Quantitative Trading

By Colton Smith === Exploring alternative datasets to augment financial trading models is currently the hot trend among the quantitative...

By John Ryle, CFA === I’ve long been interested in the behavior of corporate insiders and how their actions may impact their company’s ...

I have been troubled by the following paradox in the past few years. If a stock's log returns (i.e. change in log price per unit time) f...

One of the perennial problems in building trading models is the spareness of data and the attendant danger of overfitting. Fortunately, ther...

Much has been written about the Post-Earnings Announcement Drift (PEAD) strategy (see, for example, my book ), but less was written about p...

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

Everybody loves trading or investing in ETPs. ETP is the acronym for exchange-traded products, which include both exchange-traded funds (ETF...

Everybody know that volatility depends on the measurement frequency: the standard deviation of 5-minute returns is different from that of d...

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...

By Lukasz Wojtow Mechanical traders never stop researching for the next market edge. Not only to get better results but also to have more ...