We adopt multiple measures to evaluate tracking errors based on recent data and
evaluate fund liquidity as represented by volume and a special gauge of bid-ask spread proposed
by Lyxor Asset Management. Based on tracking error metrics and liquidity gauges, we propose an
ETF efficiency indicator that can be used to choose the optimal ETF for trading purposes
Report: A New System Of Choosing The ETF
This is an exemplary report from my tenure at Haitong Securities. I was tasked to explore the possibility of an analytical solution to the knock-in probability problem under the circumstances of discrete monitoring. I was able to come up with one based on Professor Kou's 1997 paper. I also justified this formula using numerical simulation.
Report: Knock-in probability under discrete monitoring