tag:blogger.com,1999:blog-35364652.post3318604895942990145..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: Index change strategyErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-35364652.post-82661629877449592952008-09-21T12:29:00.000-04:002008-09-21T12:29:00.000-04:00Hi Max,The book is on schedule to be published in ...Hi Max,<BR/>The book is on schedule to be published in November. Unfortunately at this stage no preview version is available. I will leave it to the publisher to see if any promotion in person is necessary!<BR/><BR/>The news of the massive bailout was confirmed by the Treasury before the end of the day, hence we should expect the trend to continue throughout the day. Mean-reversion typically happens in the absence of confirmation.<BR/><BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-3705563228336664322008-09-19T18:17:00.000-04:002008-09-19T18:17:00.000-04:00Ernie,Are you going to visit San Francisco to publ...Ernie,<BR/><BR/>Are you going to visit San Francisco to publicize your book? The publisher is taking quite a while to release it although I see that it now has a cover. I'm not sure how it works but is there a channel to get a pre-release copy?<BR/><BR/>I was a little surprised there was no drop before the close today since anything could happen over the weekend. I'm 19 so this is basically new to me.<BR/><BR/>Regards,<BR/>MaxMax Damahttps://www.blogger.com/profile/12948829617916062149noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-78484793270459888112008-09-19T15:20:00.000-04:002008-09-19T15:20:00.000-04:00Hi Max,Just as in January 2008, this financial cri...Hi Max,<BR/>Just as in January 2008, this financial crisis has been excellent profit opportunities for mean-reversal strategies. (See http://epchan.blogspot.com/2008/01/are-quant-strategies-in-trouble-yet.html). Again, momentum strategies were slaughtered this week.<BR/><BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-78264359079357620562008-09-19T13:42:00.000-04:002008-09-19T13:42:00.000-04:00Hey Ernie,How are you doing? I'm always interested...Hey Ernie,<BR/><BR/>How are you doing? I'm always interested to hear your thoughts.<BR/><BR/>Regards,<BR/>MaxMax Damahttps://www.blogger.com/profile/12948829617916062149noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-42922126096822976212008-09-09T00:19:00.000-04:002008-09-09T00:19:00.000-04:00I meant BP Arco. Sorry.I meant BP Arco. Sorry.Highgammahttps://www.blogger.com/profile/15938202656495837461noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-58011979295479226652008-09-09T00:18:00.000-04:002008-09-09T00:18:00.000-04:00Don't do it! Chasing index recomposition is a trap...Don't do it! Chasing index recomposition is a trap! Save yourself! (Oh, the memories of BP Amoco still haunt me these many years later....)Highgammahttps://www.blogger.com/profile/15938202656495837461noreply@blogger.com