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Automatic Redirection Scheme

I've inserted code into this Blogger template to automatically redirect posts to my new blog domain blog.gillerinvestments.com.

I have implemented a meta refresh to get search engines, such as Google to follow the link. However, for a browser client, a slightly different approach will be followed. You will be redirected to the search page on my new site with the results of a search on the document you were attempting to view. This is done via the "onload" event, and so you will briefly see this page before seeing the new one. Hopefully, this will help those following deep links reconnect to the page they actually wanted to view.

Index Futures Trades on Twitter --- A Web 2.0 Experiment Part II

Published earlier on blog.gillerinvestments.com

This has taken a while, due to teething issues, but my Web 2.0 CTA experiment advances one step further today with a delayed Twitter feed and a real-time Twitter feed. Like the RSS feeds, these Twitter feeds provide a trade blotter for my index futures intraday strategy. There are details on how to subscribe to the real-time feeds on my main company web site.

IKOS Equity Hedge Fund --- Data Update

Published earlier on blog.gillerinvestments.com

With another month of data for the dynamic trading risk factor available, we can look again at how various funds' and companies' performance compares to this factor. As we do not have a great deal more data, and nothing very dramatic has happened since this analysis was last performed, it is unlikely that the pro articulum parameter estimates will have changed very much, so I won't report the regression analysis in depth.

Continued…

Hedge Fund Factor for March, 2009

Published earlier on blog.gillerinvestments.com

I've updated the factor regressions for the Dynamic Trading Risk Premium model, as described earlier. This updates the dynamic trading risk factor data series and also updates the dynamic trading risk factor chart (including the version linked to in earlier posts).

Continued…

A Monte-Carlo of I.I.D. Normal Innovations

Published earlier on blog.gillerinvestments.com

When talking about the SPX data, I glibly asserted that the data was evidently not I.I.D. normal. I then proceeded to show how the Generalized Error Distribution can be used to describe the data quite well and to reject the hypothesis that the data is I.I.D. Normal with a reasonable degree of confidence.

Continued…

If Not Normal then What

Published earlier on blog.gillerinvestments.com

In the previous post we illustrated the evident abnormality of financial data by examining the longitudenal returns of the S&P 500 Index.

I used the Generalized Error Distribution as it possesses the ability to be smoothly transformed from a Normal Distribution into a leptokurtotic distribution and that allowed me to use the Maximum Likelihood Ratio Test to distinguish between the null hypothesis (that the data is I.I.D. Normal) and the alternate hypothesis (that it is not).

I subscribe to the theory that if something is right you should be able to draw the same conclusions via various methods and data sets. So I am going to look again at the likely models for the innovations of financial data (we're taking a GARCH(1,1) model as given); but, this time, I decided to look at the S&P Goldman Sachs Commodity Index and to use a test based on Pearson's χ² Test. (In the following the data is actually based on the first deliverable contract on the GSCI traded at the CME.)

Before that, however, we should discuss what the possible options are the for the PDF of the process innovations. The candidates are:

• The Normal Distribution


• Levy Flight


• The Generalized Error Distribution


• Student's t Distribution


• something else…

Continued…