Quantocracy’s Daily Wrap for 03/17/2016

In the high desert plain of New Mexico, Roger Hunter monitors automated trades on hog futures and currency pairs. Roger Hunter in his home office. Roger Hunter in his home office. Photographer: David Paul Morris/Bloomberg Four computer screens display a dizzying array of price charts and program codes in the office of his single-story, thatched adobe home in the town of Las Cruces. Out back, where

Equity index covered calls have historically provided attractive risk-adjusted returns largely because they collect equity and volatility risk premia from their long equity and short volatility exposures. However, they also embed exposure to an uncompensated risk, a nave equity market reversal strategy. This paper presents a novel performance attribution methodology, which deconstructs the

For this episode I spoke with returning guest Nick Radge, who was originally on episode number 4. But in case you missed it; Nick is a systematic trend follower and momentum trader, most active in Australian and US equity markets. This time around, we discussed mean reversion strategies and why they may appeal to certain traders, the importance of trade frequency when developing a system, which

How about trying to find any use of the famous Monty Hall problem in a stock index context? Let your imagination run First of all, some of you may be confused because neither Monty Hall problem nor Lets make a deal are familiar to you so I will refresh you what these names are concerned to. Monty Hall was a TV presenter for Lets make a deal, a famous American show in the

A Newfound, we try to embrace March Madness as an opportunity to foster some good-natured competition within the company. This year we decided to mix things up and go with our own version of ReSolve's unique March Madness Challenge. When Corey originally suggested the idea, my initial reaction is probably best conveyed with this Puff Daddy lyric: "Put your money on the table and get your