December 15, 2011
Do non-trading days explain the mystery of volatility estimation? Previously The post "The volatility mystery continues" showed that volatility estimated with daily data tends to be larger (in recent [...]
December 12, 2011
Last week was the news analytics workshop at Birkbeck College. The idea There is room in news analytics for a large range of approaches. The leading model runs along [...]
December 5, 2011
How do volatility estimates based on monthly versus daily returns differ? Previously The post "The mystery of volatility estimates from daily versus monthly returns" and its offspring "Another look [...]
November 30, 2011
How does the effect of our expected returns change over time? This is not academic curiosity, we want to know in the context of our portfolio if we can. [...]
November 23, 2011
Room with a view. A problem Most groups concerning finance on LinkedIn are full of garbage. Lots of items that don't pertain to the real subject of the group, [...]
November 21, 2011
Be careful if you have global daily data. The issue Markets around the world are open at different times. November 21 for the Tokyo stock market is different from [...]
November 11, 2011
Casting doubt on the possibility of mean reversion in the S&P 500 lately. Previously A look at volatility estimates in "The mystery of volatility estimates from daily versus monthly [...]
November 8, 2011
What drives the estimates apart? Previously A post by Investment Performance Guy prompted "Variability of volatility estimates from daily data". In my comments to the original post I suggested [...]
November 7, 2011
Financial mathematicians have built an increasingly elaborate structure around the idea of “the market” ... In this article, I intend to challenge some of these foundational concepts with the [...]
November 3, 2011
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. [...]