Forex Books - page 7

[techmac]

Naive Analysis of Variance - W. John Braun

Not a forex book but can be used in forex. Statistics

The Analysis of Variance is often taught in introductory statistics courses, but it is not clear that students really understand the method. This is because the derivation of the test statistic and p-value requires a relatively sophisticated mathematical background which may not be well-remembered or understood. Thus, the essential concept behind the Analysis of Variance can be obscured. On the other hand, it is possible to provide students with a graphical technique that makes the essential concept transparent. The technique discussed in this article can be understood by students with little or no background in probability or statistics. In fact, only the ability to add, subtract, compute averages, and interpret histograms is required

braun.pdf

[techmac]

An Example of Using Linear Regression

An Example of Using Linear Regression ... jacobson.pdf

[Mladen Rakic]

Statistical Arbitrage – Part I

Ed Thorp, the pioneer of statistical arbitrage guides us through a typical day at the office

[Mladen Rakic]

Gambling and Investment

Just in order not to get lazy on holidays

Gambling and Investment Hedge Fund Concepts by Bill Ziemba

How to lose money in derivatives, oh and how to make it fast too

[Mladen Rakic]

Correlation Smile Structures in Equity and FX Volatility Markets

Some reading for weekend : "Correlation Smile Structures in Equity and FX Volatility Markets" by Nasir Afaf

[Mladen Rakic]

Portfolio Theory with a Drift

"Portfolio Theory with a Drift" by Hans-Peter Deutsch

The validity of the Markowitz approach to portfolio management, i.e., the mean/variance view on risk and return and, as a consequence, the validity of the CAPM have been questioned time and again in the literature. Most of these investigations focus on the underlying assumptions being not true in the real world. Specifically, asset returns are not normally distributed and neither volatilities nor correlations are constant over any reasonable holding period δt and therefore the volatility (which is the heart of the Markowitz theory) is not a suitable risk measure. Rather then re-stating all these investigations of empirical evidence for or against Markowitz and the CAPM, we take a different approach here. We stay within the Markowitz framework (which is basically the same as the Black-Scholes framework), i.e., we hold on to the assumptions that asset returns are normally distributed with constant volatilities and correlations and show, that even within this framework the volatility is not a suitable risk measure. We thus beat Markowitz theory with its own weapons, so to say.

[Mladen Rakic]

We happy Few

"We happy Few" by Gustav Bamberger

Across the political spectrum, people in charge (or people-in-charge - wannabes) treat you like children, but not us economists - we trust you. Whether it's left-leaning types who tell you that malevolent multinationals are brain washing you to convince you to eat more refined sugar and destroy the environment, or their rivals who warn you about Hollywood and its attempts to sabotage the nuclear family by glamorizing sex and adultery (I may be oversimplifying a bit), the message is loud and clear - regular people are a bunch of gullible losers who can't be trusted to make up their own minds.

[Mladen Rakic]

Numerical Methods for the Markov Functional Model

"Numerical Methods for the Markov Functional Model" by Simon Johnson

The Libor Market Model of Brace Gatarek and Musiela (BGM) (1997) is the market standard model for pricing and hedging exotic interest rate derivatives. Its advantages include model parameters which are easy to interpret in terms of financial variables, ability to define realistic correlation dynamics, and the ability to price essentially any callable Libor exotics by means of Monte Carlo valuation.

[seekers]

J.C.Hull : "Futures,Options and other Derivatives" - Futures,Options and other Derivatives

[Mladen Rakic]

“Stiff ’’ Field Theory of Interest Rates and Psychological Future Time - written by Belal E. Baaquie and Jean-Philippe Bouchaud