# Questions tagged [information]

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### Can I add Sharpe Ratio with information ratio in convex way

Sharpe Ratio can be turned into a convex function. And information ratio as well. Supppose I add these ratios as follows: (SR + 3 IR ) / 2 Can this function transfer into convex? How should I do it?
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### Reducing possible models count for calibration in ARFIMA-GARCH models

I have the question connected with ARFIMA-GARCH models. I have a time series for which I want to calibrate best model (p,q)-(P, Q) (via BIC) with $p,q <= 4, P,Q <=2$. GARCH part can be "...
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1 vote
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### How to solve for Kyle's $\lambda$ that emerges in the demand functions of the informed and uninformed traders in the $1989$ model?

I will restate here a problem that I am finding a bit difficult to solve and I have already posted here. I summarized the problem as it follows. From Albert S. Kyle's 1989 model. Suppose that the are ...
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### Solution of extension of six ball puzzle

A quant interview problem: We have $2n$ identical size balls containing $n$ colors. For each color there are two balls, one ball is heavy and the other is light. All heavy balls weigh the same. All ...
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### Confusion about the proof of Fundamental Law of Active Management in Grinold & Kahn (2000)

I'm reading Grinold & Kahn (2000) for the proof of the Fundamental Law of Active Management. I can't understand formula (6A.20) on page 168, which says: Finally, by assuming that all the signals ...
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### Can we spot informed trading from market prices?

Is there any consensus on what is the price behavior in presence of informed trading? Can we observe in retrospect any anomaly in the time series of prices of realized transactions, or transformations ...
• 253
1 vote
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### What does M^L represent over this Sigma?

This is throwing me for a loop. in regards to this passage, does the M^L represent to perform this sum over every "overlapping window" individually? Would this mean "M symbols" are ...
1 vote
28 views

### Asymmetric information in capital markets: EU ad-hoc announcements/8-K filings in other countries

In many countries, companies whose securities are traded on a stock exchange are subject to an ad-hoc disclosure requirement. This ad-hoc announcement publication duty refers to the obligation to ...
1k views

### How do better informed traders apply their advantage over the others?

Let's suppose that some trader knows something, that most of other market participants don't know. That knowledge may be directly related to the stock market e.g. number of open long positions below/...
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### Information Coefficient (IC) Formulae Differences

I am learning about Fundamental Law of Active Management, and there seems to be two different Information Coefficient (IC) formulae presented. Though I myself am not a CFA candidate, these appear to ...
• 185
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### What are some currently open problems in market microstructure

I've been reading up on market microstructure models and toyed around with them -- i.e., I got simulations for Roll (1984), Glosten-Milgrom (1985), Kyle (1985), Kyle (1985) with multiple periods. I am ...
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### Imperfect Competition among Informed Traders - Back, Chao and Willard

The following assumptions are part of the paper of Back, Chao and Willard and I can not solve for the statistic that is denoted as $\phi$ in the sequel. I would be glad if anyone could help me. Below ...
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### Suppose I know people in S&P and thus know which stock will be added into the index. Is trading on that classified as insider trading? [closed]

It strikes me that the legal definition of insider trading is very difficult from what we commonly think about in finance/economics.
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### Characterizing relation " has no less information than" between information systems represented by Markovian matrices

I crossposted this question on math.stackexchange. Background: Suppose that an investor's utility is both determined by the state and her action taken. A fact of life is that she can't observe the ...
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1 vote
538 views

### what is considered material information? [closed]

I'm trying to understand what is considered "material" information held by an executive of a company. There is company information that an executive (say insider) will know that a public investor will ...
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1 vote
1k views

In high frequency and low latency trading, decisions are done on the spot by servers colocated in stock exchanges. This implies that those servers have immediate access to the information they need to ...
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### single channel for multiple feeds of news? [closed]

I subscribe to various blogs and twitter feeds which I use to parse for keywords. Many times these subscriptions do not include topics which are of the primary concern. Are there multiplex channels ...
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### What does T statistics of Information Coefficient indicate?

Hi I am looking for a clear explanation of T statistics concept. Especially in quantitative equity portfolio management context, what does T statistics of monthly Information Coefficient for one ...
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