This is a summary of links recently featured on Quantocracy as of Wednesday, 12/11/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Fast trend following [Quantitativo]I always say that you could publish trading rules in the newspaper and no one would follow them. The key is consistency and discipline. Richard Dennis. Richard Dennis is one of the greatest trend-following traders in history, renowned for transforming a small loan into a fortune in the commodities markets. As a pioneer of systematic trading, Dennis believed that successful trading could be
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Frog in the Pan Momentum: International Evidence [Alpha Architect]This article analyzes various reasons why momentum strategies might work outside US borders. While the US story is firmly rooted in behavioral biases, is the same true on an international scale? That seems logical and likely. In fact, the authors conclude that a slow diffusion of news best explains momentum in the international contextacross all of our tests, we find supportive evidence for
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When Correlations Break or Hold: Strategies for Effective Hedging and Trading [Relative Value Arbitrage]Its well known that there is a negative relationship between an equitys price and its volatility. This can be explained by leverage or, alternatively, by volatility feedback effects. In this post, Ill discuss practical applications to exploit this negative correlation between equity prices and their volatility. A Trading Strategy Based on the Correlation Between the VIX and S&P500