Practical analysis for investment professionals

Mark S. Rzepczynski

21 Posts


Mark S. Rzepczynski is CEO of AMPHI Research and Trading in Boston.

Author's Posts
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.

Book Review: Successful Investing Is a Process

Using 50 years of theory and empirical evidence, the author presents processes, or protocols, for investment success. He focuses on using effective tools for managing more efficient portfolios without relying on forecasting skill. The book develops protocols that appreciably improve portfolio efficiency.

Book Review: Hedge Fund Market Wizards

This fourth book in the Market Wizards series includes 15 interviews with hedge fund traders. It details many variations regarding which markets to trade in, what time frame to incorporate, and how to use information. The wizards trade in all markets, including futures, options, equities, and bonds.

Book Review: The Financial Crisis Inquiry Report and In the Wake of the Crisis

These books deepen our knowledge of the key issues surrounding the global financial crisis. Although both works suffer somewhat from a myopic viewpoint, together they enhance the finance professional’s understanding of the crisis and its causes.

Book Review: Behavioral Investment Management

Little has been done to improve the overall state of investment management on the basis of our growing knowledge of behavioral finance. This book is an attempt to address this void in a unified investment management framework based on portfolio optimization with a behavioral component that uses advances in utility theory.

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