Michael J Bommarito II's blog http://etf-central.com/blog/1/atom/feed 2009-03-27T05:52:23-07:00 Now Available on SSRN: A Profitable Trading and Risk Management Strategy Despite Transaction Cost http://etf-central.com/now-available-ssrn%3A-profitable-trading-and-risk-management-strategy-despite-transaction-cost-223 2010-03-15T09:25:07-07:00 2010-03-15T09:25:07-07:00 Michael J Bommarito II 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. 

]]> 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 Cost http://etf-central.com/paper%3A-profitable-trading-and-risk-management-strategy-despite-transaction-cost-222 2010-03-02T08:59:01-07:00 2010-03-02T08:59:50-07:00 Michael J Bommarito II 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. 

While you're waiting for its publication in Quantitative Finance, you might check out the abstract over at SSRN.

]]> 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. 

While you're waiting for its publication in Quantitative Finance, you might check out the abstract over at SSRN.

]]> Visualizing Bank Failures, 2008 - 2009 http://etf-central.com/visualizing-bank-failures%2C-2008-2009-221 2009-12-13T19:08:28-07:00 2009-12-13T19:08:28-07:00 Michael J Bommarito II 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.

Read more here

Visualizing Bank Failures ( 2008-2009 ) from Michael J Bommarito II on Vimeo.

]]> 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.

Read more here

Visualizing Bank Failures ( 2008-2009 ) from Michael J Bommarito II on Vimeo.

]]> Cash for Clunkers – Visualization and Analysis http://etf-central.com/cash-clunkers-%E2%80%93-visualization-and-analysis-219 2009-12-09T16:33:35-07:00 2009-12-09T16:33:35-07:00 Michael J Bommarito II 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:

Read the full post here.

 

]]> 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:

Read the full post here.

 

]]> Visualizing the Campaign Contributions to the United States Senators in the 110th Congress — The TARP EDITION: The Image http://etf-central.com/visualizing-campaign-contributions-united-states-senators-110th-congress-%E2%80%94-tarp-edition%3A-image-217 2009-03-26T14:11:59-07:00 2009-03-27T05:52:23-07:00 Michael J Bommarito II As detailed in this post, here is the visualization of contributions to the members of the 110th Congress.  Highlighted in green are the recipients of the TARP.

To view the full image, please click here.

By Michael Bommarito and Daniel Martin Katz.

Center for the Study of Complex Systems and Department of Political Science, University of Michigan, Ann Arbor.

]]> As detailed in this post, here is the visualization of contributions to the members of the 110th Congress.  Highlighted in green are the recipients of the TARP.

To view the full image, please click here.

By Michael Bommarito and Daniel Martin Katz.

Center for the Study of Complex Systems and Department of Political Science, University of Michigan, Ann Arbor.

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