Mark S. Rzepczynski is CEO of AMPHI Research and Trading in Boston.
A Man for All Markets is the autobiography of a man regarded by many as the father of quantitative finance. His story is one of a mathematician who moved from solving such casino games as blackjack to applying his skills to option pricing and statistical arbitrage. As he recounts his journey, he provides insights for all money managers on how to generate an edge and beat the markets through deep research.
Leading econometricians address the issue of statistically identifying and measuring business cycle regimes and turning points. They provide a framework for modeling and predicting cyclical shifts. This work is relevant for investment managers interested in matching business cycle analysis with asset allocation decisions.
The author focuses on market dislocation issues that make commodities different from other asset classes, looking at the market’s dynamics through the four major forces that influence the commodity landscape. He examines long-term issues and takes the discussion of commodity markets beyond the typical focus on financial pricing models, emphasizing instead the larger competitive forces of supply and demand.
In this reissued book, the authors explore credit risk from four distinct quantitative perspectives — the occurrence, frequency, timing, and severity of a loss — and focus on the core econometric techniques for measuring each aspect. Given the industry failings associated with the recent global financial crisis, it is more important than ever for financial analysts to understand the mechanics of quantitative risk tools.