Cointegrationk-means clusteringRTrading strategies
Pairs Trading Literature Review
This post summarises the key lessons of the academic literature that has been published on pairs trading. The key themes
Blog
-
-
RTrading strategiesOvernight and Intraday SPX returns
One of the things I’ve noticed from staring at the screen all day for the last few months is that
-
PythonQuant tradingTrading infrastructureUsing Apache Airflow to Extract CoT Data
In today’s post we are going to be extracting CoT (Commitment of Traders) reports from the CFTC website using a
-
RTrading strategies
The VIX Futures Basis
In the eye of the recent storm, with VIX up over 50, many traders were looking to “short the VIX”
-
OptionsQuant tradingR
Efficiently Simulating Geometric Brownian Motion in R
For simulating stock prices, Geometric Brownian Motion (GBM) is the de-facto go-to model. It has some nice properties which are
-
BacktestingQuant tradingZorro
Parameter Optimisation for Systematic Trading
Optimisation tools have a knack for seducing systematic traders. And what’s not to love? Find me the unique set of
-
BacktestingQuant tradingTrading as a businessTrading infrastructureZorro
A Review of Zorro for Systematic Trading
One of the keys to running a successful systematic trading business is a relentless focus on high return-on-investment activities. High
-
Think like a trader
Are SPX Options Expensive?
Options are non-linear financial products that allow you to do useful things that you can’t easily do with other financial
-
BacktestingFactorsQuant tradingRTrading strategies
Revenge of the Stock Pickers
To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off
-
Quant tradingTime series modellingTrading strategies
A Vector Autoregression Trading Model
What is Vector Autoregression The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships
-
Machine learningRTools of the trade
The Graphical Lasso and its Financial Applications
Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published
-
BacktestingQuant tradingRTrading strategiesZorro
Kalman Filter Pairs Trading with Zorro and R
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
