A hybrid derivative trading system based on volatility and return...

Engineering Economist;  July 1, 2008 ;     700+ words ......based on either volatility forecasting or return forecasting in isolation but...trading performance. Volatility Forecasting Although the ability...general classes of volatility forecasting methods using historical...

Volatility forecasting and the efficiency of the Toronto 35 index options...

Revue Canadienne des Sciences de l'Administration;  March 1, 1998 ;     700+ words ...Abstract Existing research into Canadian options market efficiency is dated and focuses only on the stock options market. Until now no study has investigated the efficiency of the Toronto 35 index options market. This study fills the gap by examining the Toronto 35 index options market using a

An econometric investigation of the volatility and market efficiency of...

Quarterly Journal of Business and Economics;  June 22, 2004 ;     700+ words ......agents trade volatility. Finally, stock return forecasting is in a sense volatility forecasting, and this is a huge industry in the U.S. where econometric models of volatility forecasting are diverse. In this respect, some scholars...

Delaware Investments Hires David Starer as Senior Vice President/Senior...

PR Newswire;  October 17, 2001 ;     273 words ......Management, Florham Park, NJ. There he was responsible for producing quantitative equity research tools and developing stock return forecasting models. Before Jacobs Levy, Starer worked as a research analyst for Lend Lease Corporation, Sydney, Australia, where he...

Social screening does not harm performance; Research shows no difference...

Pensions & Investments;  September 16, 2002 ;     700+ words ......the impact of performance-affecting factors not in the return-forecasting model. Hereafter, we refer to non-model performance factors...is net common equity (net book value). In the security return forecasting model used to represent a formal value-focused investment...

FINDING BARGAINS: San Diego finds value in an unexpected area;Internal...

Pensions & Investments;  February 21, 2000 ;     411 words ......true value portfolio and we've done well. Mr. Snigaroff manages the portfolio using, as he terms it, quantitative stock return forecasting technology developed by Robert A. Haugen, president of Haugen Custom Financial Systems Inc., Irvine, Calif. He then uses...

Business School Survey Provides Glimpse of European Hedge Fund Industry

Daily News;  December 9, 2003 ;     700+ words ......the Portfolio The survey found that 75% of European funds of funds had a team dedicated to portfolio construction and return forecasting. That is coupled with the finding that only 47% of the managers questioned in the survey consider the correlation between...

Through our optimisation process we will raise or lower the number of...

Investment Adviser;  May 8, 2006 ;     700+ words ......inclusion in the model, and empirical research must support that rationale. And last, risk management is as important as return forecasting in managing portfolios effectively, and it is essential to aim to mitigate unintended active risks. The goal of the core...

An Application of Pade Approximation to Volatility Modeling.(Statistical...

International Advances in Economic Research;  November 1, 1999 ;     700+ words ......1966]. In the same way, it plays a major role in the derivative asset pricing model [Black and Scholes, 1973]. Future volatility forecasting and prediction is extremely important for operators in financial markets when dealing with portfolio management, the...

Getting Beyond "Recovery"

Canadian Underwriter;  November 1, 2004 ;     700+ words ......climate cannot support softening. That is not to say, however, that pricing erosion is not occasionally taking place. AUTO VOLATILITY Forecasting pricing and profitability in the tumultuous private auto market is a "mug's game". And we will not attempt it here...