Quant Mashup - Quantoisseur
Using Dynamic Mode Decomposition (DMD) to Rotate Long-Short Exposure Between Market Sectors [Quantoisseur]
Part 1 – Theoretical Background The Dynamic Mode Decomposition (DMD) was originally developed for its application in fluid dynamics where it could decompose complex flows into simpler low-rank spatio-temporal features. The power of this method lies in the fact that it does not depend on any
- 4 months ago, 19 Mar 2019, 09:41am -
Constructing Continuous Futures Price Series [Quantoisseur]
Welcome! If you enjoy these posts, please follow this blog via email and check out my Twitter feed located on the sidebar. All of my previous analysis has focused on US equities, but today we begin the journey into another asset class, futures. Futures are traded via contracts where two parties
- 1 year ago, 5 Feb 2018, 11:29am -
Cointegration, Correlation and Log Returns [Quantoisseur]
The differences between correlation and cointegration can often be confusing. While there are some helpful explanations online, I wasn’t satisfied with the visual examples. When looking at a plot of an actual pair of symbols where the correlation and cointegration test results differ, it can be
- 1 year ago, 6 Nov 2017, 01:35pm -
Twitter and StockTwits Sentiment Data Open-Close [Quantoisseur]
Hello all, last week I wrote a guest post featured on Dr. Ernest Chan’s blog which highlighted some of my research while working with QTS Capital Management on social media sentiment analysis and its place in financial models. The focus of this research was on how to derive sentiment signals from
- 1 year ago, 11 Sep 2017, 09:38am -
Cointegrated ETF Pairs Part II [Quantoisseur]
Welcome back! This week’s post will backtest a basic mean reverting strategy on a cointegrated ETF pair time series constructed using the methods described in part I. Since the EWA (Australia) – EWC (Canada) pair was found to be more naturally cointegrated, I decided to run the rolling linear
- 2 years ago, 20 Jan 2017, 04:15am -
Cointegrated ETF Pairs Part I [Quantoisseur]
The next two blog posts will explore the basics of the statistical arbitrage strategies outlined in Ernest Chan’s book, Algorithmic Trading: Winning Strategies and Their Rationale. In the first post we will construct mean reverting time series data from cointegrated ETF pairs. The two pairs we
- 2 years ago, 11 Jan 2017, 11:48pm -