Quant tradingTrading strategies
A General Approach for Exploiting Statistical Arbitrage Alphas
Last week, I wrote a short article about statistical arbitrage trading in the real world. Statistical arbitrage is a well-understood
Quant trading
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Think like a traderTrading strategiesA Short Take on Real-World Pairs Trading
In textbooks, one often sees pairs trading algorithms start by regressing prices of Asset A on Asset B to calculate
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Trading strategiesThe Art and Science of Trading Carry
Let’s talk about carry trades. First, what exactly is a carry trade? A carry trade is a trade that pays
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Quant tradingRTrading strategies
Exponentially weighted covariance in an Equal Risk Contribution portfolio optimisation problem
The Equal Risk Contribution (ERC) portfolio seeks to maximally diversify portfolio risk by equalising the risk contribution of each component.
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Quant tradingRTime series modellingUsing Exponentially Weighted Moving Averages to navigate trade-offs in systematic trading
A big part of the job of the indie trader is data analysis. We’re always looking in the past data
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DataOptionsQuant tradingR
Beyond Stocks: The Surprising Volatility Returns of Oil and Gold
I’ve previously discussed the Volatility Risk Premium (VRP) and how it differs from the Equity Risk Premium (ERP). Probably the
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OptionsQuant tradingThink like a traderTrading strategies
Diving Deep: My Personal Approach to Equity and Volatility Risk Premia
Lately, I’ve been thinking a lot about the Volatility Risk Premium (VRP). The VRP makes much more sense (to me,
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FactorsQuant tradingThink like a trader
Quant Signal Trade-Offs in the Real World
I want to discuss a couple of simple trade-off considerations around quant trading signals that may not be obvious. Here’s
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Quant tradingThink like a traderTrading as a businessTrading strategies
Case Study: Lessons Learned from 9 Crypto Trading
In 2021, James, I, and a small team decided to set up a crypto trading venture. We faced several problems,
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Quant tradingRThink like a traderTools of the tradeData Analysis and Edge Extraction for Traders
Towards the end of last year, we ran a couple of free Zoom webinars on: Here are the recordings: Basics
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Quant tradingTrading as a businessTrading strategies
How to get serious about making money trading
In Australia, if you’re serious about getting the job done effectively and efficiently, you might say: “I’m not here to
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Quant tradingSteal ideas, not implementations
Imagine you’re a relatively small, independent trader trying to turn trading from a hobby into a serious business. If that’s