Illustrating the power-law relationship between life expectancy and economic wellbeing, as measured by GDP per Capita:

Illustrating the power-law relationship between life expectancy and economic wellbeing, as measured by GDP per Capita:

Systematic Strategies is recruiting for its new London office, opening in the summer. We will be hiring experienced quantitative researchers, developers and traders who will be engaged in the research and development of medium frequency strategies in equities, derivatives and foreign exchange. More details will be posted on our web site in due course. We currently have opportunities…

JonathanQuantitative Equity Strategy, Systematic Strategies, Systematic Volatility StrategyMay 2017, Monthly Report, Quantitative Equity Strategy, Systematic Strategies, Systematic Volatility Strategy

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JonathanIndex Fund, Index Replication, Long Only, Portfolio Construction, Russell 3000 Index, Stock Selection, Strategy Development1 commentBeta, Convexity, Down Beta, Dual Beta, Equities, Long Only, Russell 3000 Index, Up Beta

Around a quarter of a century ago I wrote a paper entitled “Equity Convexity” which – to my disappointment – was rejected as incomprehensible by the finance professor who reviewed it. But perhaps I should not have expected more: novel theories are rarely well received first time around. I remain convinced the idea has merit and may perhaps…

JonathanBond Futures, Collective 2, Commodity Futures, eMini Futures, Futures, Futures WealthBuilder, Machine Learning, Monte Carlo, Natural Gas Futures, VIX FuturesBond Futures, Collective 2, Euro futures, Futures, Gold futures, Machine Learning, Monte Carlo, Natural Gas futures, Oil futures, S&P 500 Futures, WealthBuilder

We are launching a new product, the Futures WealthBuilder, a CTA system that trades futures contracts in several highly liquid financial and commodity markets, including SP500 EMinis, Euros, VIX, Gold, US Bonds, 10-year and five-year notes, Corn, Natural Gas and Crude Oil. Each component strategy uses a variety of machine learning algorithms to detect trends, seasonal effects and…

JonathanAlgorithmic Trading, Collective 2, Hedge Funds, Systematic Strategies, VIX Index, Volatility, Volatility ETF StrategyAlgorithmic Trading, Collective 2, Hedge Fund Strategies, Systematic Trading, VIX ETFs

Regular readers will recall my mentioning out VIX Futures scalping strategy which we ran on the Collective2 site for a while: The strategy, while performing very well, proved difficult for subscribers to implement, given the latencies involved in routing orders via the Collective 2 web site. So we began thinking about slower strategies…

JonathanRisk Management, Stop Loss, Strategy Development, Volatility, Volatility ETF StrategyDrawdown Risk, Equity Curve, Stop Loss, Strategy Design, Strategy Risk

It isn’t often that you see an equity curve like the one shown below, which was produced by a systematic strategy built on 1-minute bars in the ProShares Ultra VIX Short-Term Futures ETF (UVXY): As the chart indicates, the strategy is very profitable, has a very high overall profit factor and a trade win rate in excess of…

JonathanEquities, Hedge Funds, High Frequency Trading, Quantitative finance conference Derman Dupire forecasting volatility, Systematic Strategies, Trading SystemsEquity Long/Short, Fund of Funds, Hedge Fund Strategy, Quantitative Equity

High Frequency Trading Strategies One of the benefits of high frequency trading strategies lies in their ability to produce risk-adjusted rates of return that are unmatched by anything that the hedge fund or CTA community is capable of producing. With such performance comes another attractive feature of HFT firms – their ability to make money (almost) every…

JonathanCopulas, Correlation, Mathematica, Mean Reversion, Pairs Trading, Statistical Arbitrage1 commentCopulas, Nasdaq, Pairs Trading, S&P 500, Statistical Arbitrage

Introduction In a previous post, Copulas in Risk Management, I covered in detail the theory and applications of copulas in the area of risk management, pointing out the potential benefits of the approach and how it could be used to improve estimates of Value-at-Risk by incorporating important empirical features of asset processes, such as asymmetric…

JonathanAsset processes, Equities, Fat Tails, Financial Engineering, Fractional Brownian Motion, Geometric Brownian Motion, Hurst Exponent, Implied Volatility, Interest Rate Models, Jump Diffusion, Long Memory, Mathematica, Mean Reversion, Model Review, Modeling, Options, Ornstein-Uhlenbeck, Quantitative finance conference Derman Dupire forecasting volatility, Stationarity, Stochastic Differential Equations, Stochastic Volatility, Vasiceck, Volatility, Volatility Modeling, Wiener Process1 commentAAPL, Asset Processes, Cox-Ingersoll-Ross, Fat Tails, Geometric Brownian Motion, Heston Model, Jump Diffusions, Long Memory, Mean Reversion, Merton, Modeling, Ornstein-Uhlenbeck, Stochastic Calculus, Vasiceck, Volatility Smiles and Skews, Volatility Surface

Introduction Over the last twenty five years significant advances have been made in the theory of asset processes and there now exist a variety of mathematical models, many of them computationally tractable, that provide a reasonable representation of their defining characteristics. While the Geometric Brownian Motion model remains a staple of stochastic calculus theory, it…

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