This is a summary of links featured on Quantocracy on Thursday, 03/16/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Simulating Correlated Random Walks for the S&P 500 [MKTSTK]Waaaaaay back in the day, I showed how to simulate correlated random walks using copulas. I was really thinking about the application to pairs trading back then which was fine, because one of the limitations was that the method could only simulate two random variables at a time. If you wanted to do some large universe like the S&P 500 you had to do everything pairwise, and then you
-
Puts as Protection [Timely Portfolio]Many asset management firms are happily enjoying record revenue and profits driven not by inorganic growth or skillful portfolio management but by a seemingly endless increase in US equity prices. These firms are effectively commodity producers entirely dependent on the price of an index over which the firm has no control. The options market presents an easy, cheap, and liquid form of protection
-
Analysis of Asymmetrical Moving Average for Buy/Sell Signals [Quantpedia]ost market participants are risk adverse and people tend to close their long positions once they perceive a formation of downturn in the market. Large sudden price drops can always be observed near the end of uptrends. On the other hand, people tend to have their own preferences in deciding the market entrance timings and large sudden price changes are relatively less commonly observed near the
-
Podcast: Trading the Mean Reversion Curve [Better System Trader]One of the challenges of Mean Reversion trading is deciding when to get into a trade. How far from the mean should we actually wait before we consider getting into a trade? In a trending environment where the dips are shallow, getting in closer to the mean can bring lots of trading opportunities which can perhaps translate into more profits, however when market conditions change that approach can