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
To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off
The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships and feedback loops. If
Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published
In the last two posts, we implemented a Kalman filter in R for calculating a dynamic hedge ratio, and presented
In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a
This Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.
This is the third in a multi-part series in which we explore and compare various deep learning tools and techniques for
This is the second in a multi-part series in which we explore and compare various deep learning tools and techniques for
This article is adapted from one of the units of Advanced Algorithmic Trading. If you like what you see, check
Earlier this year, I attended the Google Next conference in San Francisco and gained some first-hand perspective into what’s possible
Recently, Yahoo Finance – a popular source of free end-of-day price data – made some changes to their server which
Recently, I wrote about using mean-reversion time series models to analyze financial data and build trading strategies based on their