Ako-investovať - fórum

zaujimave, o HFT: http://www.thewholestreet.com/cgi-bin/r ... BDP4O339EK" onclick="window.open(this.href);return false;

toto je takova blbost: http://papers.ssrn.com/sol3/papers.cfm? ... id=1341790" onclick="window.open(this.href);return false;

but who knows, mozno psychologicky bias existuje.

hej, to je pravda ten pohyb, ale to je myslim len od cca 1980. Ten paper ide long/short, takze to je nieco trochu ine.

obchodovanie earnings announcementov v after-hours: http://papers.ssrn.com/sol3/papers.cfm? ... wnload=yes" onclick="window.open(this.href);return false;. Vyzera celkom zaujimavo, akurat narocne na implementaciu.

velmi zaujimavy paper na timovanie opcnych strategii http://papers.ssrn.com/sol3/papers.cfm? ... id=1944298" onclick="window.open(this.href);return false;

zaujimavy research:
https://docs.google.com/file/d/0B4XW2DG ... w?sle=true" onclick="window.open(this.href);return false;

1. mat aj tie co uz skoncili je ideal, aby si tam nemal survivorship bias. A tym padom by ti ostalo aj viac CTAs na analyzu. 2. pri tej regresii co mas, tie faktory <> primarne asset classes. Skor som myslel vsetky mozne futures co existuju, podobne ako replikuje CTA portfolio autor v tejto knihe: h...

je pekne ze sa o nieco snazis, aj pekne zvolena tema. par poznamok: 1. ta performance attribution je staticka v case. CTAs su vacsinou dynamicke vo svojich holdingoch. Mozno skus walk forward analyzu a tiez by bolo lepsie keby si mal data od 1990 napr. 2. konstrukcia portfolia pozostavajucia z CTAs ...

zaujimavy clanok o HFT: http://queue.acm.org/detail.cfm?ref=rss&id=2536492" onclick="window.open(this.href);return false; Tak ale fakt by sa mi to nechcelo, vyvijat nove veci tak casto (uryvok z clanku): I remember coming home late one night, and my mother, a math teacher, asked why I ...