QUANTITATIVE RESEARCH AND TRADING
The latest theories, models and investment strategies in quantitative research and trading
This note summarizes some of the key research in the field of market microstructure and considers some of the models proposed by the researchers. Many of the ideas presented here have become widely adopted by high frequency trading firms and incorporated into their trading systems.
The presentation in this post covers a number of important topics in forecasting, including:
Also included are a number of detailed worked examples, including:
Forecasting 2011 - Time Series
The Long-Short Stock Trader strategy uses a quantitative model to introduce market orders, both entry and exits. The model looks for divergencies between stock price and its current volatility, closing the position when the Price-volatility gap is closed. The strategy is designed to obtain a better return on risk than S&P500 index and the risk management is focused on obtaining a lower drawdown and volatility than index.
The model trades only Large Cap stocks, with high liquidity and without scalability problems. Thanks to the high liquidity, market orders are filled without market impact and at the best market prices.
For more information and back-test results go here.
The Long-Short Trader is the first strategy launched on the Systematic Algotrading Platform under our new Strategy Manager Program.
I have been discussing with some potential academic partners the concept for a new graduate program in High Frequency Finance. The idea is to take the concept of the Computational Finance program developed in the 1990s and update it to meet the needs of students in the 2010s.
The program will offer a thorough grounding in the modeling concepts, trading strategies and risk management procedures currently in use by leading investment banks, proprietary trading firms and hedge funds in US and international financial markets. Students will also learn the necessary programming and systems design skills to enable them to make an effective contribution as quantitative analysts, traders, risk managers and developers.
I would be interested in feedback and suggestions as to the proposed content of the program.