No I cannot explain it to them either or should we.
This covers the map for me for now as such.
https://systematicedge.wordpress.com/20 ... anagement/ https://systematicedge.wordpress.com/ca ... /rotation/
One very interesting aspect I found from this extended backtest is to see how the strategies performed during the Great Depression. While equal weight and sixty forty suffered large draw downs, FAA and relative momentum did comparatively well.
H the point we
survived this far is good enough...
Basket sweeps.
Arbitrage Pricing Theory (APT) extends CAPM by allowing for multiple factors instead of just one “beta” factor as a proxy for the market.
June 2012 : While constructing ex-ante optimized portfolios using risk factor inputs is possible, there are a significant set of challenges to overcome including: the need for active, frequent rebalancing; creating
forward-looking assumptions; and the use of derivatives and short positions. However, key elements
of factor-based methodologies can be integrated in multiple ways into traditional asset allocation structures to enhance portfolio construction, illuminate sources of risk and inform manager structure.
From what I see since idiots and fools are gnarly cousins this is what they did and the SEC can tiny hat cap these barbarians pricks
by mandatory reporting as 13-f over 2 to 4 million books. But they already knew this.....
Yea the current front run PB data positioning is the only bitch on fire we read also as is position washing which typical for now.
No one here should not understand what they just did and why on the constant known.
OTHER REFERENCES
J. Andersen. 2006. Efficient Simulation of the Heston Stochastic Volatility Model. Preprint.
M. Attari. 2004. Option pricing using fourier transforms: A numerically efficient simplification. Working paper, Charles River Associates.
S. Bochkanov. 2010. Alglib financial library.
www.alglib.net.
D. Brigo and F. Mercurio. 2006. Interest Rate Models - Theory and Practice, 2nd ed.
Springer, Berlin, Heidelberg, New York.
P. Carr and D. Madan. 1999. Option Valuation using the Fast Fourier Transform. Journal of
Computational Finance, (4): 61–73.
J.H. Chan and M. Joshi. 2010. Fast and Accurate Long Stepping Simulation of the Heston
Stochastic Volatility Model. Preprint, ssrn.com.
D. Duffy and J. Kienitz. 2009. Monte Carlo Frameworks - Building Customisable and Highperformance C++ Applications. John Wiley & Sons, Chichester.
F. Fang and K. Osterlee. 2008. A Novel Pricing Method for European Option based on
Fourier-Cosine Series Expansions. Munich Personal RePEc ARchive, 9319.
P. Glasserman and K.-K. Kim. 2008. Gamma Expansion of the Heston Stochastic Volatility
Model. Preprint, ssrn.com.
GSL. 2010. Gnu scientific library.
www.gnu.org/software/gsl.
A. Lewis. 2000. Option Valuation under Stochastic Volatility. Financepress.
Fang F. Bervoets G. Oosterlee C.W. Lord, R. 2008. A fast and accurate fft-based method for
pricing early-exercise options under Lévy processes. SIAM J. Sci Comput.
R. Lord and C. Kahl. 2006. Optimal Fourier inversion in semi-analytical option pricing.
Preprint.
M. Staunton. 2007. Monte Carlo for Heston. Wilmott magazine May, 70–71.
Pelsser A. van Haastrecht, A. 2008. Efficient, almost exact simulation of the Heston
stochastic volatility model. Preprint, ssrn.com.
https://web.archive.org/web/20140925095 ... %2f586.pdf
https://www.youtube.com/watch?v=uqUa_G1h3pw
thread: l8ter, uqUa_G1h3pw, Feigenbaum, Hessian matrix