Monthly Archives: November 2011

Variability of volatility estimates from daily returns

Investment Performance Guy has a post “Periodicity of risk statistcs (and other measures)” in which it is wondered how valid volatility estimates are from a month of daily returns. Here is a quick look.  Figure 1 shows the variability (and a 95% confidence interval (gold lines) from a bootstrap) of the volatility estimate (black line) … Continue reading

Posted in Quant finance, R language | Tagged | 1 Comment

Two sentences from John Kay

A semantic confusion leads us to use the word market to describe both the process which puts food on our table and the activity of gambling in credit default swaps. Perhaps the “something nicer” which should replace capitalism is a more nuanced – and more accurate – account of capitalism itself. The sentences that surround … Continue reading

Posted in Economics | Leave a comment

News Analytics Workshop and other events

Some upcoming events. News Analytics Applied to Trading, Fund Management and Risk Control News interacts with markets.  This workshop will explore news feeds and models that are used to try to understand that interaction.  Researchers from CARISMA at Brunel University and their collaborators — including people from Thomson Reuters and Ravenpack — will be the … Continue reading

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