Quantitative Trading

Due to a technical glitch, many subscribers to this blog were not notified of my latest article on stop-loss strategy and a method to estima...

A reader recently asked me whether setting a stop loss for a trading strategy is a good idea. I am a big fan of setting stop loss, but there...

More insights from Steve on using sentiment as contrarian indicator. (See his comments on my article on Market-cap and growth-value arbitr...

A reader JR just posted some very thoughtful comments on my article on factor models. You can read his comments and my reply here .

Here is an interesting WSJ article on a statistician who makes an excellent living betting on sports, quantitatively. (Thanks to my friend ...

Let me describe a portfolio optimization scheme that, over the long run, is supposedly guaranteed to outperform the best stock in the portfo...

Besides pair-trading, “factor model” is the most popular workhorse of the statistical arbitrageur. In a previous article , I discussed the m...

Sometime ago I espoused my views that AI and data mining techniques may not be suited for predicting financial markets. Here we have an art...

There is an interesting New York Times article on a mathematician and cryptologist who used to work for the wildly successful hedge fund Re...

Predicting whether small-cap or growth stocks will outperform large-cap or value stocks in the next quarter is a favorite pastime of financi...

There was an article in the New York Times a short while ago about a new hedge fund launched by Mr. Ray Kurzweil, a poineer in the field of...

Many of us Canadians like to think of our economy as a member of the advanced, post-industrial world, with the landscape dotted with brand-n...

Quantitative traders can sometimes lose sight of the fact that many profitable trading strategies are extremely simple, requiring no math at...

Both my friend Yaser Anwar over at the Investment Ideas blog and my reader Jim urged me to test the oil services ETF OIH instead of XLE fo...

A reader of my article “ An arbitrage trade between energy stocks and futures ” suggested that I should look at a longer history of crude oi...

Instead of checking this blog constantly for new postings, you can now sign up to receive an email whenever a new article appears. Please se...

A few readers pointed out a typo and an arithmetic error in my article " Maximizing Compounded Rate of Return ". In the geometric ...

Steve Hansen of Raymond James Ltd. in Vancouver, B.C. suggested to me that a good trading signal for the GLD - GDX spread is when it exceed...

Just a quick note on the GLD-GDX spread that I have been talking about . This morning (Nov 17) the negative spread completely reverted and h...

In my article about the arbitrage opportunity between gold and gold-miners, I cautioned that we should take the analysis with a grain of sa...