Quantocracy

Quant Blog Mashup

ST
  • Quant Mashup
  • About
    • About Quantocracy
    • FAQs
    • Contact Us
  • ST

Quantocracy’s Daily Wrap for 08/26/2015

This is a summary of links featured on Quantocracy on Wednesday, 08/26/2015. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Trajectory of a Crash [Philosophical Economics]

    Its amazing to think that just last Monday, August 17th, the S&P 500 closed at 2102. Today, it closed at 1868, falling 11.1% in 6 trading days. The shocking speed of the decline has injected a level of fear into markets not scene since the fall of 2011, when the Eurozone debt crisis was reaching its apex. Many traders have referenced 1987 as a paradigm for what might happen in a wor
  • Quant-Trader or Trader-Quant? [MKTSTK]

    The term quant trader gets thrown around a lot these days. For any trader who has been in the industry for more than a decade, the adoption of the term is driven by survival. Theres a running joke in some HFT circles: these days, older traders would never get past HR using the same criteria by which junior traders are hired. Junior traders must be data scientists and traders.
  • Let’s talk “Year-to-Date” [Flirting with Models]

    We have a pretty arbitrary practice in the financial services industry: we reset the performance clock of portfolios to zero every January. Consider this hypothetical scenario: its December and markets are up 20% for the year. They even got a nice 5% pop in the last month. The clock strikes midnight on December 31st. We roll into January and the markets proceed to tumbl
  • Super Reliable Backtesting [John Orford]

    Big 'O' is a measure of many things, with respect to backtesting it helps because results are always ambiguous. Backtesting results are almost iffy for a variety of reasons, but a salient one is the 'day bump' problem. Say, I have a strategy that trades at the 'beginning of every month' and the results look promising. What happens to the results if

Filed Under: Daily Wraps

Welcome to Quantocracy

This is a curated mashup of quantitative trading links. Keep up with all this quant goodness with our daily summary RSS or Email, or by following us on Twitter, Facebook or StockTwits. Read on readers!

Copyright © 2015-2022 · Site Design by: The Dynamic Duo