Forex Books - page 10

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Sameone have this book :

"Ocean Theory" by Jim Sloman.

Thanks.:)

 

It can be found here : http://www.manyblessings.net/books.html

corinali:
Sameone have this book :

"Ocean Theory" by Jim Sloman.

Thanks.:)
 

Fortune Seen as Fate :: Quant Jobs After the Credit Crunch

"Fortune Seen as Fate :: Quant Jobs After the Credit Crunch" - Dominic Connor,

My firm, P&D Quant recruitment has just taken on two more people to help with the increasing workload. A year ago this would haven a bland piece of corporate puff of so little interest that we’d probably not even have bothered telling anyone. But in today’s market, it has caused more than one person to express at least some surprise. So have we completely lost our minds ? Should we not be cutting costs with a chainsaw ? Maybe looking for a different, more stable line of work like putting out fires on oil wells ?
 

Nonlinear Forecasting Using Factor-Augmented Models

"Nonlinear Forecasting Using Factor-Augmented Models" - BRUNO CARA GIOVANNETTI

A reasonably recent advance in forecasting is the so-called factor-augmented model. In a first step one estimates a few latent common factors from a large number of explanatory variables. Then, in a second step, the estimated common factors are used as covariates in a forecasting regression.

Assuming forecast variables to be linearly related to both their lags and common factors, Stock and Watson (2002) show that out-of-sample forecasting for macroeconomic variables can be improved with such a methodology. Ludvigson and Ng (2009a,b) use factor-augmented linear regressions to argue that bond excess returns are forecastable by macroeconomic variables. They present evidence that the inclusion of a macro factor in the model developed by Cochrane and Piazzesi (2005) improves the forecasting results.

Given the dimensionality reduction provided by the factor approach, a natural extension of this literature would be to consider the possible existence of nonlinearity in the models. Could the employment of a factor-augmented nonlinear model improve forecasting results even more?
 

Plus this one :

On 22 February, the European Commission published its first winter economic forecast for the euro area and the European Union as a whole. The forecast covers a wide range of indicators including gross domestic product (GDP), inflation, employment and public finances for 2012‑14.

Euro Area Winter Forecast 2012-2014.pdf

 

Thanks so much mladen for sharing these wonderful articles and books. They are great!

 

"Amaranthus Extermino" - Bill and Rachel Ziemba

What does the 2006 Amaranth Advisors natural gas hedge fund disaster tell us about the state of hedge funds?

On September 19, 2006 the hedge fund Amaranth Advisors of Greenwich, Connecticut announced that it had lost $6 billion, about two thirds of the $9.25 billion fund in less than two weeks, largely because it was overexposed in the natural gas market. The case of Amaranth provides a key example to understand how a series of trades can undermine the strategy of such a hedge fund and the assets of investors.

The Greenwich, Connecticut fund was founded in 2000, employed hundreds in a large investment space with other offices in Toronto, London and Singapore. In this column we analyze how Amaranth became so overexposed, whether risk control strategies could have prevented the liquidation and how these trends reflect the current state of the financial industry.
Files:
amaranthus_extermino.pdf  434 kb
 

HFT in Russia

"HFT in Russia" - Mike O’Hara

The nature of the high frequency trading business is that HFT firms generally like to target “low hanging fruit”. They spot an opportunity and - using their models and technology - proceed to pick it, quickly and efficiently.

This works well for a while, but what happens when - as is increasingly the case in the European and US markets - all the low-hanging fruit has been picked? Firms are faced with a couple of choices. Either they can build more sophisticated

models and adopt ever-faster (and more expensive) technology, to climb higher up the trees in an attempt to capture increasingly smaller increments of alpha. Or they can find a new orchard.

Is Russia the new orchard?
Files:
hft-in-russia.pdf  86 kb
 

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