Tuesday, October 27, 2015

portfolio management - Which algorithms do robo-advisors use? - Quantitative Finance Stack Exchange

A good overview of the quantitative fund management.



portfolio management - Which algorithms do robo-advisors use? - Quantitative Finance Stack Exchange: "Wealthfront modifies historic asset-class returns with current market implied expected returns (Black-Litterman) as well as with the in-house views of Chief Investment Officer Burton Malkiel’s team. In addition, Wealthfront sets minimum and maximum weights for each asset type. The resulting portfolio has an unmistakable Malkiel flavor to it, with an emerging market allocation that reflects his interest in China."



'via Blog this'

Friday, October 23, 2015

How humans can wrest control of the markets back from computers - FT.com

How humans can wrest control of the markets back from computers - FT.com: "Yes, you read that right: according to CFTC researchers, on three dozen occasions prices for West Texas Intermediate crude have gyrated so dramatically that they have been defined as flash crashes. This means prices swung 200 basis points in less than an hour, before recovering at least 75 basis points."



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Saturday, October 10, 2015

How does rehypothecation cause systemic risk? - Quantitative Finance Stack Exchange

How does rehypothecation cause systemic risk? - Quantitative Finance Stack Exchange: This is all about the re-used of repos.



"Re-hypothecation occurs when banks or broker-dealers re-use the collateral posted by clients such as hedge funds to back the broker's own trades and borrowing."


This is an interesting story to add to the general trading game. It is also interesting for the regulation of finance post-crisis.