[youtube https://www.youtube.com/watch?v=TRajLqEaWhQ?rel=0]

For any sell side trader, optimal liquidation is his bread and butter. Given any client order, the trader has to compete against two forces, market impact and volatility risk. Market impact : If a large trade is executed too rapidly, costs will be incurred as the trades move the market in an adverse situation Volatility risk : On the other hand, if the trade is executed too slowly, the the position is subject to risk during the time that the shares remain in the portfolio.

Till date, I must confess that I have never read a “marketing” paper. So, when one of my friends wanted my comments on a paper that is published in JMR, June 2014, titled “Decomposing the Impact of Advertising: Augmenting Sales with Online Search Data”, I thought I might encounter a lot of marketing jargon and might be put off. Thankfully there is lot less of it in the paper. The paper is very interesting as it uses Google trends as a proxy for consumer pre-purchase interest.

Stumbled on to a paper titled, “Deliberate practice: Is that all it takes to become an expert?” that takes a hard look at the much talked about and written about principle of deliberate practice. Indeed there has a been cottage industry of books/ blogs/ articles that seem to propagate that “only practice matters and nothing else”. The paper does some number crunching and concludes that the whole idea might be a fancy thing just caught on.

The paper titled, Temporal Aggregation of GARCH processes, by Drost and Njiman is a classic paper that introduces three forms of GARCH processes: Strong form of GARCH, Semi-strong form of GARCH and Weak form of GARCH. Only the Weak form of GARCH is appropriate for connecting volatility estimates and parameters of models built at various frequencies. In most of the literature on volatility estimation from high frequency data, the authors assume Weak form of GARCH.