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Quantitative TradingQuantitative investment and trading ideas, research, and analysis. |
Seasonal Trades In Stocks
Posted on Friday Nov 23, 2007 06:29AM | Link | Post Comment
Readers of this blog have seen my discussions of various seasonal trades in commodities futures (e.g. see this article). Recently, Mark Hulbert of the NYTimes drew our attention to a seasonal trade in stocks. The strategy is very simple: each month, ...
Economist Article On Quant Funds
Posted on Saturday Oct 27, 2007 08:40AM | Link | Post Comment
The media seems to have an endless fascination with quant funds. Here is the latest article from the Economist magazine, summarizing the postmortem published by several researchers. (Hat tip, once again, to reader Mr. J. Rigg.)The key points are as f...
Emerging Markets Stocks Vs. Natural Resource Stocks
Posted on Sunday Oct 07, 2007 03:23PM | Link | Post Comment
Emerging market stocks have been reaching new highs almost everyday (see this article in the Economist magazine), and the natural resource sector has been on a tear as well. Given the giddy valuations of both sectors, which one is a better relative b...
How A Mean-reversion Strategy Performed In August
Posted on Saturday Oct 06, 2007 08:38AM | Link | Post Comment
Prof. Andrew Lo and Mr. Amir Khandani at MIT recently wrote a paper on 'What Happened To The Quants In August 2007?' (Hat tip to my reader Mr. J. Rigg for the article). Most of their conclusions confirm what many observers already suspected: that the...
So How Much Did Quantitative Strategies Actually Lose Last Quarter?
Posted on Thursday Sep 20, 2007 06:45AM | Link | Post Comment
The numbers have started to come in: Morgan Stanley lost $480MM last quarter due to quantitative trading -- about 10% of operating profits....
- Seasonal Trades In Stocks
- Economist Article On Quant Funds
- Emerging Markets Stocks Vs. Natural Resource Stocks
- How A Mean-reversion Strategy Performed In August
- So How Much Did Quantitative Strategies Actually Lose Last Quarter?
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Examples
Morpheus Trading - Mon Jul 21, 2008 08:33AM
NOTE: Please click on the charts below to enlarge them if [read more]
NOTE: Please click on the charts below to enlarge them if [read more]
Morpheus Trading - Mon Jul 21, 2008 08:31AM
NOTE: Please click on the charts below to enlarge them i [read more]
NOTE: Please click on the charts below to enlarge them i [read more]
Millionaire Now! by Larry Nusbaum - Tue Jul 22, 2008 09:23AM
Hedge funds have made billions this year shorting the banks, [read more]
Hedge funds have made billions this year shorting the banks, [read more]