Rodolfo Vanzini
Making sense of economics
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FTSE MIB stock index volatility
Stock market volatility seems to have increased substantially since the beginning of the year. With this in mind I wanted to draw my attention on specific metrics to gauge the actual extent of what’s been going on since then. The chart below shows FTSE MIB stock index 20-day rolling volatility,
VaR is variable
Getting back to risk measurements you can’t ignore VaR: it’s a well-known and established risk statistics, sanctified by watchdogs all over the world, that risk managers look at in an attempt to predict the potential downside in a financial asset or portfolio of assets exposure. There are many approaches to
Article on the Journal of Performance Measurement (preview)
The diffusion of R is certainly an interesting phenomenon on many counts. First, it encompasses many different fields of academic as well as applied research. Second, it’s been developing as one of the dominating analytics tools in areas such as mining of big data sets and finance, for example. Third,
Securities markets efficiency: not so inefficient
Financial economics has professed securities markets efficiency since long when markets could actually offer arbitrage opportunities to the rich and the poor. It was probably enough to grab a copy of your favorite financial newspaper like The Wall Street Journal and by going through the headlines you could come across
Stock markets valuations
As the year draws to a dismal conclusion for the recession-hardened euro periphery, I want to update my recent seminar on valuations with this chart comparing PE multiples across a selection of stock markets. Though stock indexes have been partying on new highs after the anxiety-driven correction of mid October,
Forecasting returns and trading strategies
Mouth hanging open and a look of daydreaming, what’s so amazing to get such a reaction? It’s the prospect of a reliable forecast on a stock’s return! What else? It’s bewildering to still catch an investor’s interested look with the pretence of a cue on a hot stock ready to
MICERs chase volatility instead of cheese
MICERs are on the prowl again. And by following them an investor, with a good aim and on her or his lucky day, might even find out some interesting information about undervalued (overvalued) stocks to add (subtract) to his portfolio and reap a refreshing excess return. An update on S&P
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Rodolfo Vanzini
@RodolfoVanzini
- Cosa sappiamo degli analisti finanziari? Sì, anche i decorati al valor finanziario con sigla riservata (CFA, per ch… https://t.co/muxTsYLcvB
about 7 days ago - Robert Lucas era un gigante della macroeconomia, così lo ricordano quelli della redazione dell'Economist. Certo è c… https://t.co/aWVRScUeL1
about 2 weeks ago
