A “Highly Improbable” Event?
A historical analysis of the natural gas spread merchandise that bought downwards Amaranth Nick Maouis, the founder of …
How To Advertise
Thank yous for your involvement inwards advertising on . We lead maintain to a greater extent than or less 5000 uniqu…
How Much Leverage Should You Lot Use?
Maximizing increase without risking bankruptcy Many hedge fund disasters come upwardly non from making the incorrect be…
Maximizing Compounded Charge Per Unit Of Measurement Of Return
A elementary formula that few traders utilize Here is a fiddling puzzle that may stymie many a professional person trad…
An Update On The Issue Energy Stocks Vs Futures Arbitrage Trade
I argued earlier inwards the outset of Oct (" An arbitrage merchandise betwixt issue energy stocks as well as futu…
Gold Vs. Gold-Miners: Roughly Other Arbitrage Opportunity?
Recently in that place is mounting involvement inwards buying golden (for example, encounter this before why I believe…
Cointegration Is Non The Same Every Minute Correlation
A reader asked me latterly why I believe that liberate energy stock prices (e.g. XLE) are correlated amongst unsmooth c…
Are Political Futures Markets Actually Predictive?
Today I volition accept a brief pause from quantitative trading inward the fiscal markets. Instead, I volition accept a…
A Commodities Fund Manager's Comments On Aureate Vs Gold-Miners Arbitrage
John Netto, a main inwards a commodities fund that focuses heavily on gold, wrote me the next concerning my article on…
An Updated Analysis Of The Arbitrage Betwixt Golden Together With Gold-Miners
In my article nearly the arbitrage chance betwixt golden together with gold-miners, I cautioned that nosotros should d…
Gld-Gdx Spread Reverted To 0 This Morning
Just a quick banknote on the GLD-GDX spread that I accept been talking about . This morn (Nov 17) the negative spread c…
Correction: Maximizing Compounded Charge Per Unit Of Measurement Of Return
A few readers pointed out a typo in addition to an arithmetics mistake inwards my article " Maximizing Compounded …
Email Subscription To My Weblog Straight Off Available
Instead of checking this weblog constantly for novel postings, you lot tin sack directly sign upward to have an electro…
Extended Analysis Of Loose Energy Futures Together With Stocks Arbitrage
A reader of my article “ An arbitrage merchandise betwixt liberate energy stocks in addition to futures ” suggested tha…
Cointegration Of Oih Amongst Location Crude Oil Price
Both my friend Yaser Anwar over at the Jim urged me to exam the crude services ETF OIH instead of XLE for cointegratio…
Trading A Platinum-Gold Seasonal Spread
Quantitative traders tin sometimes lose sight of the fact that many profitable trading strategies are extremely simple,…
Does Canada Belong To The Emerging Markets?
Many of us Canadians similar to mean value of our economic scheme every bit a fellow member of the advanced, post-indus…
Artificial News Together With Stock Picking
There was an article inward the New York Times a brusk piece agone nearly a novel hedge fund launched past times Mr. R…
Market-Cap Together With Growth-Value Arbitrage
Predicting whether small-cap or increment stocks volition outperform large-cap or value stocks inwards the side yestery…
Dna, Cryptology, Speech Communication Recognition, Together With Trading
There is an interesting New York Times article on a mathematician too cryptologist who used to operate for the wildly …
Another Limitation Of Artificial Tidings In Addition To Information Mining
Sometime agone I espoused my views that AI in addition to information mining techniques may non endure suited for pred…
Do Element Models Live On Inwards The Curt Term?
Besides pair-trading, “factor model” is the close pop workhorse of the statistical arbitrageur. In a previous article ,…
Universal Portfolios
Let me depict a portfolio optimization scheme that, over the long run, is supposedly guaranteed to outperform the best …
Factor Models: The Ground Continues...
A reader JR only posted approximately real thoughtful comments on my article on element models. You tin rank the axe re…
Sentiment Equally Contrarian Indicator
More insights from article on Market-cap as well as growth-value arbitrage .)
What Is Your Destination Loss Strategy?
A reader late asked me whether setting a halt loss for a trading strategy is a practiced idea. I am a big fan of settin…
Stop-Loss Strategy: Re-Post
Due to a technical glitch, many subscribers to this weblog were non notified of my latest article on stop-loss strategy…
Cointegration Betwixt Fossil Oil As Well As Bond Yield? Not!
An explained before, the fact that these two numbers are anti-correlated produce non forbid them from existence cointe…
Index Tracking, Arbitrage, Together With Cointegration
Mr. Lange, a reader of mine from Germany, alerted me to the next subscribers only area. (Mr. Lange has graciously allo…
In Praise Of Day-Trading
A recent article past times Mark Hulbert inwards the NYTimes talked nearly the Value Line's rankings, together w…
Use The Correct Discount Charge Per Unit Of Measurement To Avoid Jail Time
Here is a fascinating story nigh the one-time treasurer of Essex County, New Jersey, who was sentenced to vii in addit…
Another Article On Political Futures Markets
A NYTimes article yesterday talked almost the political futures marketplace order intrade .com inward the context of …
Do Gilt In Addition To Fossil Oil Cointegrate?
I produce got written extensively hither nearly cointegration betwixt gold-miners in addition to aureate ETF's (GDX…
Index Arbitrage Amongst Xle
In looking for pairs of fiscal instruments to duad trade, nosotros produce non accept to restrict ourselves to pairs th…
Platinum-Gold Spread Revisited
Now that Chinese New Year's Day is over, it is fourth dimension to revisit the Platinum-Gold spread that I talked n…
Maximizing Chemical Compound Charge Per Unit Of Measurement Of Provide Vs Maximizing Sharpe Ratio
A reader, Mr. A. Goldstein, made a real useful observation close my article " Maximizing Compound Rate of Return &…
Is Increasing Beta Or Increasing Leverage A Amend Fashion To Growth Returns?
In my previous post, I reported an sharp observation from my reader Mr. Goldstein that maximizing chemical compound ch…
Seven Factors That Capture Virtually Of Hedge Funds' Returns
The Economist magazine simply published an article on this topic previously.) The 7 factors are (are you lot ready?): …
Hedging Isn't E'er Better
Many of the strategies I wrote nigh inward this spider web log are market-neutral strategies: long i musical instrument…