Since NYU Courant’s Marco Avellaneda was recently awarded the 2010 Quant of the Year distinction by readers of Risk Magazine, I thought it was worthwhile pointing up this unpublished working paper he wrote in collaboration with Paul Besson. It offers an interesting overview of capacity and manager skills in the hedge fund space, drawing [...]
Quite how I missed this (pdf) I don’t know but in January readers of Risk Magazine voted Marco Avellaneda, Quant of the year for 2010 for his groundbreaking work on the effect of short-selling restrictions on price dynamics: His paper, “A dynamic model for hard to borrow stocks”, co-authored with Mike Lipkin of Katama [...]
It’s once again rumor time on Wall Street. (The Reformed Broker)
Individual investors still have some buying power left. (Big Picture)
How bullish (or bearish) is the investment blogosphere? (The Pragmatic Capitalist)
Gold timers are stubbornly bullish in light of a drop in gold. (Marketwatch also The Money Game)
The steep yield curve is working against commodities and [...]
Most of us have read the book Liar’s Poker: Rising Through the Wreckage on Wall Street, one of the books that define Wall Street during the 1980s and are highly recommened by many people in academia and industry, where the author Michael Lewis described his experiences as a bond salesman in a humon sense. [...]
A great spot from Miguel over at Simoleon Sense: As part of a groundbreaking new Initiative for the Theoretical Sciences (ITS), the Graduate Center at CUNY presents a talk by Marc Potters, co-CEO of Capital Fund Management, one of France’s oldest alternative investment management firms. After a Ph.D. in Physics from Princeton University and [...]
The Risk Assets Index is showing a bit too much enthusiasm. (TraderFeed)
The Russell 2000 has retraced some two-thirds of its bear market move. (Barron’s)
The problems with using put/call ratios as a market indicator. (Options Zone)
Volume has picked up dramatically in the iPath S&P 500 VIX Short-Term Futures ETN (VXX). (Bespoke)
Investors are loading up high [...]
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