‘Quantitive Trading’ Algorithmic Trading Articles & Financial Insight
- Turning the vol up on trading FX
SUBSCRIBERS ONLYWhen it comes to equities, it seems fairly easy to define a beta for the market. Typically, we might think of S&P500, as a good approximation for what a typical equity investor's return might be. Indeed, there are many passive investors who follow funds which directly replicate S&P500. For bonds, we can do something similar if we pick an index such as Barclays Global Aggregate bond index.
- Special K
SUBSCRIBERS ONLYIn 1996, the quant trader Lars Kestner published a book introducing the K Ratio as a complement to the Sharpe Ratio. In 2003, he modified the K Ratio and published a revised version of his book (Lars Kestner, Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program, McGraw-Hill Traders Edge Series, 2003.) to explain why. Thomas Becker of Zephyr Associates thinks he was right first time.
- Tall dark strategy?
SUBSCRIBERS ONLY What does the future hold for quant traders? Stuart Farr, President of Deltix, looks into the very long term.