Quantitative Trading

A new conference called Psi-Q will be held in London this June, featuring luminaries in the academic quantitative finance world, as well as...

For my readers in Asia, I will be conducting a pairs trading workshop in Hong Kong on March 10-11. This workshop is organized by the Techni...

Most trading systems have a number of parameters embedded, parameters such as the lookback period, the entry and exit thresholds, and so on....

Some readers have asked whether there is an Excel version of the ADF test for cointegration (mentioned in articles here or here .) You can ...

Ron Schoenberg and Al Corwin recently did some interesting research on the trading technique of "averaging-in". For e.g.:  Let...

A guest blog by Paul Farrington One of the most important factors in statistical arbitrage pairs trading is the selection of the paired in...

   1.  Conference on 'Computational Topics in Finance', February 19/20, 2010, National University of Singapore. The topics will incl...

It is worrisome when not one but two eminent economists denounced financial speculation as "harmful human activities" in the short...

When I was growing up in the trading world, high Sharpe ratio was the holy grail. People kept forgetting the possibility of "black swan...

I have learned some years ago that ETF's are strange and wonderful creatures. Simple, long-only mean-reverting strategies that work very...

Let me talk about a topic that is far more mundane than the usual high-brow theoretical discussions of strategies and algorithms, but that h...

I confess I don't know much about flash orders, not being one of the Big Boys on the Street, until I read that the SEC is banning them ....

It occurs to me that the only way in which a trader can become more than a completely selfish, self-enriching, narcissistic person is to tra...

Author Malcolm Gladwell, in his fascinating bestseller " Outliers: The Story of Success ", cites neurological research showing tha...

Paul Teetor, who guest-blogged here about seasonal spreads , recently wrote an article about how to test for cointegration using R. Readers...

I have given a 2-part interview ( here and here ) on the various nuances of backtesting on tradingmarkets.com. Most of the ideas have been ...

Triple leveraged ETFs marketed by Direxion have been all the rage lately. The fund management company says that they do not recommend buyin...

For readers who do not want to pay for a commercial Matlab2IB API, Max Dama has put together a free alternative. Domenic has provided some...

You can find an interview of me in the July 2009 issue of Technical Analysis of Stocks & Commodities magazine . I mentioned in that inte...

Alphacet told me that they have a job opening for a quant who will be helping their clients backtest trading strategies, among other respon...