Waaaaaay back in the day, I showed how to simulate correlated random walks using copulas….
If you wanted to do some large universe like the S&P 500 you had to do everything pairwise, and then you weren’t really capturing any higher dimension relationships within the market.components full Github investigate notebook pages put simulating visualize walk
Today I wanted to share a link to my first post on Quantopian, in which I describe a strategy that uses social data to switch between mean reversion and momentum based trading regimes.
This feat is accomplished using a new social factor I’ve created.departure HFT presents rebalance regime represents roots strat strategy switching
On StockTwits, what we see is a conversation flow. This translates to not just trading volume, but a shift in asset classes as well: conversations flow from equities, into broader indexes, and different trading instruments altogether.asset avoidance classes flight measurable repeatable safety trading translates volume
Long ago I had a junior trader, let’s call him M, who worked the overnight shift for me trading interest rates. There would be joyous stretches of time where everything would crank money and I would walk in to lots of profits and M smashing a tennis ball into the wall with one of his racquets (much to the dismay of the other overnight guys, but when you make money you can do what you want).giving hours money overnight produced response ring started tone trading