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Tag Archive | "expectations"

New Research: Sentiment, Expectations, and Stat Arb

Wednesday, January 6, 2010

Some interesting articles have been added to the forthcoming list at Quantitative Finance. Cites and abstracts are below, with links to preprints where available. I don’t have time to add commentary at the moment, but am happy to answer questions in the comments section. Abel Rodriguez & Enrique Ter Horst, “Measuring expectations in options markets: an application to the S&P500 index.” Extracting market expectations has always been an important issue when making national policies and investment…

A One-Question Risk Management Quiz

Monday, December 8, 2008

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Your only trading account is worth $10,000. You wake up really late tomorrow, and the market has already been open for two hours. You check on your balance, and discover that the account is up $500 on the day. Are you: a) elated b) pleasantly surprised c) indifferent d) a little concerned e) terrified We’d go with e) terrified, because if your positions are such that you stand to make 5% in one session,…