is an important topic for active ETFs and Mutual Funds in the marketplace. The original paper on this measure was written by
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Risk Management for Automated Trading I : Lack of it [Quant Insti]Impact of Proliferation of Automated Trading Systems and Technology on Financial Markets With the advent of automated trading everything has become computerized. Risk management takes a whole new level in this technologically fast paced world. The trends in day-to-day trading have been changing. This change has led to many automated trading failures where risk was not managed in a sound manner.
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Correlation and correlation structure [Eran Raviv]This post is about copulas and heavy tails. In a previous post we discussed the concept of correlation structure. The aim is to characterize the correlation across the distribution. Prior to the global financial crisis many investors were under the impression that they were diversified, and they were, for how things looked there and then. Alas, when things went south, correlation in the new
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Forecasting interest rates [Econbrowser]There was lots of action in financial markets last week, with much of the attention focused on the U.S. Federal Reserve. The interest rate on a 10-year U.S. Treasury bond edged up 10 basis points early in the week in anticipation that the Fed might finally raise its target for the short-term interest rate. But it shed all that and more after the Fed announced it was standing pat for now. Price of