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Quantitative Trading | epchan.blogspot.com Reviews
https://epchan.blogspot.com
Quantitative investment and trading ideas, research, and analysis.
epchan.blogspot.com
Quantitative Trading: September 2014
http://epchan.blogspot.com/2014_09_01_archive.html
Quantitative investment and trading ideas, research, and analysis. Friday, September 05, 2014. Moving Average Crossover = Triangle Filter on 1-Period Returns. That's because it leads us to consider other, more sophisticated filters (such as the least square, Kalman, or wavelet filters) as possible momentum indicators. In collaboration with my former workshop. Participant Alex W. who was inspired by this paper. By Bruder et. al. We present the derivations below. MA(t, n1)=(y(t) y(t-1) . y(t-n1 1) /n1.
Quantitative Trading: April 2015
http://epchan.blogspot.com/2015_04_01_archive.html
Quantitative investment and trading ideas, research, and analysis. Monday, April 13, 2015. Beware of Low Frequency Data. This post is based on the talk of the same title I gave at Quantopian's NYC conference. Which commenced at 3.14.15 9:26:54. Do these numbers remind you of something? The authors are irreproachable for their use of high quality price data provided by CRSP. Where can we find historical official closing price? Will rent us tick data that has a Cross flag for the closing auction trade....
Quantitative Trading: January 2015
http://epchan.blogspot.com/2015_01_01_archive.html
Quantitative investment and trading ideas, research, and analysis. Thursday, January 08, 2015. Trading with Estimize and I/B/E/S earnings estimates data. Is an online-community utilizing 'wisdom of crowds' to offer intelligence about market. It contains a wide range of crowd-sourced estimates from over 4,500 buy-side, sell-side and individual analysts. Studies. The first strategy we tested is a mean reversion strategy. Cumulative P&L of Deltix Mean Reversion Strategy with Estimize. 3 Buy stocks with delt...
Quantitative Trading: Fundamental factors revisited, with a technology update
http://epchan.blogspot.com/2014/02/fundamental-factors-revisited-with.html
Quantitative investment and trading ideas, research, and analysis. Saturday, February 08, 2014. Fundamental factors revisited, with a technology update. Contrary to my tradition of alerting readers to new and fancypants factors. For predicting stock returns (while not necessarily endorsing any of them), I report that Lyle and Wang. Have recently published new research demonstrating the power of two very familiar factors: book-to-market ratio (BM) and return-on-equity (ROE). For registration details. ...
Quantitative Trading: An update on why quantitative funds are losing money recently
http://epchan.blogspot.com/2007/08/update-on-why-quantitative-funds-are.html
Quantitative investment and trading ideas, research, and analysis. Monday, August 13, 2007. An update on why quantitative funds are losing money recently. A story just came through Dow Jones newswire ("How Black Boxes Became Pandora's Boxes" by Spencer Jakab) suggesting that recent losses are due to factor models gone bad. Given my expressed distaste. For such models, that should have been my first guess instead of blaming the "exotic" models! Posted by Ernie Chan. Subscribe to: Post Comments (Atom).
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Merger Arbitrage in Asia: December 2012
http://mergerarbinasia.blogspot.com/2012_12_01_archive.html
Merger Arbitrage in Asia. Discussions on merger arbitrage deals in Asia. What is Merger Arbitrage? Monday, December 24, 2012. Merry Christmas and a Happy New Year. Wishing all the readers Merry Christmas and a great New Year in 2013. It has been a difficult year which saw a period where deals just dried up in Asia Pacific and several deals go bust. However a flurry of deals were just announced before the year end and we hope that most of you have made money this year! Signing off for the year,. SINGAPORE...
Hagan West spline
http://fitidbits.nystrom.cl/tag/hagan-west-spline
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Hagan West spline. A forward monotone convex spline interpolation algorithm developed by Patrick S. Hagan Graeme West. It is designed to be used in financial markets for construction of curves such as forward curves, basis curves, and yield curves. Great example with Hyman filter in spline interpolation. April 22, 2012. I reproduce the graphs below. This is before the Hyman filter is applied:.
Overnight indexed swap (OIS)
http://fitidbits.nystrom.cl/tag/ois
A fixed income quant blog. Skip to primary content. Skip to secondary content. Tag Archives: Overnight indexed swap (OIS). An overnight indexed swap (OIS) is an interest rate swap where the floating rate of the swap is calculated from an overnight index (usually as a geometric average). The overnight index is typically an interest rate considered less risky than a Libor rate. Multi-tenor swap surface and dual curve pricing in the swap market. April 22, 2012. Instruments for each tenor curve i.e. ...Homog...
Merger Arbitrage in Asia: June 2013
http://mergerarbinasia.blogspot.com/2013_06_01_archive.html
Merger Arbitrage in Asia. Discussions on merger arbitrage deals in Asia. What is Merger Arbitrage? Tuesday, June 4, 2013. Sitting on the side lines.requires patience and will power. Things are rather quiet on the M&A front. Market this year has been dominated again by action/speeches by central banks/fed. Japan was particularly interesting with a meteoric rise from Dec till May. Although it came back a in the last week of May. Posted by Ex-Hedge fund. Links to this post. The End for Billabong? Quantitati...
Merger Arbitrage in Asia: The End for Billabong?
http://mergerarbinasia.blogspot.com/2013/06/the-end-for-billabong.html
Merger Arbitrage in Asia. Discussions on merger arbitrage deals in Asia. What is Merger Arbitrage? Tuesday, June 4, 2013. The End for Billabong? Australian surfwear company Billabong International Ltd issued its third profit warning in six months as it revealed that potential takeover suitors had walked away from a deal. Posted by Ex-Hedge fund. Subscribe to: Post Comments (Atom). Scan here to download. Merger Arbitrage Manager Lite. View my complete profile. Like us on Facebook. The End for Billabong?
gazooi: April 2009
http://www.gazooi.com/2009_04_01_archive.html
Thursday, April 30, 2009. Ubuntu as good as Mac or Windows 7? A lot of articles like this one since Ubuntu's new release this week. The fact that Linux is being compared directly as a desktop competitor is a great success for a product that is free. I am using Ubuntu more and more and I am very pleased with the ability to download software that doesn't cost me. Http:/ news.cnet.com/ubuntu-9.04-as-slick-as-windows-7-mac-os-x/. Sunday, April 26, 2009. LTCM 10 Years Later from an Insider. Chans chapter on b...
Fuzzy Chaos: News Bite of elliot spitzer and Ariana
http://fuzzychaos.blogspot.com/2009/05/news-bite-of-elliot-spitzer-and-ariana.html
Thursday, May 7, 2009. News Bite of elliot spitzer and Ariana. Posted by ashutosh kulkarni. Subscribe to: Post Comments (Atom). Subscribe in a reader. Enter your email address:. Joe Biden : 100 Days 100 Projects. Hot in trade and plate Food. Deal made on the 13th hole.obsession of golf. News Bite of elliot spitzer and Ariana. What direction is US heading? Buffet : Newspapers are Done! MechWarrior 5: Mercenaries' revives a classic series in 2018. Humble Student of the Markets. Afraid to Trade.com Blog.
The Silent Observer: What seems like work to other people that doesn't seem like work to you?
http://theunsweptcorner.blogspot.com/2015/02/what-seems-like-work-to-other-people.html
A blog about anything. Saturday, January 31, 2015. What seems like work to other people that doesn't seem like work to you? In a recent post, Paul Graham suggests that we ask ourselves this question, and that our answers to this question, are things we are well suited for. I totally agree. Which brings me back to Paul Graham's question. It is a great guide. Subscribe to: Post Comments (Atom). What seems like work to other people that doesnt . Basic R revision - Part 4. Basic R revision - Part 3.
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Investment Strategies: Insolvency stupid...
http://ar-investmentstrategies.blogspot.com/2012/03/insolvency-stupid.html
Compilation of various websites,blogs and investment research ideas reflecting my current market viewpoint. (Please note I do NOT promote my website but rather use this as a way to keep notes on what I am reading and following for my investments.). Monday, March 5, 2012. March 6, 2012 at 12:06 PM. I can forsee a European banking crisis. insolvency practitioners. Could be in for a busy time. Subscribe to: Post Comments (Atom). CNBC Top News and Analysis. It could be a tough week for Janet Yellen. Well, it...
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Eden Prairie Chamber Gala 2010 - Bahama Breezes - Home
Eden Prairie Chamber Gala 2010 - Bahama Breezes. Silent and Live Auctions. THIS EVENT IS SOLD OUT! If you already have tickets to this event, you will be receiving details in the mail and via e-mail no later than Monday, November 8th. If you have questions about start time, attire, or anything else we have it all listed on this website for you! SILENT AUCTION DONATIONS NEEDED! To donate, e-mail. Or view the "Auction Donation" tab. Schedule of Events for Saturday, November 13th, 2010:. Ldquo;Black tie adm...
Estate Planners' Council of Hamilton –
Estate Planners' Council of Hamilton. Links & Resources. The Estate Planning Council of Hamilton (EPCH) is a not-for-profit organization of accredited professionals from interrelated disciplines such as legal, tax, investing, insurance, trust and charitable … Read More. April 10th – Advocacy Centre for the Elderly. Date: April 10th 2018. May 8th – Tax Update – Tax issues you need to know about in 2018 – Michael Morgan. Date: May 8th 2018. Powered By Market Mechanics.
Quantitative Trading
Quantitative investment and trading ideas, research, and analysis. Friday, February 02, 2018. FX Order Flow as a Predictor. Order flow is signed trade size, and it has long been known to be predictive of future price changes. (See Lyons, 2001. Or Chan, 2017. And I have made use of that to test a simple trading strategy using order flow on EURUSD. It is not surprising that the highest volume occurs between 16:00-17:00 London time, as 16:00 is when the benchmark rate (the " fix. Finally, one more sanity ch...
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