Quant Start

  • High Frequency Trading II: Limit Order Book
    In this article series Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart continues the discussion of high-frequency trading via the introduction of the limit order book.As we saw in t…
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  • Best Operating System For Quant Trading?
    One question that I am asked frequently is which operating system to use for quantitative trading research and implementation.The short answer, as of the writing date of this article, is if you want to carry out any serious/mathematical quant tradi…
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  • High Frequency Trading I: Introduction to Market Microstructure
    In this new article series Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart delves into high-frequency trading and introduces the concept of market microstructure.Nowadays, a signifi…
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  • What Alternative Career Paths Exist For Quants?
    Recent graduates, postgraduates and those in early-career positions with a technical background are now faced with a wide choice of exciting and well-compensated career paths in a diverse set of industries. Quantitative finance remains an attrac…
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  • Derivatives Pricing III: Models driven by Lévy processes
    In this article series QuantStart returns to the discussion of pricing derivative securities, a topic which was covered a few years ago on the site through an introduction to stochastic calculus.Imanol Pérez, a PhD researcher in Mathematics at Oxf…
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FiveThirtyEight

  • !Dick Vermeil Retired A Decade Ago. Will You Please Stop Using His Damn 2-Point Conversion Chart?
    Before the Super Bowl in February, we published a fairly comprehensive guide for when to go for 2, simplified into one slightly complicated (but very easy to use once you get the hang of it!) chart. In addition to hopefully demystifying how to judge…
    - 4 hours ago 21 Sep 17, 10:08pm -
  • !Beside The Points For Thursday, Sept. 21, 2017
    Things That Caught My Eye For whom the AL wild-card slot tolls It sure looks like the Minnesota Twins are going to snag the American League’s second wild-card slot in the playoffs, and needless to say it’s going to be difficult to get past the re…
    - 7 hours ago 21 Sep 17, 7:16pm -
  • !How Graham-Cassidy Caught The Democrats Napping
    Everyone should have seen the Graham-Cassidy Obamacare repeal bill coming. But we didn’t. Democrats had spent months defending the Affordable Care Act — and they appeared to have succeeded. So just over a week ago, a group of liberal members of t…
    - 9 hours ago 21 Sep 17, 5:09pm -
  • !London Brings Out The Best In The NFL’s Dregs
    The NFL will take over London for the 18th time — and the 11th consecutive year — this weekend when the Baltimore Ravens take on veteran overseas travelers the Jacksonville Jaguars at Wembley Stadium. The game will be the first of four set in Eng…
    - 11 hours ago 21 Sep 17, 3:52pm -
  • !Significant Digits For Thursday, Sept. 21, 2017
    You’re reading Significant Digits, a daily digest of the numbers tucked inside the news. 2 holdouts With Nicaragua reportedly set to join the Paris climate accords — they held out in 2015 because the nation believed the deal didn’t go far enoug…
    - 15 hours ago 21 Sep 17, 11:47am -

Meb Faber

Mechanical Forex

  • Reinforcement Learning: Using Q-learning with RSI oscillators
    The Relative Strength Index (RSI) is one of the indicators I like the most because of its ability to condense significant amounts of important information into a single measurement. Because of this I wanted to see whether I could use a group of RSI m…
    - 42 days ago 10 Aug 17, 3:31pm -
  • Judging trading systems using Monte Carlo simulations: A second look
    For the past 7 years I have been a strong advocate of using Monte Carlo simulations to evaluate on-going trading system performance after their creation. These simulations allow you to expand on the possible scenarios that can be derived from a syste…
    - 45 days ago 7 Aug 17, 5:40pm -
  • Ten important things I learned in ten years of trading
    Although I started trading more than 10 years ago – almost 12 to be exact – my blog and public efforts in trading started in the fall of 2007, almost ten years ago. I was 21 at the time and I viewed trading in a completely different way although…
    - 62 days ago 22 Jul 17, 1:04pm -
  • Building “the switch” using machine learning
    If you have been around algorithmic trading for a while you have probably heard some version of the “switch” concept. This is one of the holy grails of systematic trading, describing an ability to be able to change the way one acts in the market…
    - 72 days ago 11 Jul 17, 4:11pm -
  • Predicting trading system out-of-sample success using chaos properties of financial time series
    During the past year I have been focused on predicting out-of-sample trading system returns. This is because while creating trading systems with historically good performance is trivial – just a brute-forcing problem at its core – the creation of…
    - 77 days ago 6 Jul 17, 7:52pm -

Alpha Architect

  • Academic Research Insight: Does Gender Matter on Wall Street?
    Title: GENDER AND CONNECTIONS AMONG WALL STREET ANALYSTS Authors: LILY FANG AND STERLING HUANG Publication: THE REVIEW OF FINANCIAL STUDIES, V.30, SEPTEMBER 2017 (version here) What are the research questions? By studying a sample of Wall Street a…
    - 3 days ago 18 Sep 17, 3:56pm -
  • Why We March
    This weekend around 70 of us from the finance community (many from "finance twitter") will be meeting at the National Guard Training Center in the middle of nowhere in Pennsylvania. A picture from the course Folks are flying and driving in from ar…
    - 7 days ago 15 Sep 17, 11:16am -
  • Ben Graham on Passive Investing
    The passive investing revolution is truly upon us. Ever since 1975, when Jack Bogle introduced the first index mutual fund, passive indexing has marched on relentlessly. Jack Bogle is everywhere. He was on TV this morning expounding on the infallible…
    - 7 days ago 14 Sep 17, 3:42pm -
  • What Happens When you Data Mine 2 million Fundamental Quant Strategies
    As we have mentioned before, here, here and here, there is overwhelming evidence that the number of stock anomalies in the universe is much lower than originally thought. Most of the previous research papers attempt to filter out past anomalies in t…
    - 8 days ago 13 Sep 17, 3:45pm -
  • Support Academic Research by Filling Out The Financial Analysts Survey
    Prof. Richard Price, an old friend, co-author, and Alpha Architect advisory board member, is working on some cool new co-authored research that requires audience participation! Dr. Price, alongside Professors Dipankar Ghosh, and  Atul Rai, are condu…
    - 10 days ago 12 Sep 17, 2:30pm -

System Trader Success

  • Randomly Pushing Buttons
    Before my current circumstances, and before I was a photographer (see above), I used to make music for a living. Specifically, weird-ass techno/electronic music that many people found difficult or annoying. One of the ways I would find sonic inspirat…
    - 4 days ago 18 Sep 17, 10:00am -
  • Simulation: Beyond Backtesting
    One problem with traditional backtesting is that it relies on the presupposition that there are repeating predictive patterns in the market. In fact, most trading methodologies rely on this assumption. And yet we know the disclaimer that past perform…
    - 11 days ago 11 Sep 17, 10:00am -
  • Why I Prefer Trailing Stops
    Whether you trade stocks, bonds, Forex, commodities, or other financial instruments, or whether you are short-term, intermediate, or long-term trader I am sure you will agree with the next sentence – “Being in sync with the market is vital for su…
    - 18 days ago 4 Sep 17, 10:00am -
  • The Top Three Pitfalls of Stock And ETF System Development
    During my nearly 25 years of experience in the trading business, I have talked to many traders about system development. Futures trading systems and back-adjusted contacts are fairly well understood. Recent issues with the pits closing and markets be…
    - 25 days ago 28 Aug 17, 10:00am -
  • A Complementary Approach To Trading Technical Indicators
    In the October issue of Futures magazine, author Jean Folger discusses an important aspect in selecting two or more indicators when developing a trading system. While I don’t recommend simply combining indicators to create a trading system, and I d…
    - 32 days ago 21 Aug 17, 10:00am -