Posts Tagged ‘Modelos


Paper: Volatilidad explosiva

Explosive Volatility: A Model of Financial Contagion

This paper proposes a model of financial contagion that accounts for explosive, mutually exciting shocks to market volatility. We fit the model using country-level data during the European sovereign debt crisis, which has its roots in the period 2008–2010, and was continuing to affect global markets as of October, 2011. Our analysis shows that existing volatility models are unable to explain two key stylized features of global markets during presumptive contagion periods: shocks to aggregate market volatility can be sudden and explosive, and they are associated with specific directional biases in the cross-section of country-level returns. Our model repairs this deficit by assuming that the random shocks to volatility are heavy-tailed and correlated cross-sectionally, both with each other and with returns.
We find evidence for significant contagion effects during the major EU crisis periods of May 2010 and August 2011, where contagion is defined as excess correlation in the residuals from a factor model incorporating global and regional market risk factors. Some of this excess correlation can be explained by quantifying the impact of shocks to aggregate volatility in the cross-section of expected returns—but only, it turns out, if one is extremely careful in accounting for the explosive nature of these shocks. We show that global markets have time-varying cross-sectional sensitivities to these shocks, and that high sensitivities strongly predict periods of financial crisis. Moreover, the pattern of temporal changes in correlation structure between volatility and returns is readily interpretable in terms of the major events of the periods in question.

Link al Paper


Fun & Finance: #15, Charla sobre la Tasa Libre de Riesgo

En este episodio, Manuel le explica a Gaston que es la Tasa Libre de Riesgo y -de forma introductoria- que rol juega en los modelos de pricing de activos.

Siempre Mejor en HD

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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.”


Seminarios MFIN-UTDT

 Es un verdadero placer comentarles que el QF CLUB ha sido convocado y contribuirá –en el 2012- con dos Seminarios a la Maestría en Finanzas de la Universidad Torcuato Di Tella (MFIN-UTDT).

 Desde la llegada del nuevo Director, Dr Germán Fermo, las dos ramas de la Maestría en Finanzas, Corporativas y Mercado de Capitales, se están nutriendo con una cuota adicional de alto pragmatismo y experiencia de mercado financiero, dándole así, un nuevo aire diferenciador dentro de la oferta académica. Según el mensaje de su Director, es esencial un adecuado equilibrio entre pragmatismo de mercado y sólido sustento académico.

En la rama que nos compete Mercado de Capitales / Finanzas Cuantitativas, se ofrecerán dos seminarios quants:

1)     Seminario de Ingeniería Financiera en lenguaje C++

2)     Seminario de Modelización Aplicada al Trading

La posibilidad de participar en este proceso, es un grato elogio para los miembros del QF CLUB, ya que los mismos tienen como premisas seguir educándose e intercambiar constantemente prácticas profesionales.

El empuje y la sapiencia de personas como Manuel Calderon, Leonardo Vicchi, Juan Manuel Truppia, Martin Merlo, Ivan Baumann Fonay, Lucia Cipolina, Matias Schapiro, Hector Bastidas, Juan Ignacio Ruth, Federico Kattan, Julian Baclini, Leandro Infantino, Carlos Tolmasky, Marco Avellaneda, entre otros, han hecho esto posible.


Paper: Equity Yields

Equity Yields

We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help predict other measures of economic growth such as consumption growth. We relate the dynamics of growth expectations to recent events such as the financial crisis and the earthquake in Japan.

Link al Paper


Paper: Dinámicas Colectivas

Collective behavior in financial market

Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using concepts of network synchronization. We consider networks constructed by the correlation matrix of asset returns and study the time evolution of the phase coherence among stock prices. It is verified that during financial crisis a synchronous state emerges in the system, defining the market’s direction. Furthermore, the paper proposes a statistical regression model able to identify the topological features that mostly influence such an emergence. The coefficients of the proposed model indicate that the average shortest path length is the measurement most related to network synchronization. Therefore, during economic crisis, the stock prices present a similar evolution, which tends to shorten the distances between stocks, indication a collective dynamics.

Link al Paper


Paper: Modelizar el contagio

Heterogeneity, correlations and financial contagion

We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on the failure of a random bank, the most connected bank and the biggest bank, and we consider the effect of targeted policies aimed at increasing the capital requirements of a few banks with high connectivity or big balance sheets. Networks with heterogeneous degree distributions are shown to be more resilient to contagion triggered by the failure of a random bank, but more fragile with respect to contagion triggered by the failure of highly connected nodes. A power law distribution of balance sheet size is shown to induce an inefficient diversification that makes the system more prone to contagion events. A targeted policy aimed at reinforcing the stability of the biggest banks is shown to improve the stability of the system in the regime of high average degree. Finally, disassortative mixing, such as that observed in real banking networks, is shown to enhance the stability of the system.

Link al Paper


Reunion del qf club: La Revolución ETFs

Ayer tuvimos el gusto de escuchar a Marco Avellaneda presentando: “The ETF Revolution: International and Brazilian Perspectives”.

Aquí esta la Presentación



Applied Finance with R

Ese fue el slogan de R/FINANCE 2011. Gracias al twitter de Quantivity, llegue a las presentaciones de esta Conferencia que se realizó en Chicago (USA), el 29 y 30 de Abril.

Aqui esta el link a todas las presentaciones.


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

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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December 2020



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