Forex Books - page 6

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The Martingale Optimality Principle: The best you can is good enough

"The Martingale Optimality Principle: The best you can is good enough" by Ralf Korn

The word martingale is definitely among the most used words in mathematical finance, a fact which is due to the fundamental importance of martingale measures in connection with option pricing. However, this subject will not be touched here. The area of application where this article is centered around is not pricing but optimal behaviour of an individual at a financial market or at any area where decisions about control actions have to be taken such as looking for optimal investment strategies, steering an airplane in an efficient way, or searching for the optimal velocity of a production line.
 

The Capital Growth Theory of Investment

The Capital Growth Theory of Investment by Bill Ziemba

The use of log utility dates at least to the letters of Daniel Bernoulli more than two hundred years ago. The idea that additional wealth is worth less and less as it increases and this utility tails off proportional to the level of wealth is very reasonable to many students of investment. On the surface, this utility function seems safe for investing. However, I shall argue that log is the most risky utility function one should ever consider using and it is most dangerous. However, if used properly in situations where it is appropriate, it has wonderful properties. For long term investors who make many short term decisions, it yields the highest long run levels of wealth. This is called Kelly betting in honor of Kelly's 1956

paper that introduced this type of betting. In finance, it is often called the Capital Growth

Theory
 

Half of a Coin: Negative Probabilities

Half of a Coin: Negative Probabilities by Gábor J. Székely

Half coins are strange objects with infinitely many sides. They are numbered with 0, 1, 2, . . . and the positive even numbers are taken with negative probabilities. Two half coins make a complete coin in the sense that if we flip two half coins then the sum of the outcomes is 0 or 1 with 1/2 probability as if we simply flipped a fair coin. In this paper we clarify the meaning and interpretation of negative probabilities and illustrate their importance in finance.
 

Extrapolation for Time-Series and Cross-Sectional Data

One book about time series extrapolation : "Extrapolation for Time-Series and Cross-Sectional Data" by J. Scott Armstrong

The short quote from it that might explain in short what is it about (don't worry, unlike the quote, the book is quite serious )

Trend Extrapolation
A trend is a trend is a trend,

But the question is, will it bend?

Will it alter its course

Through some unforeseen force

And come to a premature end?

Cairncross (1969)

Will the trend bend? Some statisticians believe that the data can reveal this. In my judgment, this question can best be answered by domain knowledge. Experts should have a good knowledge of the series and what causes it to vary.
 

Filtering in Finance

In this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter. Because of common nonlinearities, we will be discussing the Extended Kalman Filter

An article written by :

Alireza Javaheri, RBC Capital Markets

Delphine Lautier, Université Paris IX, Ecole Nationale Supérieure des Mines de Paris

Alain Galli, Ecole Nationale Supérieure des Mines de Paris

Files:
filtering_in_finance.pdf  327 kb
 

"Hedge Fund Scenario Analysis" by Bill Ziemba

 

Volatility Estimation via Chaos Expansions

"Volatility Estimation via Chaos Expansions" by Alireza Javaheri, Ecole des Mines de Paris, France

The question of estimation of volatility has been studied extensively in the past two decades. As discussed for instance in (Javaheri, Lautier and Galli 2003) one possible approach would be the use of nonlinear filtering. In that article techniques such as the extended Kalman filter (EKF), the unscented Kalman filter (UKF) and simulation based particle filtering (PF) were applied.

On the other hand, the concept of Wiener chaos expansions (WCE) has been recently introduced in finance in the context of Malliavin calculus (Oksendal 1997), option hedging (Lacoste 1996) as well as unified framework for interest rate and foreign exchange modeling (Hughston and Rafailidis 2005). Interestingly WCE has a natural application to the problem of nonlinear filtering as pointed by many such as (Lototsky, Mikulevicius and Rozovskii 1997).

In this paper this idea is used to present a series expansion allowing us to find the optimal estimation of the hidden volatility.
 

Ichimoku Winners e-book by Ahmed Elagouz

Hello Forex WinnersGreetings from EgyptHere is my e-book , Ichimoku Winners.

I have published it in November 21, 2012 on my blog. You will know how to read the market with Ichimoku Kinkō Hyō indicator which is the best on your MetaTrader.

You can use it alone , can mix it with price action trading or use it with trend lines to take perfect signals from it.

I have written the e-book in an easy and simple way to be understandable for all. Also there are lots of pictures to be more easy for you. So , your English shouldn't be perfect to understand the e-book. It's time to join Forex Winners !

Read the e-book directly from here:

http://www.forexwinners.net/Ichimoku-Winners.pdf

Lean more about Ichimoku Clouds (Kumos) on Ichimoku Winners e-book

Also you : Will know how to use Chinko Span.

Will know how to use kijun sen.

Will know how to use tenkan sen.

Download from a direct link from here :

http://forexwinners.net/Ichimoku-Winners-e-book.rar

Best wishes for all ^_^

Ahmed Elagouz

Files:
ichimoku-winners1.jpg  32 kb
 

Hedge Fund Concepts and a Typical Trade

"Hedge Fund Concepts and a Typical Trade" by Bill Ziemba

Hedge funds are pooled investments that attempt to obtain superior returns for their mostly wealthy investors. The general partner runs the fund and collects fees to compensate for expenses, management fee and superior performance.
Files:
hedge_fund_concepts.pdf  121 kb
 

He really got a point :)

mladen:
About something so obvious that it is almost always overlooked : "Hidden Conditions and Coin Flip Blow Ups" article by Espen Gaarder Haug
Files:
coin_flip.gif  200 kb
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