Daily Speculations The
Web Site of Victor Niederhoffer and Laurel Kenner
- 02/22/06: Review: Stock Market Speculation and
- 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
- 11/14/05: "What stock market
returns to expect for the future?" (Diamond, Social Security
- 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
- 09/08/05: States of Matter, States of Trading
- 05/19/05: Review: "Do Futures Markets Overreact?" Changyun
University of China
- 05/12/05: Backtesting When We Don't Know the Direction of the Expected
- 05/12/05: Cowles on Sequences and
- 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
- "Variance Risk Premia" by Peter Carr, Liuren Wu
- Cross-Industry Momentum by Lior Menzly, Oguzhan Ozbas<
Returns, Aggregate Earnings Surprises, and Behavioral Finance, by Jonathan
Lewellen, S.P. Kothari, Jerold B. Warner
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
Paper: "Financial Variables and the Predictability of Stock
- 08/01/03: An Ingenious
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.
Read more by Alex Castaldo
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