Reinforcement learning and its potential for trading systems

In general, machine learning is a form of artificial intelligence that allows computers to improve the performance of a task through data, without being...

The low-risk effect: evidence and reason

The low-risk effect refers to the empirical finding that within an asset classes higher-beta securities fail to outperform lower-beta securities. As a result, “betting...

How to build a quantamental system for investment management

A quantamental system combines customized high-quality databases and statistical programming outlines in order to systematically investigate relations between market returns and plausible predictors. The...

Analyzing global fixed income markets with tensors

Roughly speaking, a tensor is an array (generalization of a matrix) of numbers that transform according to certain rules when the array’s coordinates change....

The power of R for trading (part 2)

The R environment makes statistical estimation and learning accessible to portfolio management beyond the traditional quant space. Overcoming technicalities and jargon, managers can operate...

The power of R for trading (part 1)

R is an object-oriented programming language and work environment for statistical analysis. It is not just for programmers, but for everyone conducting data analysis,...

Retail investor beliefs

Survey evidence suggests that retail investors adjust positions rather sluggishly to changing beliefs and the beliefs themselves contradict classic rationality. Sluggishness arises from two...

Commodity trends as predictors of bond returns

Simple commodity price changes may reflect either supply or demand shocks. However, filtered commodity price trends are plausibly more aligned with demand, economic growth...

The relation between value and momentum strategies

Simple value and momentum strategies often end up with opposite market positions. One strategy succeeds when the other fails. There are two plausible reasons...

The mighty “long-long” trade

One of the most successful investment strategies since the turn of the century has been the risk-parity “long-long” of combined equity, credit and duration...

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Reinforcement learning and its potential for trading systems

In general, machine learning is a form of artificial intelligence that allows computers to improve the performance of a task through data, without being...

The low-risk effect: evidence and reason

The low-risk effect refers to the empirical finding that within an asset classes higher-beta securities fail to outperform lower-beta securities. As a result, “betting...

How to build a quantamental system for investment management

A quantamental system combines customized high-quality databases and statistical programming outlines in order to systematically investigate relations between market returns and plausible predictors. The...

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