Quantocracy’s Daily Wrap for 02/12/2016

In my previous post I talked about a architectural concept I had defined for my trading platform. Looking backward from now, it was a good decision to go for a service oriented architecture. But how do all the communication is done in a distributed system? Lets talk about this, and try to find some answers. Messaging is one of the most fundamental topics in computer science and its so important. I

Im happy to publish my first paper on SSRN entitled, Speculation in a Path Dependent World I found many otherwise talented managers entering a multi-manager platform (assigned capital with strict risk limitations) having a difficult time transitioning. The paper is my simple attempt to suggest an alternative framework for new or potential managers dealing with drawdown risk. Any and all

The current study examines the turn of the month effect on stock returns in 20 countries. This will allow us to explore whether the seasonal patterns usually found in global data; America, Australia, Europe and Asia. Ordinary Least Squares (OLS) is problematic as it leads to unreliable estimations; because of the autocorrelation and Autoregressive Conditional Heteroskedasticity (ARCH) effects

Given recent performance, the question of whether small-cap stocks really do outperform over time has made its way into the financial media. So far, weve sought to answer it by considering a multifactor approach and examining international evidence. Today well tackle a behavioral explanation. Behavioral Explanation The field of behavioral finance provides us with an explanation for the small

As established in a previous post, Tadawul All Shares Index (TASI) of the Saudi stock market has high excess kurtosis (9.903). The high kurtosis indicates that TASI has heavy tails. This means that the probability of extremely large negative returns is higher compared to a normal distribution. In this post, I use Pareto distribution to model TASIs left tail. Pareto distribution is used in