Quantitative Trading

During the financial crisis of 2008, I wrote about how I watched some risk indicators such as the VIX or the TED spread  to decide what l...

Recently I opened a  discussion on the various software platforms which allow the programmers among us to build trading strategies easily. ...

I have long espoused the view that we should not impose stop-losses on mean-reverting strategies, nor profit caps on momentum strategies. My...

The ideal software platform for automating backtesting and executing your algorithmic trading strategies depends mainly on your level of pro...

I enjoyed reading Richard Wilson's The Hedge Fund Book  (Richard also runs the Hedge Fund Blogger  site). To be clear: it is purely mark...

There is an article in the New Yorker magazine profiling Bridgewater Associates, the world's biggest global macro hedge fund. Inevitabl...

Jim Liew of Alpha Quant Club recently posted an interesting article about the increasing demand for transparency of hedge fund strategies b...

I have written a lot in the past about the cointegration of ETF pairs, and how this condition can lead to profitable pairs trading. However,...

News driven trading is even more in vogue today than when I last mentioned it, judging from the increasing number of vendors (e.g. Ravenpac...

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...