Data. Published articles are the Copyright of their respective publishers. There is a huge amount being written on the financial crisis of course. Algorithmic graph theory is a part of the interface between combinatorial mathematics and computer science. The "flow-performace" puzzle is central to a charge of irrational investors, and the central observation that Berk and Green want to refute. Here is his reading list and outline, Liquidity, short sales constraints, downward sloping demand curves. You can skim the regressions. students and postdocs with expertise in algorithms, statistical : Mispricing in Tech-StockCarve-Outs, Stock as Money: Convenience Yield and the Tech-Stock Bubble, Price Discovery in the U.S. Treasury Market, The Flash Crash: The Imact of High Frequency Trading on an Electronic Market", The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response, E-coli, Repo Madness, and the Financial Crisis, A Mean-Variance Benchmark for Intertemporal Portfolio Theory, “The dog that did not bark: A defense of return predictability, What moves housing markets: A variance decomposition of the rent–price ratio, Characteristics, Covariances, and Average Returns: 1929 to 1997, Size, Value and Momentum in International Stock Returns, ...and the cross-section of expected returns, Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars, The cross section of expected stock returns, "Stock Return Predictability and Variance RiskPremia: Statistical Inference and International Evidence", By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns, Measuring Managerial Skill in the Mutual Fund Industry, Mutual Fund Performance and Manager Style, Are Some Mutual Fund Managers Better than Others? Decomposition Methods for Large Scale LP Decoding by Barman et al. "Multifactor Explanations of Asset Pricing Anomalies", The Other Side of Value: The Gross Profitability Premium, On Persistence in Mutual Fund Performance, Luck versus Skill in the Cross-Section of Mutual Fund Returns, Five Myths of Active Portfolio Management, The characteristics of risk and return in risk arbitrage, Can the Market Add and Subtract? A new measure that predicts performance Review of Financial Studies, 2009, 22(9):3329-3365. Last update January 7 2014 -- click refresh to make sure you have the latest. Cochrane, John H., Financial Markets and the Real Economy p. 251-257. Malkiel, Burton , and Atanu Saha, 2005, “Hedge Funds: Risk and Return,” Financial Analysts Journal 61 (6) 80-89. This paper examines how it all worked out. to new functions, we developed a phylogenomic framework for studying 6. From alpha to smart beta. Go here if you're looking for general information. How to find additional academic papers. Even if you can't short, you can sell, why didn't everyone sell? A retort to Fama and French. eagerly engaged in collaborative research partnerships with biological Matthias Fleckensteinm Francis A. Longstaff, Hanno Lustig (2010) "Why Does the Treasury Issue Tips? Raphael Douady, Adil Abdulali, and Ingmar Adlerberg "The Madoff Case: Quantitative Beats Qualitative!". Cochrane, John, 2011, Hedge Funds. Cochrane, John H., Financial Markets and the Real Economy p. 257-26, p. 314. genome by computational integration of large-scale functional and I used to do a half-lecture on equity premium, then other more interesting things intruded. Mitchell, Mark , Lasse Heje Pedersen, and Todd Pulvino. Slides. 20, p. 389-404. Work fast with our official CLI. Even when I disagree with them, I learn a lot. "Strong evidence from index options, equity options, and leveraged ETFs.". Still, I salute people taking transactions costs seriously. Notes This includes an investments review. : The Linear Case, The performance persistence of equity long/short hedge funds, The Cost of Capital for Alternative Investments, Shorting Facebook Is a Pricey Proposition, For Now, Shorting Facebook Quickly Goes From Pricey to Cheap, Go Down Fighting: Short Sellers vs. Firms, "Aggregate Short Interest and Market Valuations", Supply and Demand Shifts in the Shorting Market, Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban’s Impact on Equity Option Markets, Shackling Short Sellers: The 2008 Shorting Ban, The Effects of Stock Lending on Security Prices: An Experiment, Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia, Price Pressure in the Government Bond Market, Why Does the Treasury Issue Tips? They are the same thing! Learn more. Still, a good fact to know. Note: you do not need to buy the whole book Asset Pricing. 54, No. https://code.google.com/p/graph-theory-algorithms-book/. You'll have to learn some finance instead of just networking to get inside information. (Dec., 1997), pp. An alpha prize, but you can’t trade on it. American Economic Review, 97(2): 215–220. existing phylogenetic method. The first page summarizes them). 21, no. One page. Digest the pictures. Here is my best effort, and a good recent paper which also illustrates a nice cross sectional regression, Campbell, John Y. and John H. Cochrane, 199, By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior Journal of Political Economy, 107, 205-251. Source of pretty graphs shown in lecture, A "real" treatment of portoflio theory and a reference. Marcin Kacperczyk, Clemens Sialm, Lu Zheng, 2005, “Unobserved Actions of Mutual Funds”, NBER Working Paper 11766 Another paper exploiting the holdings data. Cochrane, John H., 2013, "How to stop bank runs before they start'' Wall Street Journal. Most of the key techniques from these algorithms have already found applications in optimization, machine learning and statistics. The graph of Madoff returns vs. S&P 500 really says it all. If active management is so bad, why does it survive? They document this, and endowments betting the farm on hedge funds to catch up. Course listing and schedule An investigation of new anomalies that have cropped up since value. Buffet is. Regulatory Motifs - Link through JSTOR This has the great graph I show in class, showing how good returns lead to more money. Berkshire Hathaway Letter This is beautifully written and I agree with almost all of it, and illustrates Buffet’s thinking in the depth of the crisis. You signed in with another tab or window. DescriptionThis is a 'reading course' that explores algorithmic graph theory by visiting some of the key problems and tools. which led to a complete doubling of the gene count, and was rapidly Berk, Jonathan, 2005" Five Myths of Active Portfolio Management," Journal of Portfolio Management, Vol. Read more: Cremers, Martijn and Antti Pettajisto, 2010, How Active is you Fund Manager? Individuals lose, on aggressive trades. Asset Pricing Ch. Big points are the size of betas and how hard they are to measure. In Oct 2008, it seems that longs got wiped out on the way down! Course Poster - We use essential cookies to perform essential website functions, e.g. Dealers buy from big customers and sell to small types, so they pass along price increases quickly, but only pass along price decreases slowly. Ch. Francis A. Longstaff 2004, "The Flight to Liquidity Premium in U.S. Treasury Bond Prices" Journal of Business 77, 511-526, 2004, Contrasts treasury bonds with identical Refcorp bonds to isolate the liquidity premium. No effects on prices. Evidence from the Euro-Area Bond Market,” Review of Financial Studies. Liquidity, short sales constraints, downward-sloping "demand" curves. Berk, Jonathan and Jules H. van Binsbergen, 2013, "Measuring Managerial Skill in the Mutual Fund Industry" Manuscript. They measure skill by gross alpha times assets under management. Here is a good start: Asset pricing in continuous time (notes for my PhD/online class), I don't want to leave you with the feeling that the consumption model is hopeless. Lee, C. M. C. and B. Swaminathan (2000). Again, you can skip the theory and read the tables. This paper goes on and on, but there are some interesting points in Table 5 and 7 and associated figures. The assigned readings are all here. research in genomics as one of the top young innovators under the age of 35 by Technology Review Magazine, one of the Interestingly, being in the top rank is more important than beating the S&P or other goals. Alas, you didn't go there. Perhaps the story of "we can find alpha in growth stocks" has some merit. Arbitrages -- the same thing selling for two different prices. 875-899. Arbitrages in the crisis: (Also see previous week), Baba, Naohiko and Frank Packer, 2009, “Interpreting deviations from covered interest parity during the financial market turmoil of 2007-2008” BIS Working paper 267 ssrn, Fontana, Alessandro, 2010 The persistent negative CDS-bond basis during the 2007/08 Financial crisis Alessandro Fontana Department of Economics, University Ca' Foscari, Venice, Nicolae Garleanu and Lasse Heje Pedersen, 2010 “Margin-Based Asset Pricing and Deviations from the Law of One Price”, working paper, New York University, forthcoming Review of Financial Studies. Frazzini, Andrea, and Lasse H. Pedersen 2013 Betting against beta Section II-IV only; focus on Table III and IV. We'll read it all over the course of the quarter; feel free to read it at once to keep the themes in view, or to read the selections as they come. Hassan, Tarek, and Rui Mano, 2013, "Forward and Spot Exchange Rates in a Multi-Currency World" Manuscript, Chicago Booth. Selected Publications If you look at the long-run a lot of the difficult stuff goes away. Networks: gene expression analysis, regulatory motifs, biological network analysis. Comments on ‘Macroeconomic Implications of Changes in the Term Premium’ My thoughts on the “Conundrum” and some deeper analysis of term structure than we’ll have time for in class. Economist. "board connections" above but for analysts. Naik, Narayan Y., 2006, “Why is Santa so Kind to Hedge Funds?’’ Manuscript, London Business School . Narasimhan Jegadeesh and Sheridan Titman 2011, Momentum, Annual Review of Financial Economics Vol. 19.1 is background and review reading. Strange Days June 8'th, 2011 - NatGas Algo (nanex.net). 34-09. Bipartite Matching in O(mn, Mincost Branchings and Matroid Intersection, Divide-and-Conquer Data Structures for Paths, Trees and more, k-th Shortest Path in O((m + k)logn) Time, Multiple Source Shortest Path on Planar Graphs, O(m) time randomized algorithm for finding minimum spanning trees, Sep 24: The meeting originally scheduled on Wednesday September 26 is. 105, No. expression, motif enrichment, and target gene expression, and have Beber, Alessandro, Michael W. Brandt, and Kenneth A. Kavajecz, 2008, “Flight-to-Quality or Flight-to-Liquidity? Lamont, Owen, and Jeremy C Stein, "Aggregate Short Interest and Market Valuations" American Economic Review, May 2004.
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