RTrading strategies
Overnight 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
tidyverse
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RTrading strategiesThe VIX Futures Basis
In the eye of the recent storm, with VIX up over 50, many traders were looking to “short the VIX”
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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
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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