Questions tagged [information]
The information tag has no usage guidance.
24
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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 ...
- 243
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1
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187
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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 ...
- 221
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88
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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 ...
- 11
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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 ...
- 21
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3
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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/...
- 279
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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 ...
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612
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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 ...
- 2,386
2
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1
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265
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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 ...
- 173
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3
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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.
- 1,090
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690
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Information driven bars - exploding threshold level
enter image description hereit's tough trying to figure this out myself and I after a few hours I thought I'd ask for help:
I'm trying to do tick imbalance bars from 'Advances in Financial Machine ...
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2
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53
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Information asymmetry models
I am searching for some textbook in financial mathematics that presents information asymmetry models (maybe more advanced models), so as to make some practice. Does anbody know such a book?
- 173
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Option quotes or trades: Which one is more informative?
Suppose I have quote data as well as real transaction of option contracts? I was wondering if the informational content is the same. On the first hand, quotes show the intention of seller/buyers on ...
- 1,346
2
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1
answer
137
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Square Information Ratio
I have read the following sentence : " The information ratio measures the active management opportunities, and the square of the information ratio indicates our ability to add value " ( In the Grinold'...
- 516
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1
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233
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Connections between logistic regression, information value and Kullback-Leibler
I am new to credit risk modeling, my background is in mathematics and physics, so I am looking to justify some commonly used techniques from first principles.
Suppose that we are interested in ...
3
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133
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Replication of "A model of competitive stock trading volume"
I am replicating the paper "A model of competitive stock trading volume" by Jiang Wang http://web.mit.edu/wangj/www/pap/Wang94.pdf for a research project . I realize this is a very specific question ...
- 31
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77
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Calculation of Information Ratio
When calculating an information ratio, should the average of monthly returns be used or the cumulative monthly returns be used?
Thanks!
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606
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How is breadth for Information Ratio Calculated
An alternative definition of the information Ratio (sharpe ratio) is:
$IR = IC\sqrt{BR}$
I have been reading Grinold and Kahn. I have the following questions for calculating BR:
Q1. If 500 stocks ...
- 269
2
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3
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316
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About the number of independent forecasts in the Fundamental Law of Active Management
The original FLAM predicts the information ratio by
$$
IR = IC \times \sqrt{N}
$$
where $IR$ is the Information Ratio, $IC$ is the information Coefficient and $N$ is the number of independent ...
- 123
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51
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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
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517
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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 ...
- 121
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2
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1k
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What information do stock exchange colocated servers have access to?
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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121
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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 ...
- 229
4
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338
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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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4
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984
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Variable Selection in factor models
Let's say you have a dependent variable and many independent variables. What are the preferred metrics for sorting and selecting variables based on explanatory power? Let's say you are not concerned ...
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