Dynamic Estimation of Stochastic Gold Exposure

Gold is often viewed as a safe haven asset or a hedge against market turmoil, currency depreciation, and other economic or political events. At the beginning of the COVID pandemic, S&P 500 experienced a sharp drop before returning to pre-COVID level several months later. At the same time, SPDR Gold Shares (GLD) had gained more than 25% from February to August 2020.

--

--

--

Latest articles on Quantitative Investing, covering wide-ranging topics, from portfolio construction and strategic rebalancing to risk premia strategies and statistical arbitrage, with emphasis on combining quantitative methods with financial insights.

Recommended from Medium

The Coming Financial Disruption

Investors are thinking in new ways about how their capital is handled

The R&D Tax Incentive: the lone policy upholding Australia’s innovation agenda?

Glandore — How to get your business Brexit ready

Moving the goalposts

Wealth Formula Episode 299: Chris Leonard

The Fed Is About to Topple This House of Cards

Who Imagined Investing In Commodities Could Be Profitable and FUN!

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store
Tim Leung, Ph.D.

Tim Leung, Ph.D.

Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington, Seattle

More from Medium

Does Stock Market Reflect Economy? Predicting Inflation with Stock Return Using VAR Model

Five-Factor Asset Pricing Model Analysis

Stochastic Storage Cost Model for Grains Futures

Demystifying market patterns SP500, EDA, Bayes engine, cryptography and much more