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Edgar E. Peters
Edgar E. Peters (born July 16, 1952), is an asset manager and writer on investment management topics. He is noted for his early contributions to the application of chaos theory and fractals to the financial markets. These works primarily dealt with fat tailed distributions originally discovered by Benoit Mandelbrot and expanded upon in Peters (1991 and 1994). These probability distributions are considered fractal because they are self-similar over different investment horizons once adjusted for scale. Peters worked as an asset manager for PanAgora Asset Management, Inc., during which time he researched rescaled range analysis, and attempted to estimate the Hurst exponent of various financial markets. He has also taught at Babson College, Boston College and Bentley College Bentley University is a private university focused on business, accountancy, and finance and located in Waltham, Massachusetts. Founded in 1917 as a school of accounting and finance in Boston's Back Bay neig ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Chaos Theory
Chaos theory is an interdisciplinary area of scientific study and branch of mathematics focused on underlying patterns and deterministic laws of dynamical systems that are highly sensitive to initial conditions, and were once thought to have completely random states of disorder and irregularities. Chaos theory states that within the apparent randomness of chaotic complex systems, there are underlying patterns, interconnection, constant feedback loops, repetition, self-similarity, fractals, and self-organization. The butterfly effect, an underlying principle of chaos, describes how a small change in one state of a deterministic nonlinear system can result in large differences in a later state (meaning that there is sensitive dependence on initial conditions). A metaphor for this behavior is that a butterfly flapping its wings in Brazil can cause a tornado in Texas. Small differences in initial conditions, such as those due to errors in measurements or due to rounding errors i ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
PanAgora Asset Management
PanAgora Asset Management (PanAgora) is an American investment management firm based in Boston. The firm is noted for its usage of quantitative analysis in its approach to investing. It is a direct subsidiary of Putnam Investments and its ultimate parent is Power Financial. Background PanAgora was founded in 1989 by Richard A. Crowell. Crowell is considered to be one of the early pioneers of quantitative investing. When the firm was founded, Crowell made sure all of its strategies were quantitative. However later on the firm also incorporated the use of behavioral economics to perform analysis. PanAgora originally was a 50-50 joint venture between Shearson Lehman Brothers and Nippon Life. In 1997, Putnam Investments acquired 50% of PanAgora from the shareholder now named Lehman Brothers. On August 22, 1998, Crowell died from cancer at 57. PanAgora opened an office in London in 1990 which oversaw around $800 million in assets, mainly for European pension funds. However by ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Rescaled Range
The rescaled range is a statistical measure of the variability of a time series introduced by the British hydrologist Harold Edwin Hurst (1880–1978). Its purpose is to provide an assessment of how the apparent variability of a series changes with the length of the time-period being considered. The rescaled range of time series is calculated from dividing the range of its mean adjusted cumulative deviate series (see the Calculation section below) by the standard deviation of the time series itself. For example, consider a time series , which has a mean m = 2 and standard deviation S = 1.79. Subtracting m from each value of the series gives mean adjusted series . To calculate cumulative deviate series we take the first value -1, then sum of the first two values -1+1=0, then sum of the first three values and so on to get , range of which is R = 3, so the rescaled range is R/S = 1.68. If we consider the same time series, but increase the number of observations of it, the rescaled ran ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Hurst Exponent
The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases. Studies involving the Hurst exponent were originally developed in hydrology for the practical matter of determining optimum dam sizing for the Nile river's volatile rain and drought conditions that had been observed over a long period of time. The name "Hurst exponent", or "Hurst coefficient", derives from Harold Edwin Hurst (1880–1978), who was the lead researcher in these studies; the use of the standard notation ''H'' for the coefficient also relates to his name. In fractal geometry, the generalized Hurst exponent has been denoted by ''H'' or ''Hq'' in honor of both Harold Edwin Hurst and Ludwig Otto Hölder (1859–1937) by Benoît Mandelbrot (1924–2010). ''H'' is directly related to fractal dimension, ''D'', and is a measure of a data series' "mild" or "wild" ra ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Babson College
Babson College is a private business school in Wellesley, Massachusetts. Established in 1919, its central focus is on entrepreneurship education. It was founded by Roger W. Babson as an all-male business institute, but became coeducational in 1970. History 20th century On September 3, 1919, with an enrollment of twenty-seven students, the Babson Institute held its first classes in the former home of Roger and Grace Babson on Abbott Road in Wellesley Hills. Roger Babson, the founder of the school, set out to distinguish the Babson Institute from colleges offering mainly instruction in business. The Institute provided intensive training in the fundamentals of production, finance and distribution in just one academic year, rather than four. The curriculum was divided into four subject areas: practical economics, financial management, business psychology and personal efficiency (which covered topics such as ethics, personal hygiene and interpersonal relationships). The program ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Boston College
Boston College (BC) is a private Jesuit research university in Chestnut Hill, Massachusetts. Founded in 1863, the university has more than 9,300 full-time undergraduates and nearly 5,000 graduate students. Although Boston College is classified as an R1 research university, it still uses the word "college" in its name to reflect its historical position as a small liberal arts college. Its main campus is a historic district and features some of the earliest examples of collegiate gothic architecture in North America. In accordance with its Jesuit heritage, the university offers a liberal arts curriculum with a distinct emphasis on formative education and service to others. Boston College is ranked among the top universities in the United States and undergraduate admission is highly selective. The university offers bachelor's degrees, master's degrees, and doctoral degrees through its eight colleges and schools: Morrissey College of Arts & Sciences, Carroll School of Manage ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Bentley College
Bentley University is a private university focused on business, accountancy, and finance and located in Waltham, Massachusetts. Founded in 1917 as a school of accounting and finance in Boston's Back Bay neighborhood, Bentley moved to Waltham in 1968. Bentley awards Bachelor of Science degrees in 14 business fields and Bachelor of Arts degrees in 11 arts and sciences disciplines, offering 36 minors spanning both arts and science and business disciplines. The graduate school emphasizes the impact of technology on business practice, and offers PhD programs in Business and Accountancy, the Bentley MBA with 16 areas of concentration, an integrated MS+MBA, seven Master of Science degrees, several graduate certificate programs and custom executive education programs. Bentley's athletic teams compete in Division II of the NCAA (except for men's hockey, which competes in Division I) and are known collectively as the Bentley Falcons. They compete in the Northeast-10 Conference. Histor ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Efficient-market Hypothesis
The efficient-market hypothesis (EMH) is a hypothesis in financial economics that states that asset prices reflect all available information. A direct implication is that it is impossible to "beat the market" consistently on a risk-adjusted basis since market prices should only react to new information. Because the EMH is formulated in terms of risk adjustment, it only makes testable predictions when coupled with a particular model of risk. As a result, research in financial economics since at least the 1990s has focused on market anomalies, that is, deviations from specific models of risk. The idea that financial market returns are difficult to predict goes back to Bachelier, Mandelbrot, and Samuelson, but is closely associated with Eugene Fama, in part due to his influential 1970 review of the theoretical and empirical research. The EMH provides the basic logic for modern risk-based theories of asset prices, and frameworks such as consumption-based asset pricing and int ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Risk Parity
Risk parity (or risk premia parity) is an approach to investment management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. The risk parity approach asserts that when asset allocations are adjusted (leveraged or deleveraged) to the same risk level, the risk parity portfolio can achieve a higher Sharpe ratio and can be more resistant to market downturns than the traditional portfolio. Risk parity is vulnerable to significant shifts in correlation regimes, such as observed in Q1 2020, which led to the significant underperformance of risk-parity funds in the Covid-19 sell-off. Roughly speaking, the approach of building a risk parity portfolio is similar to creating a minimum-variance portfolio subject to the constraint that each asset (or asset class, such as bonds, stocks, real estate, etc.) contributes equally to the portfolio overall volatility. Some of its theoretical components were developed in the 1950s and 1960s but the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
1952 Births
Year 195 ( CXCV) was a common year starting on Wednesday (link will display the full calendar) of the Julian calendar. At the time, it was known as the Year of the Consulship of Scrapula and Clemens (or, less frequently, year 948 ''Ab urbe condita''). The denomination 195 for this year has been used since the early medieval period, when the Anno Domini calendar era became the prevalent method in Europe for naming years. Events By place Roman Empire * Emperor Septimius Severus has the Roman Senate deify the previous emperor Commodus, in an attempt to gain favor with the family of Marcus Aurelius. * King Vologases V and other eastern princes support the claims of Pescennius Niger. The Roman province of Mesopotamia rises in revolt with Parthian support. Severus marches to Mesopotamia to battle the Parthians. * The Roman province of Syria is divided and the role of Antioch is diminished. The Romans annexed the Syrian cities of Edessa and Nisibis. Severus re-establish his h ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
