Tuesday, 22 November 2011

Post-data-bash work

The data bash took me about 10 hours a day, 7 days a week for 3 months to complete, and with its completion, I suddenly have quite a lot of time free. My initial reading has been Francois L'Habitant's Hedge Funds - Quantatative Insights, which was ok, but didn't give me much incremental knowledge. Next up has been Andrew Lo's Hedge Funds - An Analytic Perspective. This is actually quite interesting - especially the chapter on the replication of hedge fund performance by principal factor analysis. Also the chapter on August 2007 is very good.

Next up will be a new book - Emanual Derman's Models Behaving Badly. I am actually really excited about this book, only recently bought and due to arrive tomorrow.

Then other books lurking on the horizon include re-reading Taleb's Fooled by Randomness and (possibly) The Black Swan. Then also re-reading Narang's Inside the Black Box.

Finally I need to look again at the various articles I have on the Kelly Criterion. I am slowly building a position sizing model which incorporates a projection model for the next two years. If we carry on as we have been doing, we will be very happy with the result!!

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