This is a summary of links featured on Quantocracy on Monday, 09/12/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Hidden Markov Models – An Introduction [Quant Start]A consistent challenge for quantitative traders is the frequent behaviour modification of financial markets, often abruptly, due to changing periods of government policy, regulatory environment and other macroeconomic effects. Such periods are known colloquially as "market regimes" and detecting such changes is a common, albeit difficult process undertaken by quantitative market
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Trend Following after Drawdowns [Wisdom Trading]Historical Performance of Trend Following Post-Drawdown August marked a local low for our Trend Following index, reaching about two thirds of the max historical drawdown. We were commenting on the fact that, historically, drawdowns have typically proved a good time to invest or start trading a trend following strategy. This prompted us to run a test to check the historical results on the index. We
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What The VIX Spike Is Suggesting For The Next Few Days [Quantifiable Edges]Fridays big drop was accompanied by a big spike in options prices as measured by the VIX. The VIX rose so sharply that it closed Friday 32% above its 10-day moving average. The study below examines stretches of 25% or more, and how the SPX has performed in the following days.
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The Coppock Curve Applied to Global Markets [Meb Faber]I get most of my quant research done while trying to avoid other less interesting work. So I was curious when I saw my friend John Hussman writing about an obscure technical indicator called the Coppock Curve. I filed it away as interesting, sent it to the Idea Farm list, then moved on. But they Barry was asking me about it so that got me curious again, and I wanted to see what it might be
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Ask Me Anything Video [Alvarez Quant Trading]In this short five minute video I will answer the following questions: I am interested in knowing a little bit more about your own trading. What types of strategies are you trading? Why do you not manage outside money? What are the trading books you recommend? Do you have a trading or AmiBroker or other question you want me to answer? If so, either add it to the comments below or fill in the form.
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Applications of Graph Theory In Finance [Jonathan Kinlay]Very large datasets comprising voluminous numbers of symbols present challenges for the analyst, not least of which is the difficulty of visualizing relationships between the individual component assets. Absent the visual clues that are often highlighted by graphical images, it is easy for the analyst to overlook important changes in relationships. One means of tackling the problem is with