Quantitative Trading

Here is a new low-cost service called Alerts4All that offers technical trading signals for retail investors. You can, for example, have an ...

U.S. Congressman Peter DeFazio, introduced H.R. 1068: “Let Wall Street Pay for Wall Street's Bailout Act of 2009”, which aims to impose ...

I am pleased to introduce guest blogger Paul Teetor for today's article. ---------- Finding Seasonal Spreads By Paul Teetor A seasonal ...

Just as one should not trust VaR completely, one should also beware of high Sharpe ratio strategies. As this Economist article pointed out...

This Quebec pension fund lost some $25 billion due to non-bank asset-backed commercial paper (ABCP). Their Value-at-Risk (VaR) model did n...

Some discussions on Kelly's formula with a reader Steven L: Q: "I am more than half way through your book and am stuck at a concept...

Lately a number of new (at least to me) technologies useful to the algorithmic trader came to my attention: 1) Matlab2IB API I said in m...

See this interesting article (registration required) on FT on the state of the hedge fund industry. Paul Tudor Jones, Citadel, and Fortress...

Felix Salmon claimed in this post (hat tip: J. Rigg) that the quant job market is alive and well. However, I haven't heard much from th...

Some readers have doubts about my assertion that mean-reversal models continue to be very profitable during this whole year of financial an...

Actor Josh Brolin ("Milk", "W", "No Country for Old Man") said on Charlie Rose that his trading portfolio had ...

My book on Quantitative Trading has been published and is now available from Amazon.com . Many thanks to all of you for your ideas, comments...

Numerous commentators have pointed out the enormous yield spread between agencies debt (Fannie /Freddie) and US Treasuries. Here are some li...

Now that we are reasonably sure the financial world is not coming to an end yet, it is reasonable to ask how quantitative strategies have be...

Recently I participated in a webinar on using an algorithmic trading system called Alphacet Discovery. A link to the webinar can be found he...

Some years ago, I traded a simple index change strategy: buying stocks to be added to the SP500 index at the market open right after the ind...

In their new book " Nudge: Improving Decisions About Health, Wealth and Happiness ", U of Chicago economist Richard Thaler (of beh...

Ronald Domingues, an economics graduate student, has done an interesting study of how well a group of qualified investors with superior skil...

I have written before that my ideal trading model is one that has no parameters, and what ways there are to accomplish this. Actually, I fo...

I wrote a blog article last year on why hedging isn't always better. The more I try to practice what I preached, the more I am convince...