Wednesday, September 28, 2016

Really, Beware of Low Frequency Data

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I wrote in a previous article  about why we should backtest even end-of-day (daily) strategies with intraday quote data. Otherwise, the perf...
28 comments:
Friday, June 17, 2016

Things You Don't Want to Know about ETFs and ETNs

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Everybody loves trading or investing in ETPs. ETP is the acronym for exchange-traded products, which include both exchange-traded funds (ETF...
37 comments:
Thursday, April 07, 2016

Mean reversion, momentum, and volatility term structure

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Everybody know that volatility depends on the measurement frequency: the standard deviation of 5-minute returns is different from that of d...
113 comments:
Friday, November 27, 2015

Predicting volatility

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Predicting volatility is a very old topic. Every finance student has been taught to use the GARCH model for that. But like most things we le...
100 comments:
Friday, October 16, 2015

An open-source genetic algorithm software (Guest post)

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By Lukasz Wojtow Mechanical traders never stop researching for the next market edge. Not only to get better results but also to have more ...
3 comments:
Friday, September 18, 2015

Interview with Euan Sinclair

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I have been a big fan of options trader and author Euan Sinclair for a long time. I have cited his highly readable and influential book  Opt...
24 comments:
Thursday, July 02, 2015

Time series analysis and data gaps

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Most time series techniques such as the ADF test for stationarity, Johansen test for cointegration, or ARIMA model for returns prediction, a...
78 comments:
Monday, April 13, 2015

Beware of Low Frequency Data

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(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...
138 comments:
Saturday, February 28, 2015

Commitments of Traders (COT) strategy on soybean futures

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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...
99 comments: