Quantitative Trading

(This post is based on the talk of the same title I gave at Quantopian's NYC conference  which commenced at 3.14.15 9:26:54. Do these nu...

In our drive to extract alphas from a variety of non-price data, we came across this old-fashioned source: Commitments of Traders (COT) on f...

By Yang Gao Estimize is an online-community utilizing 'wisdom of crowds' to offer intelligence about market. It contains a wide r...

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...