Posts Tagged ‘estrategias

30
Oct
11

Finanzas 101: FAQ, Short Selling + CDS

En el sitio de la Unión Europea, hay un accesible FAQ sobre la regulación sobre Short Selling y Credit Default Swaps.

¿Sesgos + momentum?, maybe.

Personalmente me quedo con la tabla comparativa -cerca del final- entre la regulacion del Short Selling en USA, EU y Hong Kong.

 

17
Oct
11

Tabla du Jour: Sin palabras…

(Fuente: Bespoke Investment Group)

11
Oct
11

Finanzas 101: Proxy Hedging

Tal vez es una serie de post más para finanzas 301, pero los ultimos 3 post de Quantivity hacen un buen capitulo de Hedging.

Proxy / Cross Hedging

“The root challenge of two current equity risk and alpha projects boil down to hedging using non-underlying instruments, known as proxy hedging or cross hedging.”

Empirical Quantiles and Proxy Selection

“(…)how to choose an appropriate hedge instrument, especially amongst several alternatives.”

Empirical Copulas and Hedge Basis Risk

“Of particular interest is understanding the dynamics of basis risk under extreme scenarios (both up and down), which are driven by time-varying stochastic joint covariation.”

20
Aug
11

Fun & Finance: #13, Charla sobre Opciones

En este episodio, Gaston empieza a trabajar con opciones y Leo le da una mano explicándole -de forma introductoria- de que tratan. Y para el final, le cuenta de una estrategia utilizada mucho en Argentina.

Siempre mejor en HD.

No se olviden de LIKE THIS !!

10
Aug
11

Paper: Equity y detección de Crashes

Detection of Crashes and Rebounds in Major Equity Markets

Financial markets are well known for their dramatic dynamics and consequences that affect much of the world’s population. Consequently, much research has aimed at understanding, identifying and forecasting crashes and rebounds in financial markets. The Johansen-Ledoit-Sornette (JLS) model provides an operational framework to understand and diagnose financial bubbles from rational expectations and was recently extended to negative bubbles and rebounds. Using the JLS model, we develop an alarm index based on an advanced pattern recognition method with the aim of detecting bubbles and performing forecasts of market crashes and rebounds. Testing our methodology on 10 major global equity markets, we show quantitatively that our developed alarm performs much better than chance in forecasting market crashes and rebounds. We use the derived signal to develop elementary trading strategies that produce statistically better performances than a simple buy and hold strategy.

Link al Paper

27
Jul
11

Gráfico du Jour: Really Too Big To Fail (RTBTF)

(Fuente Fitch, via FT Alphaville)

 

19
May
11

Invertir en Volatilidad

Schaeffers Research tiene un post donde analiza un trabajo de Morningstar donde compara dos portfolios uno con equity y cash y otro que tiene esos componentes más derivados del VIX. Para concluir con:

Well, that’s a downer. I think the point would be not to leverage, and accept the lower return/lower risk. Or, simply allocate less to volatility.

But truthfully, it’s more about the concepts here than actually replicating this portfolio. Remember — it’s all simulated to begin with. We only know how these actual volatility derivatives behaved in the last five years; the simulations have their own margins of error.

Basically, this all tells me that properly allocated and relatively frequently hedged VXZ provides a decent portfolio hedge over time.




Fun & Finance

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Contacto

informes@qfclub.com.ar
"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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