Quantitative Trading

Folklore has it that VIX is a reasonable leading indicator of risk. Presumably that means if VIX is high, then there is a good chance that t...

In my recent  book , I highlighted a difference between cointegration (pair) trading of price spreads and log price spreads. Suppose the pri...

Can short-term price movement be predicted? (I am speaking of  seconds or minutes here.) This is a question not only relevant to high freque...

By Azouz Gmach VIX Futures & Options are one of the most actively traded index derivatives series on the Chicago Board Options Exchan...

In my book I devoted considerable attention to the phenomenon of " Momentum Crashes " that professor Kent Daniel discovered. Thi...

A reader (Hat tip: Ken) told me that my new book Algorithmic Trading: Winning Strategies and Their Rationale  is now available for purchase ...

I have long been partial to linear strategies due to their simplicity and relative immunity to overfitting. They can be used quite easily t...

I have come across many software platforms that allow traders to first specify and backtest a strategy and then, with the push of a button, ...

It can seem a bit ironic that we should be discussing Nassim Taleb's best-seller " Antifragile " here, since most algorithmic ...

There is a workshop on the 25th of February titled " Market turbulence; monetization; and universality " by Mike Lipkin at Columbi...

A reader pointed out an interesting paper that suggests using option volatility smirk as a factor to rank stocks. Volatility smirk is the d...

Backtesting trading strategies necessarily involves a very limited amount of historical data. For example, I seldom test strategies with dat...

A reader  ezbentley recently pointed out a little-noticed fact in the derivation of Kelly's formula: if we apply the optimal Kelly lev...

In a post some years ago, I argued that leveraged ETF (especially the triple leveraged ones) are unsuitable for long-term holdings. Today, ...

Order flow is signed transaction volume: if an order is executed at the ask price, the incremental order flow is +(order size); if executed ...

I confess I have always found it hard to trade options. This is despite having read some of the "bibles" of options trading, inclu...

Futures returns consist of two components: the returns of the spot price and the "roll returns". This is kind of obvious if you th...

As a devout mean-reversion trader, I find Mike Dever's new book " Jackass Investing " unexpectedly well-argued and readable. ...

First, an iPad version of this blog has been launched, so if you are reading this on an iPad, the look will be different. If you want to go ...

Sometimes it is instructive to look back at some strategies that used to thrive, and then quite suddenly contracted a chronic illness that u...