Quant Mashup - Quantogo
A Curious Intraday Pattern in Brazilian Stock Index Futures [Quantogo]
Since the first article of this blog (Technical Analysis for intraday stocks trading? FORGET IT!), i’m pointing to the fact that there is a lot of cross correlation between stocks and between stocks and the future index. That’s not new to anyone and even those who are starting at the
- 7 years ago, 9 Feb 2017, 08:33am -
Arbitrage on cross-section returns in Brazilian stock market [Quantogo]
A lot of research already have been done trying to find out how to predict the stocks market returns. On a daily time frame, both trend-following and mean-reversal trading strategies applied to single stocks can’t sustain a stable Sharpe ratio across the time, making us believe that even if the
- 7 years ago, 27 Jan 2017, 08:55am -