Quantitative Trading

I just published an article " MATLAB as an Automated Execution System ". (It is available to readers of my book and subscribers t...

I will be holding a 2-day, hands-on, pairs trading workshop in London, October 14-15. It will be held in conjunction with the Automated Trad...

In my book , I mentioned 2 seasonal trades in natural gas and gasoline futures that have been consistently profitable for 14 years. (Mention...

As an algorithmic trader, I am constantly in search of a better physical infrastructure where I can connect via the internet to my execution...

In a recent post (hat tip: Russell M.), Tyler Durden at Zero Hedge quoted a quant trader saying that "Anyone who is doing anything sen...

Thoughtful comments from a reader John S. from the UK on his experience with trading technology and models: "I have been developing m...

As I mentioned in various previous blog posts, (e.g. see here ), I believe mean-reversion strategies have been performing very well in the l...

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...