This talk will present a new framework for quantification of the coupling and interdependences between different financial markets. The employment of ideas and techniques from complexity science and the proposed theory of coupled and interdependent networks to understand and quantify the role of connections and dependencies within a system and…

Summary: Portfolio managers around the world regularly engage in efforts to improve. Improvement is motivated, by among other forces, the manager’s internal desire to excel, the expectations of client/investors and the demands of an ever changing market. Yet, managers report little confidence in their ability to improve. They invest tremendous…

Abstract Portfolio construction and risk budgeting are the focus of many studies by academics and practitioners. In particular, diversification has spawn much interest and has been defined very differently. In this research, we analyze a method to achieve portfolio diversification based on the decomposition of the portfolio’s risk into risk…

News sentiment has been a hot topic in the quantitative investment space for a number of years now, and in our past research we have studied how signals derived from this unique data source can add alpha to quantitative investment strategies. In this research, we turn our attention to a…

Boston QWAFAFEW Meeting: Tuesday, 20 Nov 2012 Scaling MATLAB Financial Applications with Clusters, GPUs and the Cloud’ Advances in parallel and distributed computing technologies and reduction in the cost of computational hardware has opened up many opportunities for quants who rely on intensive computations for their research. Gone are the days…

Corporate debt burdens the issuer with fixed costs and saddles the investor with an illiquid investment because transaction costs dominate the small changes in value that occur over time.  Debt also exposes the investor to the ravages of unexpected inflation.   We argue that Sales Certificates mitigate these problems, discuss which…

Abstract I will be focusing the discussion on the investment case for using ESG in active equity portfolios from the view of a sustainability strategy and less from the view of risk.  Sustainable investing is attracting increasing attention from US investors seeking new approaches to equity allocations.  Unlike socially responsible…

In this talk, I will introduce the pandas library  (http://pandas.pydata.org), a rich, high performance Python-language data analysis toolkit especially well suited for common financial data analysis and statistical computing tasks. I will exhibit a variety of common data manipulation challenges and how these can be solved using the library. I will also preview new,…

We propose a simple analytical construct for incorporating liquidity into portfolio choice. We treat liquidity as a shadow asset which is attached to assets that are easily tradable and absent from those that are not. The expected return and risk of the shadow liquidity asset depend on the manner in…

Abstract The first half of this presentation will provide quantitatively-based evidence of the severe problems with the major credit rating agencies such as Moody’s and Standard and Poors. We will begin with a relatively simple quantitative model of the credit risk of corporate debt that was far more successful than…