Quantitative Finance
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Quantitative Finance
News, Slides and various discussions about quant finance
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System from Trend Following Factors

System from Trend Following Factors | Quantitative Finance | Scoop.it
(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers) As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for...
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Cross Sectional Correlation

Cross Sectional Correlation | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
Diversification is hard to find nowadays because financial markets are becoming increasingly correlated.
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Volatility Position Sizing to improve Risk Adjusted Performance

Volatility Position Sizing to improve Risk Adjusted Performance | Quantitative Finance | Scoop.it
Today I want to show how to use Volatility Position Sizing to improve strategy’s Risk Adjusted Performance.
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Intraday Backtest

Intraday Backtest | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
I came across a free source of Intraday Forex data while reading Forex Trading with R : Part 1 post.
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A thought on Linear Models on Stocks

A thought on Linear Models on Stocks | Quantitative Finance | Scoop.it
(This article was first published on DataPunks.com » R, and kindly contributed to R-bloggers)

Timely Portfolio has a nice post about linear models sytems for stock.
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Borrowing Ideas from Timely Portfolio

Borrowing Ideas from Timely Portfolio | Quantitative Finance | Scoop.it
I want to highlight two great Visualization techniques I discovered by reading the fine blog from Timely Portfolio.
First method is based on the lm System on Nikkei with New Chart.
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Calling Systematic Investor Toolbox from Excel using RExcel & VBA

Calling Systematic Investor Toolbox from Excel using RExcel & VBA | Quantitative Finance | Scoop.it
RExcel is a great tool to connect R and Microsoft Excel. With a press of a button, I can easily execute my R scripts and present output interactively in Excel. This easy integration allows non-R users to explore the power R language.
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Dividends and Buybacks

Dividends and Buybacks | Quantitative Finance | Scoop.it
Jeremy Schwartz, the director or research over at WisdomTree, is one of my favorite writers to follow (you can find his archived commentary under Institutional Reads > WisdomTree in the blogroll or here.) A couple fund reads: The Importance Of...
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Volume is Surprisingly Constructive

Volume is Surprisingly Constructive | Quantitative Finance | Scoop.it
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Interesting note from Merril Lynch’s Technical Analyst Mary Ann Bartels about NYSE volume. Ms.
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Beta is not volatility

Beta is not volatility | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
The missing link between beta and volatility is correlation.
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Reducing risk dynamically need not negatively impact long-term fund performance, says senior portfolio manager

Reducing risk dynamically need not negatively impact long-term fund performance, says senior portfolio manager | Quantitative Finance | Scoop.it
Hedge
Managing risk more dynamically is becoming an increasingly vital function of the investment management process. Those that can demonstrate their effectiveness at reacting quickly to volatility are held in high regard.
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Portfolio Optimization: Specify constraints with GNU MathProg language

Portfolio Optimization: Specify constraints with GNU MathProg language | Quantitative Finance | Scoop.it
I have previously described a few examples of portfolio construction: Introduction to Asset Allocation Maximum Loss and Mean-Absolute Deviation risk measures 130/30 Portfolio Construction Minimum Investment and Number of Assets Portfolio...
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Correlations, dimension, and risk measure

Correlations, dimension, and risk measure | Quantitative Finance | Scoop.it
(This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers) Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison...
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Volatility Position Sizing to improve Risk Adjusted Performance

Volatility Position Sizing to improve Risk Adjusted Performance | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)
Today I want to show how to use Volatility Position Sizing to improve strategy’s Risk Adjusted Performance.
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1 | Quantitative Finance | Scoop.it
(This article was first published on rbresearch » R, and kindly contributed to R-bloggers) Analyzing transactions in quantstrat This post will be part 1 of a follow up to the original post, Simple Moving Average Strategy with a Volatility...
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Efficient Frontier of Funds and Allocation Systems

Efficient Frontier of Funds and Allocation Systems | Quantitative Finance | Scoop.it
I did a very basic experiment in Efficient Frontier of Buy-Hold and Tactical System where I determined the efficient frontier of the S&P 500 with itself transformed by a Mebane Faber 10-month moving average tactical allocation.
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Instrumental Variables without Traditional Instruments

Instrumental Variables without Traditional Instruments | Quantitative Finance | Scoop.it
(This article was first published on DiffusePrioR » R, and kindly contributed to R-bloggers)
Typically, regression models in empirical economic research suffer from at least one form of endogeneity bias.
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Free Historical Intra-Daily Data

The last decade we have seen a significant increase in the demand for high frequency data. This is explained for a large part by an increased attention of the academic world in algoritmic trading.
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Betas of the low vol cohorts

Betas of the low vol cohorts | Quantitative Finance | Scoop.it
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers)
How did the constraints affect portfolio betas, and how did the betas change over time?
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Transaction Cost and Execution Price functionality in the Backtesting library in the Systematic Investor Toolbox

Transaction Cost and Execution Price functionality in the Backtesting library in the Systematic Investor Toolbox | Quantitative Finance | Scoop.it
I want to introduce the Transaction Cost and Execution Price functionality in the Backtesting library in the Systematic Investor Toolbox.
The Transaction Cost is implemented by a commission parameter in the bt.run() function.
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Beta-Arbitrage Strategies: When Do They Work, and Why?

Beta-Arbitrage Strategies: When Do They Work, and Why? | Quantitative Finance | Scoop.it
Contrary to what traditional asset pricing would imply, a strategy that bets against beta, i.e.
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Risk Parity vs. Endowment Model vs. Permanent Portfolio

Risk Parity vs. Endowment Model vs. Permanent Portfolio | Quantitative Finance | Scoop.it
It has been over 5 years and 1,000 posts since I started writing, so I thought I would dig through  the archives and touch on a few of my favorite posts, and maybe some of the dumber/better ideas over the years…but to start, below is the very first...
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Gini Efficient Frontier

Gini Efficient Frontier | Quantitative Finance | Scoop.it
David Varadi have recently wrote two posts about Gini Coefficient: I Dream of Gini, and Mean-Gini Optimization.
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Backtesting Asset Allocation portfolios

Backtesting Asset Allocation portfolios | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers) In the last post, Portfolio Optimization: Specify constraints with GNU MathProg language, Paolo and MC raised a question: “How would you...
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