This is a summary of links featured on Quantocracy on Monday, 08/17/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Introduction to Monte Carlo Analysis Part 1 [Quants Portal]The Monte Carlo, filled with a lot of mystery is defined by Anderson et al (1999) as the art of approximating an expectation by the sample mean of a function of simulated variables. Used as a code word between Stan Ulam and John von Neumann for the stochastic simulations they applied to building better atomic bombs (Anderson, 1999), the term Monte Carlo evolved into a method used in a
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The Sustainable Active Investing Framework: Simple, But Not Easy [Alpha Architect]The debate over passive versus active investing is akin to Eagles vs. Cowboys or Coke vs. Pepsi. In short, once our preference for one style over the other is established, it becomes a proven fact or incontrovertible reality in our minds. This post is not meant to convert a passive investor into an active investor; however, we do explain why we believe some active investing
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Strategy Gamma Overview [John Orford]Economics 101 tells us that people have 'convex' utility curves. Which means there are diminishing returns to having more, but losing what you currently have diminishes your well being precipitously. Convexity is such a human property, it shows up again and again in unexpected places. Eyeballs, boobs and butts to name a few examples. I
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Interview with Larry Williams [Better System Trader]On the show this week we have Larry Williams who has been trading futures and stocks for over 50 years. In 1987 he won the world cup trading championship, turning $10,000 in to over $1.1 million in 12 months, that's a cool 11,000% return and the highest return to ever be achieved in that competition. 10 years later his daughter won the same competition with a 1000% return a
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Downloading Stock Market News for Specific Symbols [Godel’s Market]Grabbing the data. How do you grab the latest news on your favorite ticker symbol? It all starts with the following URL. https://www.google.com/finance/company_news?q=SPY&output=rss You'll want to change "q=SPY" to whatever symbol you're interested in. You can add something like the following to the end if you'd like m
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Can managed futures manage rising rates? [Flirting with Models]Summary Rising interest rates are on the horizon somewhere Yield curve dynamics including the absolute level of rates, their direction of change, and the slope of the yield curve all play an important role in the returns for managed futures The cost of carry in shorting fixed-income futures means that commodity trading advisors (CTAs) may fail
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Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis – Part 1 [Quant Start]In the last article we looked at random walks and white noise as basic time series models for certain financial instruments, such as daily equity and equity index prices. We found that in some cases a random walk model was insufficient to capture the full autocorrelation behaviour of the instrument, which motivates more sophisticated models. In the next couple of articles w
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Weather and the Markets [Factor Wave]It should be fairly obvious to anyone who has been involved with investing for any time, that traders decisions are heavily influenced by their mood. Actually, some interesting recent research has shown that people generally make decisions intuitively before using their conscious thought processes to justify them. No one is actually all that rational. So perhaps it should b
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RUT Strangle – High Loss Threshold – 59 DTE [DTR Trading]This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 59 days-to-expiration (DTE). The results in this post were derived from 2312 individual trades entered by the backtester. The results are grouped by the delta of the short strikes. For example, a 4 delta strangle is constructed by selling a -4 delta put, and selli