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In God we trust; all others must bring data.

W. Edwards Deming

Leyendo el blog Quantitative Thoughts (altamente recomendado), me cruce nuevamente con esta frase.

De dicho sitio recomiendo esta reflexión: C++ is dead. Long live C++

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Otras Frase del día que nos acompañan…. cada día..

Frase du Jour: Ley de Myron

Frase du Jour: Steady State, not

Frase del Día: Cuando todo sube…

Frase del Día: Portfolio a la medida

Frase del Día: SEC Yield

Para los que no pudieron ver este documental de la BBC. El mismo se encuentra en Youtube, dividido en 5 partes.

Examining Macroeconomic Models through the Lens of Asset Pricing

Dynamic stochastic equilibrium models of the macro economy are designed to match the macro time series including impulse response functions. Since these models aim to be structural, they also have implications for asset pricing. To assess these implications, we explore asset pricing counterparts to impulse response functions. We use the resulting dynamic value decomposition (DVD) methods to quantify the exposures of macroeconomic cash ?ows to shocks over alternative investment horizons and the corresponding prices or compensations that investors must receive because of the exposure to such shocks. We build on the continuous-time methods developed in Hansen and Scheinkman (2010), Borovi?cka et al. (2011) and Hansen (2011) by constructing discrete-time shock elasticities that measure the sensitivity of cash ?ows and their prices to economic shocks including economic shocks featured in the empirical macroeconomics literature. By design, our methods are applicable to economic models that are nonlinear, including models with stochastic volatility. We illustrate our methods by analyzing the asset pricing model of Ai et al. (2010) with tangible and intangible capital.

Link al Paper

Carolina Schuartzman, de TPCG, ofrece un Report sobre el Cupón PBI titulado “Time to Buy Peso Warrants Again”:

We believe warrants offer an interesting investment opportunity at current levels and expect an upside of at least 15%. Among the three existing instruments we favor ARS nominated warrants since their dividend yield is considerably higher and they offer a higher potential upside among with lower downside risk. December’s coupon worth more than 70% of current price (FX hedged with NDF).

Link al Report

SYMMYS – Advanced Risk and Portfolio Management -dirigido por Attilio Meucci- tiene como misión capacitar a la comunidad quant con ideas y técnicas relevantes a la gestión de riesgo y carteras.

El ARPM Bootcamp forma parte de esa oferta. Es un curso de capacitación intensivo de 6 días de teoria y ejercicios dictado en Nueva York.

• -Market modeling: random walk, ARMA, GARCH, Levy, long memory, stochastic volatility
• -Multivariate statistics: non-parametric, non-normal MLE, shrinkage, robust, Bayesian estimation; copula/marginal factorization; location-dispersion ellipsoid
• -Factor modeling: theory and pitfalls of time-series and cross-sectional factor models, CAPM, APT, principal components analysis, random matrix theory
• -Pricing: full evaluation, Greeks, stress-matrix interpolation; analytical, Monte Carlo, historical
• -Risk analysis: diversification, stochastic dominance, expected utility, Sharpe ratio, Omega, Kappa, Sortino, value at risk, expected shortfall, coherent and spectral measures
• -Portfolio construction: robust/SOCP optimization, shrinkage/Bayesian allocations, Black-Litterman and beyond; transaction costs, liquidity, market impact; statistical arbitrage; convex/concave dynamic strategies, CPPI, delta-replication

Este curso otorga una certificación propia (apres tomar un examen opcional) y créditos para otras tales como el CFA y el GARP.

Globally Distributed Production and the Pricing of CME Commodity Futures

Abstract
I investigate how local supply shocks in the globally distributed production of commodities are incorporated into CME futures prices. I exploit that the soybean market share of the US (Argentina) decreased (increased) between 1996 and 2010, and use rain as source of supply shocks. I find that the response of CME soybean prices to daily rain in each region, and across time, was generally negative and close to linear in the local share of global output (R^2>0.88). CME traders seem to aggregate supply regardless of its geographical origin, therefore being increasingly sensitive to shocks outside of the US.

Link al Paper

Link al site del autor.