Quantitative Trading

Recently Mr. Teetor, a subscriber of mine, has posted an enthusiastic comment on trading the XLE-USO spread that I suggested. While Mr. Tee...

Ms. Elana Varon who writes the CIO Magazine's Innovation and IT Strategy blog quoted me today in saying that some quantitative investme...

Not so long ago I was an agnostic with respect to choosing between mean-reverting and momentum models: I felt that depending on the particul...

A reader from a hedge fund (who wishes to remain anonymous) sends me some thoughtful comments about factor models. He has graciously allowed...

As I said in my CNBC interview , investors just got to be patient with the factor models. Sure enough, we are seeing reports that the large...

It has become apparent to me in the last month that there has been a massive transfer of wealth from the gigantic hedge funds running factor...

Here is the link to my interview on why quantitative models are losing money of late:

Folks, I will be appearing on CNBC tomorrow (Tue, August 14) for a live interview about quantitative trading with Maria Bartiromo. The segme...

A reader of mine (who wish to remain anonymous) pointed out that most of the losses seem to come from low-frequency trading models, while h...

A story just came through Dow Jones newswire ("How Black Boxes Became Pandora's Boxes" by Spencer Jakab) suggesting that recen...

The New York Times today has an article about several well-known quantitative hedge funds incurring significant losses in recent months. I ...

For those of you who are into currency trading, this blog looks interesting. You can also subscribe to a free daily email newsletter called...

For readers who are interested in news-driven trading , here is another article . This article pointed out a contrarian view offered by Rich...

In the same issue of the Economist magazine I cited previously, there is an article about the valuation of currencies based on 13 quantita...

There is an article about algorithmic trading in the latest issue of the Economist magazine, where it says that one-third of all stock tra...

I have discussed in various articles trading the spreads between pairs of ETF ’s, or between a basket of stocks against an ETF using cointe...

Here is an interesting and thoughtful article , with reference to an academic study, on how terrorism affects forex trading.

Some of you may remember that I preached about the uselessness of factor models in predicting short term return, and the unreliability of m...

The Economist magazine has given us a fundamental reason to buy platinum (if not to short gold), in addition to my seasonal one.

Yesterday was the exit of the Australian dollar futures seasonal trade which I discussed in my premium content . It incurred a loss of $920 ...