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Guest Post: A qualitative review of VIX F&O pricing and hedging models 20 Aug 2013 | 06:08 pm
By Azouz Gmach VIX Futures & Options are one of the most actively traded index derivatives series on the Chicago Board Options Exchange (CBOE). These derivatives are written on S&P 500 volatility ind...
Momentum Crash and Recovery 17 Jul 2013 | 01:52 am
In my book I devoted considerable attention to the phenomenon of "Momentum Crashes" that professor Kent Daniel discovered. This refers to the fact that momentum strategies generally work very poorly i...
My new book on Algorithmic Trading is out 25 May 2013 | 06:58 pm
A reader (Hat tip: Ken) told me that my new book Algorithmic Trading: Winning Strategies and Their Rationale is now available for purchase at Amazon.com. The difference with my previous book? A lot mo...
Nonlinear Trading Strategies 3 May 2013 | 11:45 pm
I have long been partial to linear strategies due to their simplicity and relative immunity to overfitting. They can be used quite easily to profit from mean-reversion. However, there is a serious pro...
An Integrated Development Environment for High Frequency Strategies 5 Apr 2013 | 03:40 am
I have come across many software platforms that allow traders to first specify and backtest a strategy and then, with the push of a button, turn the backtest strategy into a live trading program that ...
What Can Quant Traders Learn from Taleb's "Antifragile"? 14 Mar 2013 | 01:36 pm
It can seem a bit ironic that we should be discussing Nassim Taleb's best-seller "Antifragile" here, since most algorithmic trading strategies involve predictions and won't be met with approval from T...
A workshop, a webinar, and a question 19 Feb 2013 | 01:42 am
There is a workshop on the 25th of February titled "Market turbulence; monetization; and universality" by Mike Lipkin at Columbia University that promises to be interesting to those traders who have a...
A stock factor based on option volatility smirk 3 Feb 2013 | 09:41 pm
A reader pointed out an interesting paper that suggests using option volatility smirk as a factor to rank stocks. Volatility smirk is the difference between the implied volatilities of the OTM put opt...
The Pseudo-science of Hypothesis Testing 2 Jan 2013 | 09:05 pm
Backtesting trading strategies necessarily involves a very limited amount of historical data. For example, I seldom test strategies with data older than 2007. Gathering longer history may not improve ...
The Importance of 2 (as Sharpe Ratio) 29 Nov 2012 | 11:23 pm
A reader ezbentley recently pointed out a little-noticed fact in the derivation of Kelly's formula: if we apply the optimal Kelly leverage, then the standard deviation of the annualized compounded gro...
