Quantitative Trading

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...

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

A story just came through Dow Jones newswire ("How Black Boxes Became Pandora's Boxes" by Spencer Jakab) suggesting that recen...

Some of you may remember that I preached about the uselessness of factor models in predicting short term return, and the unreliability of m...

The Economist magazine just published an article that talked about "synthetic" hedge funds, or replicating hedge fund returns usi...

Besides pair-trading, “factor model” is the most popular workhorse of the statistical arbitrageur. In a previous article , I discussed the m...