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Quantivity | Uncommon Returns through Quantitative and Algorithmic Trading | quantivity.wordpress.com Reviews
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Uncommon Returns through Quantitative and Algorithmic Trading
quantivity.wordpress.com
How to Learn Algorithmic Trading: Part 3 | Quantivity
https://quantivity.wordpress.com/2010/01/12/how-to-learn-algorithmic-trading-part-3
Uncommon Returns through Quantitative and Algorithmic Trading. How to Learn Algorithmic Trading: Part 3. January 12, 2010. Third in a series on learning quantitative / algorithmic trading, this post focuses on financial modeling and analysis, assuming understanding of financial mathematics from Part 2. And overview of quantitative trading from Part 1. Quantthis, Josh Ulrich. Retail quantitative trading with a bias to equity, exchange-traded derivatives, and FX. Analysis of Financial Time Series. By Hull:...
Implicit Momentum Bias | Quantivity
https://quantivity.wordpress.com/2012/10/25/implicit-momentum-bias
Uncommon Returns through Quantitative and Algorithmic Trading. October 25, 2012. Tadas asked an interesting question in his recent post: Where did all the finance bloggers go? A variety of folks gave thoughtful replies: Josh Brown. And bunch of anonymous professional traders. Undoubtedly, there is truth in all their observations. Yet, perhaps there is a common root cause at work, not yet stated:. You can see this bias in numerous ways, affecting both blog readers and authors:. From SSRN, for which 2 of 1...
Multi-Asset Market Regimes | Quantivity
https://quantivity.wordpress.com/2012/11/09/multi-asset-market-regimes
Uncommon Returns through Quantitative and Algorithmic Trading. November 9, 2012. An astute reader suggested reproducing the results from a recent article on regime analysis by Kritzman. Regime Shifts: Implications for Dynamic Strategies. In FAJ (May / June 2012). This is a fun exercise to be conducted over a series of posts, as doing so illustrates several important economic principles and some elegant mathematics. This post begins by identifying. One big challenge in analyzing market regimes is. Is an u...
Volume Clock, Gaps, and GOOG | Quantivity
https://quantivity.wordpress.com/2012/10/23/volume-clock-gaps-and-goog
Uncommon Returns through Quantitative and Algorithmic Trading. Volume Clock, Gaps, and GOOG. October 23, 2012. GOOG unexpectedly disclosed their Q3 earnings early last week, on October 18th. While earnings were marginally interesting, much more amusing was the corresponding hiccup in intraday trading. This event provides an opportunity to dig into TAQ data, view through a HFT lens, and build intuition from some elegant ideas due to Mendelbrot, Clark, and Ané. To do so, begin by considering trades for GOO...
Macro Matters and Orthodoxy | Quantivity
https://quantivity.wordpress.com/2012/05/09/macro-matters-and-orthodoxy
Uncommon Returns through Quantitative and Algorithmic Trading. Macro Matters and Orthodoxy. May 9, 2012. Quantivity disliked undergrad macroecon. As it was largely a waste of time: fancy theory lacking compelling evidence, amplified by no consensus within the field à la saltwater versus freshwater. Few folks could be blamed for such flippancy, as it was mostly harmless throughout the great moderation. In fact, traders took apparent pride in their ignorance of macro—except the global macro. Backward-looki...
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Seasonal Strategies - Market Remarks
http://www.marketremarks.com/seasonal-strategies
Helping You Achieve Extra-Ordinary Returns. Yale Hirsch has been publishing Stock Trader’s Almanac. Since 1966. From 2000, Hirsch’s company is also publishing Commodity Trader’s Almanac’s,. Which covers 13 commodities markets. For many years he studied the stock and commodity markets’ history, cycles and patterns and identified various seasonal trends and tendencies. He then combined these trends with calendar and developed many “statistically predictable” trading strategies. Martin Luther King Holiday.
Factor Evaluation in Quantitative Portfolio Management « The R Trader
http://www.thertrader.com/2015/03/23/factor-evaluation-in-quantitative-portfolio-management
The R Trader Blog. Risk as a “Survival Variable”. R financial time series tips everyone should know about ». Factor Evaluation in Quantitative Portfolio Management. March 23, 2015. When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later where no stocks at all can be held if there is not good enough opportunity. The reason for that is the tracking error. Between t...
Book Review « The R Trader
http://www.thertrader.com/category/book-review
The R Trader Blog. Archive for the 'Book Review' Category. Introduction to R for Quantitative Finance – Book Review. January 10, 2014. I used some spare time I had over the christmas break to review a book I came across: Introduction to R for Quantitative Finance. An introduction to the book by the authors can be found here. Chap 1: Time Series Analysis. Chap 2: Portfolio Optimisation. Chap 3: Asset Pricing Model. Chap 4: Fixed Income Securities. Chap 5: Estimating the Term Structure of Interest Rates.
beyondtheblueeventhorizon.blogspot.com
Beyond the Blue Event Horizon: September 2011
http://beyondtheblueeventhorizon.blogspot.com/2011_09_01_archive.html
Beyond the Blue Event Horizon. Until recently I was chief operating officer at The Bornhoft Group. Having gained operations experience with a multiple-CTA manager, I now want to contribute both my strategic and implementation skills to drive growth for systematic trading funds. View my complete profile. Keep Up to Date. Or enter email directly . All-In on a New Account. All-In on a New Account. Wednesday, September 28, 2011. 160;I thought I would share my modest contribution here. 160;Perhaps a future lo...
beyondtheblueeventhorizon.blogspot.com
Beyond the Blue Event Horizon: tradersplace
http://beyondtheblueeventhorizon.blogspot.com/2013/05/tradersplace.html
Beyond the Blue Event Horizon. Until recently I was chief operating officer at The Bornhoft Group. Having gained operations experience with a multiple-CTA manager, I now want to contribute both my strategic and implementation skills to drive growth for systematic trading funds. View my complete profile. Keep Up to Date. Or enter email directly . Saturday, May 25, 2013. A good friend of mine, Anthony Garner and an associate of his, Andreas Clenow, have set up a great traders' community at tradersplace.
beyondtheblueeventhorizon.blogspot.com
Beyond the Blue Event Horizon: October 2010
http://beyondtheblueeventhorizon.blogspot.com/2010_10_01_archive.html
Beyond the Blue Event Horizon. Until recently I was chief operating officer at The Bornhoft Group. Having gained operations experience with a multiple-CTA manager, I now want to contribute both my strategic and implementation skills to drive growth for systematic trading funds. View my complete profile. Keep Up to Date. Or enter email directly . Monday, October 18, 2010. Read more - - -. Links to this post. Subscribe to: Posts (Atom).
quantumfinancier.wordpress.com
Quantum Financier | On algorithmic trading | Page 2
https://quantumfinancier.wordpress.com/page/2
February 15, 2011. When designing a model, an aspect that I often overlook is scalability. First a definition from Investopedia: A characteristic of a system, model or function that describes its capability to cope and perform under an increased or expanding workload. A system that scales well will be able to maintain or even increase its level of performance or efficiency when tested by larger operational demands. Other avenues to consider in scalability are left to the interested reader who can always ...
quantumfinancier.wordpress.com
Basic Introduction to GARCH and EGARCH (part 1) | Quantum Financier
https://quantumfinancier.wordpress.com/2010/09/12/381
Basic Introduction to GARCH and EGARCH (part 1). September 12, 2010. As request by several readers in light of the previous series of post on using GARCH(1,1) to forecast volatility, here is a very basic introduction post on two models widely used in finance: the GARCH and EGARCH. As mentioned in one of my all time favorite blog post: Wonder of Residuals. There is a myriad of information and uses to this construct. When we fit a model, we are, or I am anyway (! Would call it level 1 adaptation. Must be e...
quantumfinancier.wordpress.com
Hello Old Friend | Quantum Financier
https://quantumfinancier.wordpress.com/2015/03/17/hello-old-friend
March 17, 2015. Reports of my death have been greatly exaggerated Mark Twain. Obviously since I have been trading full time my skill set has evolved so I can only imagine that the new perspective I hope to bring to the analysis contained moving forward will be more insightful. To all of you. From → Uncategorized. Larr; 2012 Wishes. 99 Problems But A Backtest Ain’t One →. March 18, 2015 03:31. Glad to hear you back🙂. Can I ask you what are the reasons to move to Python? March 19, 2015 14:40. I think R is...
Epistulae: TePRA Day I
http://post.aconstantine.net/2009/11/tepra-day-i.html
Postings, news, links, and musing regarding technology, business, and finance. Monday, November 9, 2009. Our Technologies for Practical Robotics Applications (TePRA). Conference began today in Woburn, MA. Given the economic situation, advance registration numbers were laid back this year. Yet and still, we were pleased to see significantly more registrations at the door than we had expected. We were especially surprised by the number of last-minute international registrants. Chicago, IL, United States.
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Quantivity | Uncommon Returns through Quantitative and Algorithmic Trading
Uncommon Returns through Quantitative and Algorithmic Trading. November 9, 2012. An astute reader suggested reproducing the results from a recent article on regime analysis by Kritzman. Regime Shifts: Implications for Dynamic Strategies. In FAJ (May / June 2012). This is a fun exercise to be conducted over a series of posts, as doing so illustrates several important economic principles and some elegant mathematics. This post begins by identifying. From → Uncategorized. October 25, 2012. October 23, 2012.
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