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.

Rosenberg, Factor related and specific returns of common stock.

BARRA on campus: kit should be available at SOM, check

BARRA webinars

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Advanced Trading, a tech trading magazine

Automated Trader, anther algo trading magazine

Andre Perold: HBS prof. one of the most important transaction cost paper: Implementation Shortfall (jpm version), (’88), article about GS new algo to address it (’08)

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.

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