TonyC
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| Nuclear Energy Trader |
| Total Posts: 1364 |
| Joined: May 2004 |
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I've tried the usual hubs, but they don't seem to have anything for JPM more recent than December of 2019 (or maybe they do and I just can't read Cyrillic)
So I'd be grateful if somebody could pass the following along to me:
Is Smart Beta Still Smart under the Lens of the Diversification Return?
Wenguang Lin and Gary C. Sanger
The Journal of Portfolio Management November 2020, jpm.2020.1.180; DOI: https://doi.org/10.3905/jpm.2020.1.180 |
flaneur/boulevardier/remittance man/energy trader |
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TonyC
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| Nuclear Energy Trader |
| Total Posts: 1364 |
| Joined: May 2004 |
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Thank you sir, as Sir Paul McCartney said in band on the run, "if we ever get out of here" , I will have to buy you several drinks (although not quite as nice a drink as these folks, whom Fortune smiled upon)
https://nypost.com/2020/10/23/couple-mistakenly-served-2000-wine-at-nyc-restaurant/?utm_campaign=iphone_nyp&utm_source=message_app |
flaneur/boulevardier/remittance man/energy trader |
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Anytime! Keeping within the same verse, "All I need is a pint a day". Unfortunately, it doesn't look like we're getting out too soon.
The best part of the article: "... had been ordered by four Wall Street businessmen who apparently didn’t notice the error". |
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TonyC
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| Nuclear Energy Trader |
| Total Posts: 1364 |
| Joined: May 2004 |
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| The lesson to learn is, "always get the wine decanted at the table" |
flaneur/boulevardier/remittance man/energy trader |
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eye51
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| Total Posts: 213 |
| Joined: Oct 2004 |
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@TonyC & @gmetric flow, thanks for the nice ref and the paper!
I had not seen this one myself..
@TonyC; moved from energy to equity? |
Peace means reloading your guns |
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TonyC
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| Nuclear Energy Trader |
| Total Posts: 1364 |
| Joined: May 2004 |
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> @TonyC; moved from energy to equity?
Sort of semi-retired, which means I work twice as hard to earn half as much
But I wanted the paper just for the technique of separating out factors from diversification return, not necessarily on equities, there are commodity indices too
. F'rinstance it might be interesting to know if your typical multicommodity "2 factor double sort contango/backwardation combined with time series momentum" was a return that was actually associated with shorting the contango going long the backwardation and simultaneously following the trend? Or is it just associated with the diversification across commodities?
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flaneur/boulevardier/remittance man/energy trader |
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eye51
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| Total Posts: 213 |
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Interesting. I will keep an eye on the refs you come up with :) .. because they seem to be also very interesting to me
regards,
Bastiaan |
Peace means reloading your guns |
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zee4
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| Total Posts: 90 |
| Joined: May 2010 |
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It's embarrassing, but I cannot seem to find PDF of this:
Peter Carr and Keith Lewis. Corridor variance swaps. Risk, 17(2):67–72, 2004
Anybody? |
Бухарский |
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bullero
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| Total Posts: 75 |
| Joined: Feb 2018 |
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This might be difficult to source, but let's give it a go:
Simulation of a Limit Order Driven Market by Julian Lorenz and Joerg Osterrieder
Not available for download in SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2984309
Anybody?
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pj
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| Total Posts: 3670 |
| Joined: Jun 2004 |
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| Check your email |
The older I grow, the more I distrust the familiar doctrine that age brings wisdom
Henry L. Mencken |
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bullero
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| Total Posts: 75 |
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Strange
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| Total Posts: 1684 |
| Joined: Jun 2004 |
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does someone has access to this paper, I'll owe you a beer!
VIX term structure and VIX futures pricing with realized volatility
by Zhuo Huang, Chen Tong, Tianyi Wang,
The Journal of Futures Markets
Volume 39, Issue 1
January 2019
Pages 72-93 |
'Progress just means
bad things happen faster.’
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pj
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| Total Posts: 3670 |
| Joined: Jun 2004 |
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| check your email |
The older I grow, the more I distrust the familiar doctrine that age brings wisdom
Henry L. Mencken |
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Strange
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| Total Posts: 1684 |
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| thank you! |
'Progress just means
bad things happen faster.’
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frolloos
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| Total Posts: 137 |
| Joined: Dec 2007 |
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| @zee4 in your inbox. |
No vanna, no cry |
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zee4
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| Total Posts: 90 |
| Joined: May 2010 |
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| appreciate it, frolloos! |
Бухарский |
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Hi all,
I made an app for curated quant research seeding it with ~200 relevant research papers & indexed them. I'm planning to expand that over time & will be posting short summaries of them on the associated twitter feed. Hope you find it useful!
Site: https://pipeshift.io
Twitter: https://twitter.com/pipeshift_io |
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Hi guys,
does anyone happen to have access to Ingo Sauer's dissertation:
The influence of the central bank’s assets on the exchange rate and the price level: essays and empirical analyses
Thanks
campo |
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frolloos
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| Total Posts: 137 |
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| Anyone have Durrleman's unpublished manuscript (2003) titled "A note on initial volatility surface"? |
No vanna, no cry |
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nikol
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@campo
I got curious myself. Tried to find, but no trace.
Only this might get your attention
https://www.youtube.com/channel/UCbYoxrOzFUiH8NVPonfSniQ/videos
you also have an option to write him a kind email. |
... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c) |
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| @nikol, thanks. I since contacted him and there'll be a working paper on SSRN some time this year that's based on his thesis. |
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TonyC
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| Nuclear Energy Trader |
| Total Posts: 1364 |
| Joined: May 2004 |
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> frolloos wrote:
> Anyone have Durrleman's unpublished manuscript (2003) titled "A note on initial volatility surface"?
i, too, would be grateful for a copy of Durrleman's paper |
flaneur/boulevardier/remittance man/energy trader |
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nekross
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| Total Posts: 91 |
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Hi, does anyone has access to:
Markus Brunnermeier, Emmanuel Farhi, Ralph S J Koijen, Arvind Krishnamurthy, Sydney C Ludvigson, Hanno Lustig, Stefan Nagel, Monika Piazzesi, Review Article: Perspectives on the Future of Asset Pricing, The Review of Financial Studies, 2021.
https://doi.org/10.1093/rfs/hhaa129 |
No Risk No Fun |
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