I wondered about the existence of a complete list of the anomalies detected in quantitative finance. Generally, a market anomaly or inefficiency is a asset price and/or rate of return distortion on a ...
Financial systems can certainly be modeled using the same tools physicists use to model dynamic physical systems. The validity of such is evidenced by models such as that developed by Black and ...
I am studying herding behavior among investors, in particular I found a u-shaped relationship between herding and trade (or investment) size. As such, traders with the smallest or the largest trades ...
I would like to test for herding behaviour using the herding measure developed by Lakonishok et. al (1992) on a dataset containing trader transactions during 2013, however, i am having some trouble ...
This topic has been prompted by the following question: Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis After reading it and the comments below I started thinking whether ...
There's quite a bit of research (example, ) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
I want to know if there are some standardized measures to evaluate how irrationally human a portfolio manager is. Are there any performance measures or scorings for behavioral finance effects? How ...
In asset allocation, you usually send reports to your clients where you will report the volatility of its portfolio. Assuming you only have monthly returns, you will compute volatility over a ...