A new conference called Psi-Q will be held in London this June, featuring luminaries in the academic quantitative finance world, as well as risk and fund managers from various banks and hedge funds. Example topics: How did shared beliefs, practices, ways of calculating, and technical systems impa ... Read more

For my readers in Asia, I will be conducting a pairs trading workshop in Hong Kong on March 10-11. This workshop is organized by the Technical Analyst magazine and is similar to the one I gave in London last year. However, I have added a few useful insights based on audience feedback. As always, ... Read more

Most trading systems have a number of parameters embedded, parameters such as the lookback period, the entry and exit thresholds, and so on. Readers of my blog (for e.g., here and here ) and my book would know my opinion on parameter optimization: I am no big fan of it. This is because I belie ... Read more

Some readers have asked whether there is an Excel version of the ADF test for cointegration (mentioned in articles here or here .) You can download one such package here (Hat tip: Bruce H.). And as always, you can download the Matlab version from spatial-econometrics.com ... Read the full post ... Read more

Ron Schoenberg and Al Corwin recently did some interesting research on the trading technique of "averaging-in". For e.g.:  Let's say you have $4 to invest. If a future's price recently drops to $2, though you expect it to eventually revert to $3. Should you A) buy 1 contract at $2, and wait ... Read more

A guest blog by Paul Farrington One of the most important factors in statistical arbitrage pairs trading is the selection of the paired instruments.  We can use basic heuristics to guide us, such as grouping stocks by industry in the anticipation that stocks with similar fundamental ... Read more

   1.  Conference on 'Computational Topics in Finance', February 19/20, 2010, National University of Singapore. The topics will include using R/Rmetrics in finance, but the conference is by no means confined to R. See http://www.rmetrics.org/.    2.  Consulting positi ... Read more

It is worrisome when not one but two eminent economists denounced financial speculation as "harmful human activities" in the short space of 2 weeks. (See Paul Krugman's column here and Robert Frank's here .) It is more worrisome when their proposed cure to this evil is to apply a financial trans ... Read more

When I was growing up in the trading world, high Sharpe ratio was the holy grail. People kept forgetting the possibility of "black swan" events, only recently popularized by Nassim Taleb , which can wipe out years of steady gains in one disastrous stroke. (For a fascinating interview of Taleb by t ... Read more

I have learned some years ago that ETF's are strange and wonderful creatures. Simple, long-only mean-reverting strategies that work very well on ETF's, won't work on their component stocks. (Check out a nice collection of these strategies in Larry Connors' book " High Probability ETF Trading ". ... Read more