tag:blogger.com,1999:blog-35364652.post1093900044164707520..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: Looking for momentum? Check outside the USErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-35364652.post-81117256767729093322008-02-22T06:59:00.000-05:002008-02-22T06:59:00.000-05:00Mark,Thank you for your interesting observation ab...Mark,<BR/>Thank you for your interesting observation about the Australian market. Certainly my belief that the US market is the most efficient is not based on a rigorous study, but merely on my observation over the years that, whenever a stat arb trading model is successful in the US, it will usually be even more profitable in the Japanese market.<BR/><BR/>Perhaps other readers here can tell us whether it is true of other international markets as well?<BR/><BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-76948924717869915142008-02-22T00:07:00.000-05:002008-02-22T00:07:00.000-05:00Love the blog but I think your assertion that the ...Love the blog but I think your assertion that the US is that much more efficient than other markets so as to produce this momentum "dichotomy" is tenuous at best. The free flow of capital and ideas is global, not just US based. Indeed, I know many traders that suggest the Australian markets are the hardest to trade. I do agree with your preference for mean-reverting strategies however. <BR/><BR/>All the best. Mark.Anonymousnoreply@blogger.com