Quant Start

  • Installing TensorFlow on Ubuntu 16.04 with an Nvidia GPU
    Any serious quant trading research with machine learning models necessitates the use of a framework that abstracts away the model implementation from the model specification.This is particularly crucial for deep learning techniques as production-gr…
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  • QSTrader: November 2017 Update
    Last month I presented a detailed roadmap for the redevelopment of QSTrader, our open-source systematic trading simulation engine.Today I want to discuss our progress in the month since that article was published and what still remains to be comple…
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  • QSTrader: A Major Update On Our Progress
    I spoke at the Open Data Science London conference last weekend on the topic of becoming a quant. Part of the talk was aimed at educating practising data scientists on the fact that quantitative finance firms do actually contribute to, and create, ma…
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  • Capital Raising for Early Stage Quant Fund Managers - Part I
    This is the first in a two part series of articles written by Frank Smietana, an expert guest contributor to QuantStart. In this article Frank takes a look at how early-stage quantitative hedge fund managers can go about looking to secure their first…
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  • High Frequency Trading III: Optimal Execution
    In this article series Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart outlines the basics of high-frequency trading. In this article Imanol uses the theory of stochastic optimal cont…
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FiveThirtyEight

  • Russia Is Not This Good — Right?
    Before the 2018 World Cup kicked off last week at Luzhniki Stadium in Moscow, much had been written about why Russia was so bad at soccer. A convincing 5-0 opening match win over Saudi Arabia — Russia’s first win at the tournament since 2002 also…
    - 2 days ago 22 Jun 18, 7:14pm -
  • The Riddler’s Inaugural Rock-Paper-Scissors Tournament
    Welcome to The Riddler. Every week, I offer up problems related to the things we hold dear around here: math, logic and probability. There are two types: Riddler Express for those of you who want something bite-size and Riddler Classic for those of y…
    - 2 days ago 22 Jun 18, 12:00pm -
  • Which Teams Made The Biggest Gambles On NBA Draft Night?
    The NBA draft is a time for optimism, the launching pad for 60 pro careers full of aspirations of championships and star-making moments. In reality, though, only a couple will likely become stars; many more will become key role players, while others…
    - 2 days ago 22 Jun 18, 11:45am -
  • Significant Digits For Friday, June 22, 2018
    You’re reading Significant Digits, a daily digest of the numbers tucked inside the news. Nearly 40 years For the first time in almost four decades, women in Iran watched a men’s soccer match in a stadium. Women were barred from attending men’s…
    - 2 days ago 22 Jun 18, 11:00am -
  • An Updated Look At The Race For The Senate
    Welcome to Pollapalooza, our weekly polling roundup. Poll of the week There’s been a flurry of polls released over the past two weeks in key U.S. Senate races, giving us a fresh picture of the electoral dynamics in that chamber less than five month…
    - 2 days ago 22 Jun 18, 9:53am -

Meb Faber

    Mechanical Forex

    Alpha Architect

    • Trust the Process
      As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: For those not in Philly and not too familiar with the…
      - 3 days ago 21 Jun 18, 3:00pm -
    • A Smarter CAPE Ratio to Better Forecast Expected Stock Returns
      Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of aca…
      - 6 days ago 18 Jun 18, 3:51pm -
    • The 52 Week High and the Q-Factor Investment Model
      In the past, we have examined the following two topics: (1) stock performance & the 52-week high and (2) the investment CAPM. When examining the performance of stocks relative to their respective 52-week high (highlighted by us here), the authors (Ge…
      - 10 days ago 14 Jun 18, 3:00pm -
    • Commodities for the Long Run
      Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Aca…
      - 13 days ago 11 Jun 18, 3:17pm -
    • The Future for Factor Investing May Be Different Than its Backtested Past
      We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time.  Many are common sense and easily observable - like fire creates smoke - while others are harder to see and understand.  With factor i…
      - 16 days ago 8 Jun 18, 3:30pm -

    System Trader Success

    • Dual Momentum – The Famous 5 Portfolio
      This article describes a Dual Momentum study over a multi-asset ETFs basket with a new attempt to improve this well-known investing style. Dual Momentum **strategies rely on two different very simple filters: absolute momentum and relative mome…
      - 6 days ago 18 Jun 18, 10:00am -
    • Improving The Double Seven Strategy
      In this article I want to take a look at a reader’s recommendation on improving the Double Sevenstrategy. If you recall, the Double Seven strategy is a long-only strategy for the the broad U.S. indexes. It was created by Larry Connors and was cove…
      - 13 days ago 11 Jun 18, 10:00am -
    • Market Phase – Going Beyond The Death Cross
      There are many ways to use indicators to help determine when the market is within a bull or bear mode. A common method that works well on trending markets over the long-term has been the so-called death cross and golden cross (Death/Golden Cross) i…
      - 20 days ago 4 Jun 18, 10:00am -
    • Building A Better Trend Filter
      In this article I will create a trend filter (also known as market mode filter or regime filter) that is adaptable to volatility and utilizes some of the basic principles of hysteresis to reduce false signals (whipsaws). As you may know, I often will…
      - 27 days ago 28 May 18, 10:00am -
    • Multiplex For Greater Profit
      Two problems that often result from system optimization are:  (1) a reduction in the number of trades, a system that generates too few trades can both be more difficult to trade and a low number of trades does not inspire confidence; and... (2) th…
      - 34 days ago 21 May 18, 10:00am -