ETF CentralFast-paced ETF news, analysis, and discussionhttp://etf-central.com/atom.xml2009-12-09T16:33:35-07:00Now Available on SSRN: A Profitable Trading and Risk Management Strategy Despite Transaction Costhttp://etf-central.com/now-available-ssrn%3A-profitable-trading-and-risk-management-strategy-despite-transaction-cost-2232010-03-15T09:25:07-07:002010-03-15T09:25:07-07:00Michael J Bommarito IIA few weeks ago, I mentioned my joint paper with A. Duran, A Profitable Trading and Risk Management Strategy Despite Transaction Cost. You can now obtain a copy of this paper on SSRN. Feel free to send an email with any feedback you might have.
]]>A few weeks ago, I mentioned my joint paper with A. Duran, A Profitable Trading and Risk Management Strategy Despite Transaction Cost. You can now obtain a copy of this paper on SSRN. Feel free to send an email with any feedback you might have.
]]>Paper: A Profitable Trading and Risk Management Strategy Despite Transaction Costhttp://etf-central.com/paper%3A-profitable-trading-and-risk-management-strategy-despite-transaction-cost-2222010-03-02T08:59:01-07:002010-03-02T08:59:50-07:00Michael J Bommarito IIReaders might be interested in an article that A. Duran and I have coming out in Quantitative Finance this year entitled A Profitable Trading and Risk Management Strategy Despite Transaction Cost. In the article, a number of the tools I've presented on the blog here have been used in the development of strategy which outperforms the S&P500 in rigorous out-of-sample testing. We've made sure to check the robustness of the results, and have performed Monte Carlo simulations while varying the sets of stocks and time periods used in the calculation.
]]>Readers might be interested in an article that A. Duran and I have coming out in Quantitative Finance this year entitled A Profitable Trading and Risk Management Strategy Despite Transaction Cost. In the article, a number of the tools I've presented on the blog here have been used in the development of strategy which outperforms the S&P500 in rigorous out-of-sample testing. We've made sure to check the robustness of the results, and have performed Monte Carlo simulations while varying the sets of stocks and time periods used in the calculation.
]]>Visualizing Bank Failures, 2008 - 2009http://etf-central.com/visualizing-bank-failures%2C-2008-2009-2212009-12-13T19:08:28-07:002009-12-13T19:08:28-07:00Michael J Bommarito IIAs detailed on my Computational Legal Studies blog, coauthored with Daniel Katz, the following video shows a dynamic visualization of bank failures over the past two years.
]]>As detailed on my Computational Legal Studies blog, coauthored with Daniel Katz, the following video shows a dynamic visualization of bank failures over the past two years.
]]>Who Owns America’s Debt? An Dynamic Perspective on the Major Foreign Holders of Treasury Securities [2002- Present]http://etf-central.com/who-owns-america%E2%80%99s-debt%3F-dynamic-perspective-major-foreign-holders-treasury-securities-%5B2002-present2009-12-11T14:54:47-07:002009-12-11T14:57:26-07:00Michael J Bommarito IIAs detailed on my Computational Legal Studies blog, coauthored with Daniel Katz, the following video shows a dynamic visualization of the current ten largest foreign holders of America's debt.
]]>As detailed on my Computational Legal Studies blog, coauthored with Daniel Katz, the following video shows a dynamic visualization of the current ten largest foreign holders of America's debt.
]]>Cash for Clunkers – Visualization and Analysishttp://etf-central.com/cash-clunkers-%E2%80%93-visualization-and-analysis-2192009-12-09T16:33:35-07:002009-12-09T16:33:35-07:00Michael J Bommarito IIAs detailed on my Computational Legal Studies blog, coauthored with Daniel Katz, the following video shows a dynamic visualization of the Cash for Clunkers program:
]]>As detailed on my Computational Legal Studies blog, coauthored with Daniel Katz, the following video shows a dynamic visualization of the Cash for Clunkers program:
