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…
Michael at MarketSci remarks that while “buy and hold” is really the best approach for 99% of investors, it’s also true that there’s a small subset of traders who can time markets successfully. What remains true about both groups is that no one can claim to time markets on the basis of their own sentiment or psychology. It’s practically a truism that human psychology is ill-suited to proper assessments of risk.
Cue CXO‘s summary of a recent paper…
Each week, Barron’s publishes something called the “Citigroup Panic/Euphoria Model.” Long worthy of derision, this particular metric looked most ridiculous back in October 2007 when, just as equity markets were topping, the Citigroup model just barely – finally – drifted up from the “panic” zone to give a neutral reading of zero. Starting in January 2008, the model began to register more dramatic swings, and we noted back in April that since the model seemed to have been significantly…
Wednesday, January 6, 2010
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