Category Archives: Risk Management

Crash-Protecting Your Portfolio With CrashMetrics

In a post on LinkedIn I referred to the concept of CrashMetrics and how it can be used for portfolio protection.  It’s a simple approach to the management of extreme risk that works rather well.  It can be summarized as … Continue reading

Posted in CAPM, CrashMetrics, Fat Tails, Risk Management | Comments Off

Measuring Toxic Flow for Trading & Risk Management

A common theme of microstructure modeling is that trade flow is often predictive of market direction.  One concept in particular that has gained traction is flow toxicity, i.e. flow where resting orders tend to be filled more quickly than expected, while … Continue reading

Posted in Algorithmic Trading, ARMA, Direction Prediction, Econometrics, Econophysics, Forecasting, High Frequency Finance, Market Microstructure, Order Flow, Risk Management, Time Series Modeling, Toxic Flow | Tagged , , , | Comments Off