Quantitative Trading

I mentioned in various places that Alphacet Discovery is an industrial strength integrated platform for backtesting and implementing quanti...

As I mentioned in a previous post , one of the main ingredients of success in constructing a profitable momentum trading strategy in Forex (...

Many years ago, a portfolio manager asked me in a phone interview: "Do you believe that linear or nonlinear models are more powerful in...

I have long found that it is easier to find good (i.e. high Sharpe ratio) mean-reverting strategies than good momentum strategies. Partly, t...

I just started reading Larry Harris' book " Trading and Exchanges " (thanks to Max Dama 's glowing book review) and alread...

Lately there were a few interesting discussions in the  blogosphere  on the profitability of shorting the VXX-VXZ spread. (See Quantum Blog ...

Our readers in New York may be interested in this finance workshop at Columbia University tomorrow. I am particularly interested in the ta...

Long time readers of this blog know that I haven't found data mining or artificial intelligence techniques to be very useful for my own...

I realized that I have omitted the most obvious virtue of trading options instead of stocks in my last post: the much more attractive reward...

There are many stock trading strategies that are quite attractive in terms of Sharpe ratios, but not very attractive in terms of returns. (P...

Have you ever got the feeling that your market orders are often filled at prices worse than the NBBO displayed on your trading screen? Appar...

I wrote several times before how useless Sharpe ratio is for certain types of strategies: see here and here . Not only is a high Sharpe ra...

Pair trading was invented two decades ago, but automating its implementation has only recently become fashionable with independent traders. ...

Once in a while, a book about trading written for the general public contains some useful nuggets even for professionals.  Fortune's For...

As a follow-up of my previous discussions on high frequency trading, I have invited guest blogger Jennifer Groton to share with us a quick s...

Before the smoke is clear, fingers are already pointing at flash orders. See these two NYT pieces here and here . Our reader Madan has con...

Many of you know that there are a number of dependable commodity-related ETF pairs that remain cointegrated ever since I mentioned them in ...

As many of you know, I am a fan of Kelly formula because it allows us to maximize long-term growth of equity while minimizing the probabili...

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...