Quantitative investment and trading ideas, research, and analysis.
Hi, ErnieI first knew about you from a CNBC's interview with you and then come across your blog site again. I'm wondering if you have ever written anything introducing various quantitative trading strategies. I'm particularly interested in high-frequency futures trading and the differences or similarities of this trading strategy with others, e.g, statistical arbitrage, etc. Thank you!
Dear Anonymous,I have not written anything in-depth about high frequency trading, primarily because this is an area where the details of implementation is as important as basic theory. However, if you search the web, you will find numerous academic papers and discussions on possible HF strategies.Ernie
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