Friday, November 21, 2014
It's interesting how one story can lead to another. I was researching an article here about Michael Koukounas's book, Real-World Analytics, and during an interview with Koukounas, he happened to mention the exciting stuff happening at his alma mater, New Jersey's Rutgers Business School. In particular, the Master's in quantitative finance (MQF) program. The interesting aspect of his...
Friday, September 26, 2014
We find significant evidence of mean reversion in closed-end fund premiums. Previous studies substantially understate the magnitudes of arbitrage profits in the closed-end fund market. Capitalizing on the property of mean reversion, we devise a parametric model to estimate expected fund returns by incorporating the information content of a fund’s premium innovation history. Our strategy of buying...
Wednesday, January 29, 2014
For the third year in a row, Rutgers MQF students delivered a thought-provoking event on an issue relevant to students and professionals in the areas of finance and economics. Hundreds of students as well as faculty and guests attended the Jan. 27 quant summit. In remarks welcoming the crowd, Rutgers Business School Dean Glenn Shafer described the Master of Quantitative Finance Program as a "jewel of our school.”
Thursday, February 16, 2012
The International Association of Financial Engineers (IAFE) recently announced the results of the 2011 National Academic Case Competition, a prestigious case competition between the nation’s top quant programs. The University of California - Berkeley’s team won the competition, but Rutgers’ Master of Quantitative Finance team and NYU were the only teams to earn Honorable Mentions.