Vix and More tiene un post sobre la creación de gráficos (hacer gráficos)
For starters, creating charts is easy. Making charts that tell a compelling story only requires a little bit of insight and effort. Sometimes the best way to make a interesting chart is just to look at a bunch of them until one of them jumps off the page and forces you to take notice.
Sitios para hacer gráficos:
www.freestockcharts.com (gratuito)
www.freestockcharts.com (por suscripción, pero hay opciones gratuitas)
The Phy-Fi Blog tiene un post -de behavioral finance- sobre la psicologia de los dividendos (el pago de los mismos). De lectura comoda, sin dejar de ser critica (Palo para M&M: Miller y Modigliani).
(…) So, a change in dividend policy may often indicate a change in the company’s fortunes. A cut in dividends will often signal reduced earnings – although it sometimes indicates that there are better earnings enhancing opportunities around. Similarly an unexpectedly raised dividend will often see a share price surge – even though this often indicates that the management have run out of ideas about how to deploy their spare cash, which isn’t exactly a positive sign.
Como primer post en el blog, dejo el paper que presente en el QFClub el pasado viernes 18 de diciembre, MeanReversion. Es un gusto poder postear aquí, y espero no ser el único contribuidor además del amigo Besanson.
Cuando tenga un poco más de tiempo (frase típica antes de promesa a incumplir) prometo postear algo más, y contar un poco más de la presentación que armamos.
Los esperamos a todos el año que viene, queremos empezar a mover la comunidad quant en Argentina
Un saludo a todos
JMT
Este fue el trabajo presentado por Manu Calderon en la segunda reunion de QFC. Montecarlo Variance Swap Valuation
Abstract: The high pay packages of U.S. CEOs have raised serious concerns about what would constitute a fair pay. Since the present economic models do not adequately address this fundamental question, we propose a new theory based on statistical mechanics and information theory. We use the principle of maximum entropy to show that the maximally fair pay distribution is lognormal under ideal conditions. This prediction is in agreement with observed data for the bottom 90%–95% of the working population. The theory estimates that the top 35 U.S. CEOs were overpaid by about 129 times their ideal salaries in 2008. We also provide an insight of entropy as a measure of fairness, which is maximized at equilibrium, in an economic system.
Link al paper
