digging gold in footnote – 4
February 3, 2010
Barr Rosenberg, factor model ( Swanson had a few page discuss about Barr’s fund performance, except for initial success, the performance post fee is sub par).
Rosenberg, Persuasive evidence of market inefficiency.
BARRA on campus: kit should be available at SOM, check
Advanced Trading, a tech trading magazine
Automated Trader, anther algo trading magazine
Andre Perold (very well connected, worked with E. Schulman, Black, Sharpe, Markowitz etc. , also the author of batterymarch case, and many other investment management/trading related case ( where can I get all these cases??), some interesting work as well.
Wayne Wagner, LA based Plexus Group founder, Stanford Alum, acquired by JPM then by ITG. ‘whole cost measurement industry originated by Plexus according to Leiweber.
Wayne Wagner, The Incredible Story of Transaction Cost Management: A Personal Recollection. Journal of Trading 3, no. 3. Summer 2008. (Go get it!)
ALL THE AI TECHNIQUES, PARTICULARLY GA/TEXT FRONT, SOCIAL MEDIA/COLLECTIVE INTELLIGENCE.