Daily Speculations The Web Site of Victor Niederhoffer and Laurel Kenner

Dr. Alex Castaldo

Writings

• 02/22/06: Review: Stock Market Speculation and Managerial Myopia
• 02/20/06: Review: P. Rossi, ed., "Modeling Stock Market Volatility" and S-H. Poon, "A Practical Guide to Forecasting Financial Market Volatility"
• 12/09/05: We Can't Disagree Forever (Game Theory)
• 12/07/05: Low Tax States and Stock Performance
• 12/01/05: The Frustration-Aggression Hypothesis (V. Niederhoffer and A. Castaldo, with responses)
• 11/14/05: "What stock market returns to expect for the future?" (Diamond, Social Security Bulletin)
• 11/08/05  "Why Do Absolute Returns Predict Volatility So Well?" (Ghysels and Forsberg)
• 11/07/05: "Reexamining the profitability of technical analysis with data snooping checks" (Hsu & Kuan)
• 10/30/05: "The Model-Free Implied Volatility and Its Information Content"
• 09/08/05: States of Matter, States of Trading
• 05/19/05: Review: "Do Futures Markets Overreact?" Changyun Wang, Renmin University of China
• 05/12/05: Backtesting When We Don't Know the Direction of the Expected Effect
• 05/12/05: Cowles on Sequences and Reversals
• 04/25/05: Review: "Fischer Black and the Revolutionary Idea of Finance," by Perry Mehrling, to be published by Wiley in May 2005.
• 04/11/05: "The Stock Market's Reaction to Unemployment News" by J.H. Boyd, J. Hu and R. Jagannathan Journal of Finance, April 2005, p 649.
• 04/02/05: The Sources of Tr**d F*!!**ing Profits
  
• 02/01/05: January Effect
  
• 01/09/05 :     Four Scholarly Reviews
  
  1. "Variance Risk Premia" by Peter Carr, Liuren Wu 
  2. Cross-Industry Momentum by Lior Menzly, Oguzhan Ozbas<
  Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance, by Jonathan Lewellen, S.P. Kothari, Jerold B. Warner
  4. The Cross-Section of Volatility and Expected Returns, by Andrew Ang, Robert Hodrick, Yuhang Xing, Xiaoyan Zhang
• 11/22/04:     Short Selling, Paul Asquith
• 11/13/04:      Why Is My Car Japanese and Not Egyptian?
  
• 10/23/04:      Options Exercise, American Style: Adventures of Russell Sage, c.1884
  
• 10/10/04:      The Theoretical Link Between Volatility and Correlation
  
• 09/27/04:      Price Elasticity
  
• 08/03/04:      Deception in Markets and Chess with comment by Nigel Davies
  
• 05/05/04:      Price Down, Volatility Up, Why?
  
• 04/14/04:      Review of Paper: "Bleed or Blowout"
  
• April '04:       Review of Paper: "Long-Term Returns" with Victor Niederhoffer
  
• March'04:     Review of Paper: "Financial Variables and the Predictability of Stock Market Returns"
  
• 08/01/03:      An Ingenious Pumping Device

Alessandro Castaldo, CFA, is a researcher and trader for Manchester Trading. Dr. Castaldo wrote his PhD dissertation on stock market volatility at the City University of New York, and taught courses in finance and options to undergraduates at Baruch College (CUNY) from 1998-2001. He has been associated with Circle T Partners, LP, a $400 million equity hedge fund; and Willowbridge Associates, a $1 billion-plus commodities trading adviser, where his responsibilities included the ongoing refinement of a market-neutral statistically based ("stat-arb") stock selection model.  Dr. Castaldo holds a B.S. in electrical engineering/computer science and an M.S. in management from the Massachusetts Institute of Technology, and worked as a software engineer at SEI Corporation/TMI Systems, Software Research Corp. and Systems Constructs Inc. before entering the finance profession.

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