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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.

Wolfram
Wed 29 Apr 2015
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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.

Edward Talisse
Fri 24 Apr 2015
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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.

Jacques du Toit & Isabel Ehrlich
Wed 8 Apr 2015
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Risk Management: A Review

Dr. Sébastien Lleo presents CQF Institute members with his review in Risk Management.

Sébastien Lleo
Wed 1 Apr 2015
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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.

Wolfram
Wed 25 Mar 2015
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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.

Svetlana Gherzi et al.
Mon 9 Mar 2015
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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.

Mark Davis & Sébastien Lleo
Fri 13 Feb 2015
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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).

Jeremy Walton
Thu 12 Feb 2015
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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.

Barbara Mack
Wed 28 Jan 2015
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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.

Edward Talisse
Wed 1 Oct 2014

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