Posts filed under “Quantitative”
I am the keynote speaker today at the Dow Jones event: Correlation Nation: What happens when all markets and asset classes are in correlation?
As markets trade on headline risk versus pure fundamentals, finding a winner is more challenging than ever before. Kelly Evans hosts a panel discussion afterwards, with a reception to follow.
NOTE: You need to register for the event to attend.
To register, sign up here:
Over the years, I have become friendly with Mebane Faber, co-founder and the Chief Investment Officer of Cambria Investment Management. He manages an ETF called the Cambria Global Tactical ETF (GTAA). Back in 2007, Meb authored an excellent paper titled “A Quantitative Approach to Tactical Asset Allocation.” It was published in the Journal of Wealth…Read More
I was pleasantly surprised this morning to see a WSJ article that suggests the SEC is beginning to use the tools of Quantitative Research in its enforcement: SEC Ups Its Game to Identify Rogue Firms. This is a positive step for enforcing the laws governing markets. Recall 3 years ago, we asked if the SEC…Read More
James O’Shaughnessy is a well known “value quant” for his book What Works on Wall Street (4th Ed). He has a new column in Marketwatch discussing what he calls “the top stock-market strategy of the past 50 years.” According to Jim, using a combination of value and momentum strategies — “Trending Value” — is the best…Read More
Dow Jones Industrial Average 1900- present (log scale, monthly) Click for ginormous chart Source: Monthly Chart Portfolio, Merrill Lynch Market Analysis, November 4, 2011 > I mentioned yesterday I had a long term chart of secular bear markets that was informative; the above chart (via Merrill Lynch) is what I was referring to. There are…Read More
What does it say about the state of our exchanges that trader on proprietary and execution desks now can buy a software program to alert them to the activities of Co-Located Algo Servers? “HFT Alert, the first real time software designed to detect high frequency and algorithmic trading systems. HFT Alert identifies when these trading…Read More
An NYU Poly Department of Finance and Risk Engineering professor has a forthcoming paper in Algorithmic Finance that claims that “Markets are efficient if and only if P = NP.” Why is this important? Most economists think markets are at least weakly efficient (I disagree). Computer scientists think that P != NP — that current…Read More
click for larger chart > Michael Gayed observes: “When the TIP/IEF price ratio (Inflation-Protection/Nominal-No-Inflation-Protection) trends higher, it means bond market is swinging towards increased inflation expectations. When the ratio is trending down, bond market is favoring deflation through outperformance of Nominal bonds. Inflation hedge tends to be equities: risk-on. Deflation hedge tends to be nominal…Read More