Multi-Asset Market Regimes [0.13]

Posted on Nov. 9, 2012, 8:42 a.m. by Quantivity @ [source]

An astute reader suggested reproducing the results from a recent article on regime analysis by Kritzman et al., Regime Shifts: Implications for Dynamic Strategies in FAJ (May / June 2012). Beyond identifying regimes, we also want to know the probability of being in a given regime at any given point in time.

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Implicit Momentum Bias [0.14]

Posted on Oct. 25, 2012, 9:35 a.m. by Quantivity @ [source]

A variety of folks gave thoughtful replies: Josh Brown, Flex Salmon, David Merkel, Scott Bell, the Macro Men, and bunch of anonymous professional traders.

Yet, perhaps there is a common root cause at work, not yet stated: implicit momentum bias.

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Volume Clock, Gaps, and GOOG [0.14]

Posted on Oct. 23, 2012, 8:07 p.m. by Quantivity @ [source]


Direction of Change Forecasting [0.05]

Posted on Jan. 17, 2012, 4:37 a.m. by Quantivity @ [source]

Index Return Decomposition prompted several readers to inquire about forecasting the signs of returns, as implied by the decomposition variable. This literature tends to be a bit obtuse, due to commonly unstated stylistic assumptions regarding conditional return dynamics.

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Physics, Biology, or Peltzman? [0.06]

Posted on Jan. 3, 2012, 10:15 a.m. by Quantivity @ [source]

Physics, Biology, or Peltzman? Although they have varying trading strategies, there is a common theme which unifies them: top-down systematic focus on the sociology of market participants.

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Return Decomposition via Mixing [0.02]

Posted on Dec. 29, 2011, 4:47 a.m. by Quantivity @ [source]

A variety of techniques exist for estimating parameters of the return decomposition model, previously introduced in Index Return Decomposition.

This assumption permits focus on estimating , providing insight into the mixing behavior of the return being decomposed: if a stock return behaves like its index, then mixing is low with small (in the limit, when a stock behaves identical to its index, as no mixing is required); in contrast, the stock return behaves independent from its index on a regular basis, then mixing is high with a large .

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Risk Pragmatics [0.09]

Posted on Dec. 18, 2011, 6:30 a.m. by Quantivity @ [source]

Risk is deeply underappreciated. Arguably unique for risk books, Brown builds deep intuition around the concept of risk and its manifestation from structural to marked positions to historical roots in tulips.

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Index Return Decomposition [0.04]

Posted on Dec. 14, 2011, 8:23 a.m. by Quantivity @ [source]

This technique finds surprisingly often use in quant models.

To explain this model, let’s build it up from intuition.

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Update: Curated Quant Research Feed [0.15]

Posted on Nov. 4, 2011, 1:47 p.m. by Quantivity @ [source]

Indeed, the combo of daily curated feed with single-source retrospective search has become indispensable for personal research.

Head back to curation and watch new algos emerge on top of that next-gen curation again.

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