Publications by Quantitative Finance Collector

R Optimization Test

I have tested several R optimization functions before: nlm, optim(Nelder-Mead), optim(BFGS), optim(SANN), nlminb, optim (L-BFGS-B) for a eight-parameter Vasicek interest rate model, overall I find that for my setting, nlminb is the best and all R functions finish within seconds. For detail please read the old post at R optimization function testP...

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A simple strategy between A-shares and H-shares

A similar article was posted at the sub-personal blog before and I paste it here in case someone is interested.At the moment there are 84 firms listed at both A (Shanghai and Shenzhen) and H (Hongkong) stock markets, according to the law of one price, the stock prices of these firms should be at similar level. However, there are huge differences,...

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Performance of Trend Factor in Chinese market

Han, Y.F., and Zhou, G.F. have an interesting working paper on the performance of a trend factor they proposed:QuotationIn this paper, we propose a trend factor to capture cross-section stock price trends. In contrast to the popular momentum factor constructed by sorting stocks based on a single criterion of past year performance, we form our tre...

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