The past few years have not been kind to hedge funds, namely those specialized funds, usually marketed to large institutions and wealthy individuals, which combine a somewhat more risky overall strategy managed by highly professional traders, with a relatively safer “hedge” to limit volatility. (Our comments here refer specifically to investment hedge funds, as opposed
Continue reading Tough times for hedge funds
A recent Bloomberg article reported on the work of Junsuke Senoguchi, who has developed a “robot” artificial intelligence-powered computer program that forecasts the Japanese stock market, in particular the Nikkei-225 index.
Senoguchi, who currently works for Mitsubishi UFJ Morgan Stanley Securities in Tokyo and who has previously worked for Lehman Brothers and also the Bank
Continue reading How well does a “robot AI” predict the Japanese stock market?
The January barometer
The January barometer is the claim, often mentioned in financial circles, that the performance of the stock market in January is a reliable portend of its performance for the full year — as January goes, so goes the year. The term was first coined by Yale Hirsch in 1972.
Many market analysts
Continue reading How well does the “January barometer” work?
When a prophet speaketh, … if the thing follow not, nor come to pass, … the prophet hath spoken it presumptuously: thou shalt not be afraid of him.” [Deuteronomy 18:22].
In a December 2014 Math Investor blog, we assessed how 2014 market prophets had fared (answer: not very well). Thus with the holiday season once
Continue reading High noon for 2015 market prophets
Reproducibility in scientific research
In the past year or two, the reproducibility of research results in finance and economics has come under serious question.
If it is any comfort, similar difficulties have emerged in numerous other scientific fields. In 2011, a team of Bayer researchers attempted to reproduce a set of key published pharmaceutical studies.
Continue reading Is research in finance and economics reproducible?
Hedge funds are a boutique segment of the investing world, usually marketed to large institutions and wealthy individuals (not to the general public). As the name implies, many of these funds combine a somewhat more risky overall strategy, operated by highly professional traders, with a relatively safer “hedge.” Together, these two balancing strategies seek overall
Continue reading Are hedge funds losing their edge?
As we emphasized in earlier Math Drudge blogs (May 2014 and July 2014), individual investors are not very well equipped, and certainly not very effective, in managing their own investments, or in making other key financial decisions.
U.S. 401(k) accounts, and their equivalents elsewhere, are a particular problem. According to the 2014 DALBAR report,
Continue reading Do individual investors understand Social Security and its overseas counterparts?
The Social Science Research Network’s Econometrics: Mathematical Methods and Programming eJournal distributes working and accepted paper abstracts in the area of mathematical methods applied to econometrics. The journal maintains a list of the All Time Top Ten Papers of the journal, based on total download counts from the journal’s SSRN website from January 2, 1997
Continue reading Three of the all-time top ten SSRN Econometrics: Math papers are from the MAFFIA
On April 21, 2015, the U.S. Department of Justice announced that it would press criminal charges against Mr. Navinder Singh Sarao, a 36-year-old small-time British day-trader. He is being blamed for nothing less than causing the “Flash Crash” of May 6, 2010, the second largest point swing (1010.14 points) and the biggest one-day point decline
Continue reading Lessons from the “Flash Crash” regulatory fiasco
Investors worldwide turn to financial advisors when making key decisions such as whether or how they should convert an employer-based retirement account (such as a “401(k)” account in the U.S., an “RRSP” in Canada, “Super” in Australia) to an individually-directed retirement account (such as an individual retirement account or “IRA” in the U.S.). However,
Continue reading How much do investors lose from conflicted advice?