Marina Ferenț-Pipaș, Data Scientist marina.ferent@orpheusindices.com Mean Reversion Mean reversion has been the corner-stone in differentiating the random from the non-random behavior. Stationarity is used to identify mean reversion in a time series. A critical role in classical time series analysis is played by the concept of stationary processes. Stationary processes are easier to be modeled […]
In finance, arbitrage is an essential framework to understand asset pricing. However, the study of anomalies also called as premiums, which are not arbitrageable has led to a debate regarding whether markets are efficient in correcting price imbalances or is inefficiency a reality. This is why the Economics Nobel prize 2013 was awarded to both the behavioral […]
We are verrrry excited to see the new tables from Tralio. Thet are totally automated, awesome numbers, can’t wait to release the first 10 portfolios. They will be India50, India100, US500, US100, Canada60, Canada100, Europe50, UK100, Romania10. Any thoughts which equity portfolio should be the tenth one? Below is the RMI US 500 against the […]
Dacian Jurj dacian.jurj@orpheusindices.com Do you run an active model or your allocation is with a money manager who manages your money actively? Are you cash? Since when are you cash? How much of your model is cash? If you don’t have a clue of what I am talking about. Let me explain. Active models […]
Abstract In finance, arbitrage is an essential framework to understand asset pricing. However, the study of anomalies also called as premiums, which are not arbitrageable has led to a debate regarding whether markets are efficient in correcting price imbalances or is inefficiency a reality. This is why the Economics Nobel prize 2013 was awarded to both the […]
These are the performance numbers of the NASDAQ Orpheus RMI US Value Growth 20, Year to Date vs. NASDAQ Benchmark, NASDAQ 100 and S&P 100. Our claim that combining Value and Growth is the smarter Beta approach, is in its first year of validation. The RMI has outperformed the NASDAQ benchmark, NASDAQ 100, S&P 100 by 9.66%, 3.28% […]
Marina Ferent marina.ferent@orpheusindices.com Abstract Stationarity tests are used to detect mean reversion in a certain dataset. Mean Reversion processes suggest a non-random behavior in a time series (Lo and MacKinley, 1988). Previous research has focused on studying mean reversion at stock price level (Debondt and Thaler, 1985; Lindemann et al., 2004) and considers stationary assumptions […]
Abstract Information is an assumption for modern finance. The Efficient Market Hypothesis uses information to back its case of efficiency. The EMH case is weak, but as Martin Swell (2011) explains, until a flawed hypothesis is replaced by better hypothesis, criticism is of limited value. This paper challenges the information assumption in EMH based on […]