Quantitative Trading

By Roger Hunter I am a quant researcher and developer for QTS Partners, a commodity pool Ernie (author of this blog) founded in 2011. I he...

Many traders who use technical analysis favor the Moving Average Crossover as a momentum indicator. They compute the short-term minus the lo...

In my book , I described a very simple and elegant formula for determining the optimal asset allocation among N assets: F=C -1 *M   (1) ...

Financial engineers are accustomed to borrowing techniques from scientists in other fields (e.g. genetic algorithms), but rarely does the bo...

Readers of zerohedge.com will no doubt be impressed by this chart  and the accompanying article : Cumulative Returns of Most Shorted Sto...

In my last post , I reported that the fundamental factors used by Lyle and Wang seem to generate no returns on SP500 large cap stocks. These...

Contrary to my tradition of alerting readers to new and fancypants factors for predicting stock returns (while not necessarily endorsing an...

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, ...