Quant finance

Not exactly pin-point accuracy. Previously Two related posts are: A practical introduction to garch modeling garch and long tails Experiment 1000 simulated return series were generated.  The garch(1,1) parameters [...]

Previously This book and the associated R package were introduced before. Executive Summary A very nice -- and enlightening -- discussion of a wide range of topics. Principles The [...]

How much does garch shorten long tails? Previously Pertinent blog posts include: "A practical introduction to garch modeling" "The distribution of financial returns made simple" "Predictability of kurtosis and [...]

I unfortunately was not there, but we can vicariously enjoy it via the presentations that are posted on the conference website. Below is my take on the highlights (in [...]

How are returns calculated when net asset value goes negative? Previously In "A tale of two returns" we highlighted the similarities and differences of log returns versus simple returns. [...]

Portfolio diversity is a balancing act. Previously The post "Portfolio diversity" talked about the role of the correlation between assets and the portfolio.  The current post fills a hole [...]

An explanation of alpha factor alignment in portfolio optimization, and a look at the spectrum of views on it. Venue FactSet recently hosted an event that included a panel [...]

We look at volatility clustering, and some aspects of modeling it with a univariate GARCH(1,1) model. Volatility clustering Volatility clustering -- the phenomenon of there being periods of relative [...]

A look at a simplistic measure of stock-picking opportunity. Motivation The interquartile range (the spread of the middle half of the data) has recently been added to the market [...]

Maximum drawdown is blazingly variable. Psychology Probably the most salient feature that an investor notices is the amount lost since the peak: that is, the maximum drawdown. Just because [...]