Archive for the 'Uncategorized' Category

17
Nov
11

Nos Mudamos!

Estimados,

A partir de ahora nos mudamos de lugar!

El nuevo sitio es www.quantfinanceclub.com

El propósito de este nuevo sitio es actuar como un recopilador de información, de opiniones y de material útil para acompañar los distintos desarrollos de sus usuarios. Una biblioteca no borgiana de ideas, experiencias y practicas.

Entre las nuevas cosas, pusimos un foro para que discutan lo que quieran.

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11
Feb
11

Fun & Finance: Capitulo 2, Valuación del TVPP

En este capitulo, Juan Manuel acepta tomar un cafe con Gaston para explicarle que es el Cupón atado al PBI y como deberia valuarlo. Para esto ultimo le comenta como lo hizo el en su momento.

02
Feb
11

QFClub en HD

Ahora que el HD esta de moda, nos vestimos coquetos y salimos a poner la cara

En esta edición Gastón recién vuelve de vacaciones y Martín nos cuenta como anduvieron los bonardos en 2010 y nos da su visión para el 2011

27
Jan
11

Humor du Jour: Chiste matematico

2 plus 2 equals 5 for sufficiently large values of 2

20
Sep
10

Gráfico du Jour: Pronósticos

(Fuente: NYT)

26
Aug
10

Paper: retornos, cuando la información significa distintas cosas en distintos tiempos

Return Predictability When News Means Different Things in Different Times

Abstract:
Return predictability can vary across the business cycle due to the same news conveying different information in different states. Industrial metals such as aluminum and copper contain information about the economy, which gradually diffuses into the equity market. Industrial metal price increases are good news for equities during contractions as investors take this as a signal that growth is emerging. However, increases during expansions can signal an overheating economy and are seen as negative for equities. Whether one finds positive, negative or no predictability depends on the number of expansion versus contraction states in the sample.

Link al Paper

26
Aug
10

Una nueva “Normal” y reversión a la media

Via FT, me cruce con un post de James Montier en el cual explica porque la posición de la troupe de PIMCO sobre las estrategias de reversión a la media es un poco prematura; a pesar de la existencia de una nueva Normal (distribución).

In a recent article [1] Richard Clarida and Mohamed El-Erian of PIMCO argued that the ‘New Normal’ offered at least five implications for portfolio management.

I. Investing based on mean reversion will be less compelling

II. Risk on/risk off fluctuations in sentiment will continue

III. Tail hedging becomes more important

IV. Historical benchmarks and correlations will be challenged

V. Less credit will be available to sustain leverage and high valuations

Implications IV and V seem pretty reasonable to me. However, reports of the death of mean reversion are premature. I fear that the authors are confusing the distribution of economic outcomes with the distribution of asset market returns. The distribution of economic outcomes may well turn out to be flatter, with fatter tails than we have previously experienced.

However, asset markets have long suffered such a distribution; it has proved no impediment to mean reversion based strategies. In fact, the fat tails of the asset market have provided the best opportunities for mean reversion strategies.




Fun & Finance

Vimeo

Fun & Finance Rollover

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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