This is a summary of links featured on Quantocracy on Sunday, 06/21/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
Interview with Ernest Chan [Better System Trader]Ernie Chan is an expert in the application of statistical models and software for trading currencies, futures, and stocks. He has built and traded numerous quantitative models for investment banks and hedge funds. He is now the Managing Member of QTS Capital Management, commodity pool operator and trading advisor, managing a hedge fund as well as individual accounts.
Fractal Investment Strategy [John Orford]Martin Stisen got in touch after reading about the Mean Reversion + Momentum Strategy last week with an idea. Using the Hurst exponent to predict future returns. Quirky ideas are exciting. The Hurst exponent was originally found by observing how the Nile River waxed and waned over the years and now for base money making purposes we will apply it to