Trading

Hobson, Dana, "VWAP and Volume Profiles," Journal of Trading, 2006, Volume 1, Number 2, pp. 38-42.

Summary. Volume profiles are a primary component of VWAP execution strategies. A study of simulated VWAP execution performance using intraday tick data indicates that innovations beyond a simple smile profile yields almost no benefit. Factors beyond the provider's control, such as stock characteristics like liquidity and volatility, have a much greater impact. These results indicate that other aspects of VWAP algorithms, such as the tactics on individual trades intraday, are more likely to yield significant benefits than refinements on the volume profile.

Hobson, Dana, "The Pool and the Puddle Archipelago: Why the NYSE Handles Volume with Less Volatility than NASDAQ" (June 2005)

Global Equity Research

Hill, Peter, “Global Asset Allocation”, in Jess Lederman and Robert A. Klein, ed., Chapter 15 in Global Asset Allocation: Techniques for Optimizing Portfolio Management, John A. Wiley & Sons, Inc., 1994.

Summary. An asset allocator who looks beyond the domestic stock and bond markets will find increased opportunities to improve the return-risk trade off. Global investing, however, exposes portfolios to increased political and economic risks. Existing quantitative asset allocation techniques may not be sufficient to deal with these risks. A disciplined qualitative approach is needed to analyze risk under conditions of uncertainty. Understanding this dilemma and examining a scenario-based approach to dealing with uncertainty form the heart of this chapter.