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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,

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Posted in Economics
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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

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Posted in Economics
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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,

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Posted in Economics, R-stats
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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

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Posted in Economics
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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,

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Posted in Economics
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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

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Posted in Economics
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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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Posted in Economics, MICERs
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The magic of diversification

According to Mr Bluford Putnam of EQA Partners, a consultancy, “if we had perfect foresight we would not need a portfolio to control risk” and that’s exactly what a Main Street investor should always bear in mind: diversification. Portoflio diversification can be demonstrated at two different levels: naive and efficient.

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Posted in Economics
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