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Backtesting Trading Strategies Using Wolfram Finance Platform
This white paper explores one possibility for evaluating portfolio performance using the Wolfram Finance Platform, describing it's thought process.
Wed 29 Apr 2015
The Honest Truth about Dishonesty: Market Manipulation and Why Some Strings are More Powerful than Others
This short piece by Edward Talisse looks at the ways in which financial institutions and individuals have manipulated the market over the years and what it means for the future.
Fri 24 Apr 2015
Local Volatility FX Basket Option on CPU and GPU
In this article, Jacques du Toit and Isabel Ehrlich study a basket option written on 10 FX rates driven by a 10 factor local volatility model.
Wed 8 Apr 2015
Risk Management: A Review
Dr. Sébastien Lleo presents CQF Institute members with his review in Risk Management.
Wed 1 Apr 2015
CUDA Programming Using Wolfram Finance Platform
This document describes the benefits of CUDA integration in Wolfram Finance Platform and provides some applications for which it is suitable.
Wed 25 Mar 2015
The Meerkat Effect: Personality and Market Returns Affect Investors’ Portfolio Monitoring Behavior
In this article the authors apply generalised non-linear mixed effects models to test for this selective information monitoring at an individual level in a new sample of active online investors.
Mon 9 Mar 2015
Black-Litterman in Continuous Time: The Case for Filtering
Dr. Mark Davis and Dr. Sébastien Lleo extend the Black–Litterman approach to a continuous time setting.
Fri 13 Feb 2015
Solving partial differential equations using the NAG Library
In this article, Jeremy Walton from the Numerical Algorithms Group, describes some applications of the NAG Library to the solution of Partial Differential Equations (PDEs).
Thu 12 Feb 2015
Excerpt from a chapter on High Frequency Trading in The World Scientific Handbook of Futures Markets
In this short piece from a chapter in The World Scientific Handbook of Futures Markets, Barbara Mack presents an overview on HFT, case studies, and a summary of select regulations in the United States.
Wed 28 Jan 2015
Ferdinand the Bull
In his latest commentary, Edward Talisse likens the financials and banks to that off a bull, and explains where it all went wrong in the 2008 financial crisis.
Wed 1 Oct 2014
