Robert Lam and Paul Kamenski, Co-heads of Credit at Man Numeric, join Danilo Rippa, Head of Global Credit Multi-Strategy and Global Convertibles at Man Solutions, to discuss adopting a quantitative approach to investing in credit markets. They discuss the rise of quant credit, the alpha opportunities it presents, as well as…

Bruce Knuteson is a former quant at D.E. Shaw & Co. The world’s stock markets display a decades-long pattern of overnight and intraday returns seemingly consistent with only one explanation: one or more large, long-lived quant firms tending to expand their portfolio early in the day (when its trading moves prices more)…

The world's stock markets display a decades-long pattern of overnight and intraday returns seemingly consistent with only one explanation: one or more large, long-lived quant firms tending to expand its portfolio early in the day (when its trading moves prices more) and contract its portfolio later in the day (when its…

This article analyzes six trend-following indicators from a digital signal processing (DSP) frequency domain perspective in which the indicators are considered as digital filters and their frequency response characteristics are determined. In addition, potential trading signals generated by each indicator in the time domain…

The ensemble of trend-following and mean-reversion strategies boosts the Sharpe ratio significantly due to a low correlation of returns and lower volatility of the ensemble. The trend-following and mean-reversion strategies are based on the same algo, the PSI5. The trend-following strategy uses the PSI5 algo in divergent…

This article considers the research on trend-following rules when stock returns follow a two-state process. Academic research on trend-following investing has almost exclusively been focused on testing the profitability of various trading rules. Most of these rules are based on moving averages of past prices. The most…

Have you ever wondered if your trading asset trends or mean-reverts? In this article, the authors analysed various statistical, empirical, and other trading properties of underlying assets to find an edge.

In March 2021, Campbell Harvey spoke with members of the Journal of Investment Consulting editorial advisory board about quantitative investment strategies. Taking part in the discussion were Inna Okounkova, Columbia University and editor-in-chief of the Journal; Mark J. P. Anson, The Commonfund; Edward Baker, Mesirow…

The authors explorethe use of deep signature models to predict equity financial time series returns. First, they use signature transformations to model the underlying shape of the input equity returns; further assuming the underlying shape remains the same, they predict future values based on that shape. Finally, different…

Listen in as Dan Joldzic, CEO & Quantitative Research, Alexandria Technology discusses natural language processing (NLP). NLP techniques can be used to analyse a variety of data sources, including news reports, company regulatory filings and earnings calls, as well as posts on social media sites such as Reddit.