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nekross


Total Posts: 89
Joined: Feb 2006
 
Posted: 2016-10-27 16:53
done

No Risk No Fun

ComteZero


Total Posts: 523
Joined: Jun 2004
 
Posted: 2016-11-07 17:52
I'd like to have a review on smartbeta ETF market and strategies (in phrench "beta" == "dumb", so it's quite antinomic, and given some strategies seems quite accurate, but it's not my point).

I found some general reviews on SB ETF market from JPM and Morningstar, but they hardly point underlying strategies (and their constraints) anyone has something particuliar in mind ?


/* Trust is good, no trust is better. */

zee4


Total Posts: 59
Joined: May 2010
 
Posted: 2016-11-08 04:38
BlackRock has this guide

Бухарский

frolloos


Total Posts: 5
Joined: Dec 2007
 
Posted: 2016-11-14 09:54
@jsl1:

The paper will be published in Jan 2017, and I signed a non-distribution agreement so can't send / post it here unfortunately.

Of course if you can get hold of the paper through someone who downloaded it before it was accepted for publication that's fine. If you'd like more info on the ideas used in the paper feel free to send me a message.

deeds


Total Posts: 349
Joined: Dec 2008
 
Posted: 2016-11-14 22:10
thank you nekross!

tradeking


Total Posts: 7
Joined: May 2016
 
Posted: 2016-11-21 02:15
"prediction of hidden liquidity in the limit order book of globex futures" by christensen and woodmansey, journal of trading, 2013, vol 8, pg 68-95

may i also have a copy too please? thank you!

pj


Total Posts: 3353
Joined: Jun 2004
 
Posted: 2016-11-21 09:26
tradeking,
check your email...

I saw a dead fish on the pavement and thought 'what did you expect? There's no water 'round here stupid, shoulda stayed where it was wet.'

tradeking


Total Posts: 7
Joined: May 2016
 
Posted: 2016-11-21 15:32
thank you pj!

Cheng


Total Posts: 2838
Joined: Feb 2005
 
Posted: 2016-12-09 15:38
I am looking for a rather technical explanation, how Bitcoin and especially Blockchain work. Since I have nothing specific in mind feel free to post what you like. For orientation, I found this, which goes in the right direction, but it not "technical enough" for my taste. I look for something that stops short of char[32] Smiley.

"He's man, he's a kid / Wanna bang with you / Headbanging man" (Grave Digger, Headbanging Man)

mib


Total Posts: 354
Joined: Aug 2004
 
Posted: 2017-01-08 15:01
Cheng, on blockchains in general, Ethereum white paper gives a short but also relatively precise intro (see also references at the end) https://github.com/ethereum/wiki/wiki/White-Paper

On a more tradiitonal topic, I would appreciate if someone could share with me these two papers from Risk

http://www.risk.net/risk-magazine/technical-paper/2478967/beat-equal-weighting-a-strategy-for-portfolio-optimisation

http://www.risk.net/risk-magazine/technical-paper/2472874/flylets-and-invariant-risk-metrics


thanks


Head of Mortality Management, Capital Structure Demolition LLC

pj


Total Posts: 3353
Joined: Jun 2004
 
Posted: 2017-01-08 20:44
@ mib
You have been served, sir!

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

mib


Total Posts: 354
Joined: Aug 2004
 
Posted: 2017-01-09 00:37
Thank you, pj!

Head of Mortality Management, Capital Structure Demolition LLC

tabris


Total Posts: 1247
Joined: Feb 2005
 
Posted: 2017-01-16 10:34
pj or mib, do you mind passing the papers along as well? would be interested to take a look

Thanks in advance

Dilbert: Why does it seem as though I am the only honest guy on earth? Dogbert: Your type tends not to reproduce.

pj


Total Posts: 3353
Joined: Jun 2004
 
Posted: 2017-01-16 11:09
done

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

zee4


Total Posts: 59
Joined: May 2010
 
Posted: 2017-01-19 10:32
Does anybody have a copy of this paper:
Conditional Distribution in Portfolio Theory, Qian & Gorman, Financial Analysts Journal, March/April 2001, Volume 57 Issue 2

Thanks.

Бухарский

pj


Total Posts: 3353
Joined: Jun 2004
 
Posted: 2017-01-19 15:38
Check your email

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

polysena


Total Posts: 1047
Joined: Nov 2007
 
Posted: 2017-01-19 22:16
Cheng,
I do not know what you've already seen or read, but I liked
this or the seminal.
Elliptic and Kobliz curves and use in Bitcoins
Poly

Свобода - это то, что у меня внутри. (Ленинград и Кипелов - "Свобода") Кому то очень больно, а кому то заебись (Серебряная свадьба)

zee4


Total Posts: 59
Joined: May 2010
 
Posted: 2017-01-20 05:17
pj, thank you very much!

Бухарский

radikal


Total Posts: 258
Joined: Dec 2012
 
Posted: 2017-01-31 03:03
Looking for "The eSSVI volatility surface" by S. Hendriks and C. Martini -- ‘At the frontiers of quantitative finance’, ICMS, Edinburgh, 2016

(Not just Gatheral's notes)

There are no surprising facts, only models that are surprised by facts

SgtPepper


Total Posts: 106
Joined: Sep 2006
 
Posted: 2017-02-03 11:30
Hi.
Does anyone have access to :
An, Y. and Li, C. (2015) ‘APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH’, Probability in the Engineering and Informational Sciences, 29(4), pp. 547–563.
Many thanks !
SgtPep

Adeka


Total Posts: 3
Joined: Oct 2012
 
Posted: 2017-02-03 15:58
@SgtPep
Please check your email

rftx713


Total Posts: 99
Joined: May 2016
 
Posted: 2017-03-04 19:36
Apologies if this has been posted already, but I'm looking for information relating to the various commodity indexes as well as ways certain participants use the futures market to simply get exposure to the underlying. Beyond that, anything that talks about common roll methodologies and how those indexes / "passive" players approach the roll. Thanks in advance and happy to provide anything in return if I'm able to do so.

contango_and_cash


Total Posts: 72
Joined: Sep 2015
 
Posted: 2017-03-15 20:48
"the patterns of change in implied index volatilities" derman & kamal 1997


and

"The Dynamics of Implied Volatility Surfaces" Clewlow, Hodges and Skiadopoulos

please

tbretagn


Total Posts: 252
Joined: Oct 2004
 
Posted: 2017-03-15 21:03
sent the derman paper

Et meme si ce n'est pas vrai, il faut croire en l'histoire ancienne

HankScorpio


Total Posts: 465
Joined: Mar 2007
 
Posted: 2017-03-16 12:01
Could some kind soul please forward me the same two papers requested by contango_and_cash?

Thank you.
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