Practical analysis for investment professionals

Mark S. Rzepczynski

15 Posts

Biography

Mark S. Rzepczynski is CEO of the Funds Group at FourWinds Capital Management, Boston

Author's Posts
Book Review: A Man for All Markets

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.

Book Review: The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

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.

Book Review: Commodity Markets and the Global Economy

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.

Book Review: The Econometrics of Individual Risk

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.

Book Review: Mastering ’Metrics

The authors provide an easy-to-read overview of key concepts in econometrics for anyone desiring a strong intuitive description of how to conduct analysis using simple techniques. Covering a limited number of topics with practical examples of each, they offer a useful framework for conducting fundamental econometric analysis. Although the book does not directly discuss financial issues, it provides a good foundational review for the financial empiricist who wishes to better structure econometric tests.

Book Review: Uncertainty, Expectations, and Financial Instability

This book presents insights into the formation of expectations and the causes of market instability by updating and applying the forgotten theories of Nobel Prize–winning economist Maurice Allais. Focusing on alternatives to the rational expectations theory, the author shows how memory and strength of signal influence the way investors form their views of the market. He applies these “old” concepts on expectation formation to recent market events to explain how alternative expectation formulations can lead to market instability.

Book Review: Trend Following with Managed Futures

Investors are warming to price-based investment strategies, even though trend following has often been associated with “noise” traders and theoretical technical analysis.

Book Review: The Handbook of Market Design

This handbook provides an insightful set of articles on the impact of economics and game theory on the development of structures to solve market design problems. Bringing together the latest research in this growing field, the editors provide a detailed overview on how market mechanisms can be used to solve problems of matching and exchange.

Book Review: Global Trends 2030

This book is the US intelligence community’s best assessment of critical drivers and political scenarios worldwide over the next 15 years. The overview is broken into megatrends, game changers, and potential alternative scenarios. It delineates those regions and issues that may hold both the greatest opportunities and the greatest risks in the future.

Book Review: The Dollar Trap: How the US Dollar Tightened Its Grip on Global Finance

The author, an international finance expert, focuses on the complexities of the US dollar as the global reserve currency. Exploring current fundamental modeling and the politics of international financial coordination, he details why, in spite of news reports concerning its demise, the dollar will continue to be the dominant world currency.



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