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Home Archive by Category "Systematic Strategies"

JonathanCorrelation, Dispersion, Hedge Funds, Quantitative Equity Strategy, Systematic Strategies, Systematic Volatility Strategy, Volatility, Volatility ETF StrategyHedge Fund, Quantitative Equity Strategy, Systematic Volatility Strategy

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JonathanSystematic Strategies, Volatility ETF StrategySystematic Strategies, Systematic Trading, Systematic Volatility Strategy, Volatility Trading

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JonathanGenetic Programming, Machine Learning, Portfolio Construction, Portfolio Theory, Systematic StrategiesAlgorithmic Trading, Equity Portfolios, Genetic Programming, Machine Learning, Portfolio Theory, Quantitative Equity Strategy

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JonathanEquities, Hedge Funds, Portfolio Management, Systematic Strategies, Volatility ETF StrategyEquities, Hedge Fund, Systematic Strategies, Volatility Trading

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JonathanETFs, Machine Learning, Nearest Neighbor, Neural Networks, Out-Of-Hours Trading, Random Forrests, SPY, Support Vector Machines, Systematic Strategies, Trading Systems1 commentGenetic Programming, Machine Learning, Nearest Neighbor, Neural Networks, Random Forest, SPY, Trading Systems

The SPDR S&P 500 ETF (SPY) is one of the widely traded ETF products on the market, with around $200Bn in assets and average turnover of just under 200M shares daily. So the likelihood of being able to develop a money-making trading system using publicly available information might appear to be slim-to-none. So, to give ourselves…

JonathanCareers, Education, Financial Engineering, High Frequency Finance, High Frequency Trading, Programming, Quant/Traders, Quantitative finance conference Derman Dupire forecasting volatility, Systematic Strategies, Wall StreetCareers, HFT, Quantitative Finance, Systematic Strategies

CMU’s MSCF Program Carnegie Mellon’s Steve Shreve is out with an interesting post on careers in quantitative finance, with his commentary on the changing landscape in quantitative research and the implications for financial education. I taught at Carnegie Mellon in the late 1990’s, including its excellent Master’s program in quantitative finance that Steve co-founded, with Sanjay Srivastava….

JonathanAlpha, Forecasting, Natural Gas Futures, Regime Shifts, Signal Processing, Systematic Strategies, Volatility Modeling

Market Noise and Alpha Signals One of the perennial problems in designing trading systems is noise in the data, which can often drown out an alpha signal. This is turn creates difficulties for a trading system that relies on reading the signal, resulting in greater uncertainty about the trading outcome (i.e. greater volatility in system performance). According to…

JonathanAlgorithmic Trading, Bond Futures, Meta-Strategy, Strategy Development, Systematic Strategies, TradeStationBonds, Fixed Income, Futures, Meta-strategy

What is a Meta-Strategy? In my previous post on identifying drivers of strategy performance I mentioned the possibility of developing a meta-strategy. A meta-strategy is a trading system that trades trading systems. The idea is to develop a strategy that will make sensible decisions about when to trade a specific system, in a way that yields superior…

JonathanEconometrics, Machine Learning, Mean Reversion, Momentum, Performance Testing, Strategy Development, Systematic Strategies, Volatility ModelingMean Reversion, Momentum, Strategy Performance, Volatility

Building a winning strategy, like the one in the e-Mini S&P500 futures described here is only half the challenge: it remains for the strategy architect to gain an understanding of the sources of strategy alpha, and risk. This means identifying the factors that drive strategy performance and, ideally, building a model so that their relative…

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