Quant Start

  • Rough Path Theory and Signatures Applied To Quantitative Finance - Part 2
    This is the second in a new advanced series of posts written by Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and a new expert guest contributor to QuantStart.In this post Imanol continues the theoretical discussion of Rough…
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  • Setting up an Algorithmic Trading Business
    This is the second in a series of posts written by Frank Smietana, an expert guest contributor to QuantStart. In this detailed post Frank takes a look at the different ways in which an algorithmic trading business can be established—and why you mig…
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  • Rough Path Theory and Signatures Applied To Quantitative Finance - Part 1
    To date QuantStart has generally written on topics that are applicable to the beginner or intermediate quant practitioner. However we have recently begun to receive requests from academics and advanced practitioners asking for more content on researc…
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  • What are the Career Paths in Systematic Trading?
    This is the first in an exciting series of posts written by Frank Smietana, a new expert guest contributor to QuantStart. In this insightful new article Frank looks at the different career roles that are available in the systematic trading space.- Mi…
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  • What is Deep Learning?
    Almost a year ago QuantStart discussed deep learning and introduced the Theano library via a logistic regression example. Given the recent results of the QuantStart 2017 Content Survey it was decided that an up to date beginner-friendly article was n…
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FiveThirtyEight

  • !The Cavs Are Built For LeBron
    Talent tends to win out in the NBA. But talent also needs to fit a role. Take Draymond Green, for instance. How many players in the league can fulfill the defensive and playmaking role that Green does from night to night? LeBron James and … Chris P…
    - 8 hours ago 25 May 17, 9:13pm -
  • !Pitchers Are Slowing Down To Speed Up
    Welcome to Full Count, our weekly baseball column. This week, Rob Arthur is filling in for Full Count’s regular author, Neil Paine, who returns next week. Have anything you want them to write about? Tweet to Rob at @No_Little_Plans, or to Neil at @…
    - 12 hours ago 25 May 17, 4:58pm -
  • !Significant Digits For Thursday, May 25, 2017
    You’re reading Significant Digits, a daily digest of the numbers tucked inside the news. 1 misdemeanor Greg Gianforte allegedly “body slammed” a reporter asking about the Congressional Budget Office’s analysis of the Republican health bill. G…
    - 17 hours ago 25 May 17, 12:09pm -
  • !Montana’s Special Election Could Give The GOP Another Reason To Fret
    The special election to fill Montana’s U.S. House seat took a weird turn on Wednesday night when the Republican candidate, Greg Gianforte, reportedly body-slammed Guardian reporter Ben Jacobs. An audio tape of the incident seemed to indicate that G…
    - 20 hours ago 25 May 17, 9:01am -
  • Some With Pre-Existing Conditions Could Lose Coverage Under The GOP Health Bill
    The Congressional Budget Office’s long-awaited report on the American Health Care Act, released Wednesday, is on one level kind of irrelevant. The GOP-controlled Senate has already said it will write its own bill, dismissing the plan House Republic…
    - 1 day ago 24 May 17, 10:56pm -

Meb Faber

  • No? or Yes, Yes?
    South Park is an award-winning, animated TV show on Comedy Central. In one particular episode, we’re introduced to Ms. Claridge, an invalid who communicates only through a series of computerized beeps. One beep means “yes” and two beeps meanin…
    - 2 days ago 23 May 17, 7:15pm -
  • Episode #54: Elizabeth Dunn, “How Can I Use My Money Most Effectively in Order to Promote My Happiness?”
    Episode #54: “How Can I Use My Money Most Effectively in Order to Promote My Happiness?”     Guest: Dr. Elizabeth Dunn. Elizabeth is a professor in the Department of Psychology at the University of British Columbia. She conducts experimental re…
    - 3 days ago 23 May 17, 5:01pm -
  • The #1 Investing Book
    I get asked all the time by friends and investors variants of the same question: “If you could give someone just one comprehensive book to learn about investing, what would it be”? So we chatted about it on the podcast the other day and I still…
    - 3 days ago 23 May 17, 12:51am -
  • Tweets of the Week
    [View the story “Tweets of the Week” on Storify]The post Tweets of the Week appeared first on Meb Faber Research - Stock Market and Investing Blog.
    - 4 days ago 21 May 17, 11:02pm -
  • The Best Investing Book
    I get asked all the time by friends and investors the same question.  And I don’t have a good, single answer. “If you could give a recent college grad just one comprehensive book to learn about investing, what would it be”? Help me out, would…
    - 6 days ago 19 May 17, 6:48pm -

Mechanical Forex

  • Issues we have faced with our Machine Learning system repository
    Our methodology to find supervised machine learning strategies in an automated manner has traveled a rough road from the start. Our first attempt – which started in 2015 – faced significant software based problems that forced us to eliminate all…
    - 30 days ago 26 Apr 17, 3:39pm -
  • Finding out which simple system selections have worked in the past using a GPU
    Right now at Asirikuy we have a price-action system repository with more than 3 thousand active trading systems. However our repository is constantly changing since new strategies are mined every week and strategies that behave poorly are removed usi…
    - 59 days ago 28 Mar 17, 1:05pm -
  • A second look at our system execution after fixing our simulation costs
    About a month ago I wrote a post about our system execution in Asirikuy after more than a million trades and how this execution compared with the expected entries and exits from back-testing. From this analysis it was evident that our execution was o…
    - 64 days ago 22 Mar 17, 10:29pm -
  • Visualizing IS/OS relationships in our price action based repository
    A few times in the past I have talked about in-sample/out-of-sample (IS/OS) relationships in our price action based repository and how the relationships up until now have been relatively weak, making it very difficult to make sound prediction of OS s…
    - 66 days ago 21 Mar 17, 12:53pm -
  • A script to retrieve account results from Oanda using the RESTv20 API
    Last year I wrote a post about how to retrieve account results using the Oanda RESTv1 API. Just by introducing your account ID and token within the script you could obtain a summary with your account’s current statistics. However with the advent of…
    - 67 days ago 20 Mar 17, 2:03pm -

Alpha Architect

  • !Trust, but Verify: The Potential Problems of Blind Investing
    Nobody can predict the future, but there is a chance the blind purchase of broad-index portfolios will come to an abrupt and […]The post Trust, but Verify: The Potential Problems of Blind Investing appeared first on Alpha Architect.
    - 11 hours ago 25 May 17, 6:20pm -
  • The Value Premium: Risk or Mispricing?
    One of the great debates in finance is whether the source of the value premium is risk-based or a behavioral […]The post The Value Premium: Risk or Mispricing? appeared first on Alpha Architect.
    - 2 days ago 24 May 17, 3:10pm -
  • Academic Research Insight: The Social Media Factor
    Editor’s Note: The Academic Research Insight will be a weekly short-form research summary on research that is directly related to […]The post Academic Research Insight: The Social Media Factor appeared first on Alpha Architect.
    - 3 days ago 23 May 17, 3:30pm -
  • The CFA Institute is Coming to Philly — Give us a Shout!
    As many of you probably already know (it seems a large portion of our audience either has a PhD or […]The post The CFA Institute is Coming to Philly — Give us a Shout! appeared first on Alpha Architect.
    - 7 days ago 19 May 17, 12:52pm -
  • A Direct Test of the Dividend Catering Hypothesis
    Why do CEOs decide to pay dividends? That is an interesting question, and one that academics have been researching for […]The post A Direct Test of the Dividend Catering Hypothesis appeared first on Alpha Architect.
    - 8 days ago 18 May 17, 3:23pm -

System Trader Success

  • Open Up!
    This is kind of a weird one. I was mulling over the question of what happens when the market opens up, i.e. above its previous close. Is the day likely to be an up day? A down day? I got out of my data and started poking around. I looked at all “op…
    - 4 days ago 22 May 17, 10:00am -
  • Back to Basics Part 3: Backtesting in Algorithmic Trading
    Nearly all research related to algorithmic trading is empirical in nature. That is, it is based on observations and experience. This is in contrast with theoretical research which is based on assumptions, logic, and a mathematical framework. Often, w…
    - 11 days ago 15 May 17, 10:00am -
  • Finding The Optimal Period
    Today’s topic is on finding the optimal periodicity for the RSI indicator and the techniques should apply to other sorts of indicators as well. The good news is that it won’t require any rocket science. John Ehlers has written a lot about this to…
    - 18 days ago 8 May 17, 10:00am -
  • System Performance and Confidence Interval
    When you review the performance of a trading model, how do you know it’s worth trading for? How do you know it’s the right system for you? How confident are you that it will continue to profit in the future? When it comes to evaluating your tradi…
    - 25 days ago 1 May 17, 10:00am -
  • Back to Basics Part 2 – How to Succeed at Algorithmic Trading
    –by Kris Longmore from blog Robot Wealth There is a lot of information about algorithmic and quantitative trading in the public domain today. The type of person who is attracted to the field naturally wants to synthesize as much of this informati…
    - 32 days ago 24 Apr 17, 10:00am -