Mean Reversion Trading System (miltonfmr.com)
I’m a quant in an investment bank. It’s not what you think (news.efinancialcareers.com)
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Trending academic research:
See also: Most popular SSRN papers
Institutional Ownership and Time-Series Predictability of Stock Returns
High-Frequency Trading Strategies
Manipulation in the VIX?
Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies abstract A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive performance, a multiple pairs trading strategy on major currency pairs was implemented. To improve the algorithm's performance, machine learning forecasts of a series of pertinent macroeconomic variables were factored in, by optimizing the weights of the trading signals. This resulted in a clear improvement in the APR over the evaluation period, demonstrating that macroeconomic indicators, not only technical indicators, should be considered in trading strategies.
Returns Signal Momentum
Time Series Reversal of Financial Assets
Performance Analysis of U.S. Defense Stocks in Relation to Federal Budgets and Military Conflicts in the Post-Cold War Era
Machine-Learning Models for Predicting Drug Approvals and Clinical-Phase Transitions
Do Individual Investors Ignore Transaction Costs?
Determinants of Price Discovery in the VIX Futures Market
A Reconsideration of the Equity Premium Puzzle
Patterns and Pricing of Idiosyncratic Volatility in French Stock Market
J-REIT Market Quality: Impact of High Frequency Trading and the Financial Crisis
How Does Risk Flow in the Credit Default Swap Market?
Does Price Limit Hit's Patterns Follow Stock Return Patterns?
The Predictability of Low Frequency Volatilities Measures: Evidence from Hong Kong Stock Markets
The Impact of the New Real Estate Sector on REITs: An Event Study
Better Financial Reporting: Meanings and Means
Can Everyone Benefit from Social Integration? abstract There is no matching mechanism that satisfies integration monotonicity and stability. If we insist on integration monotonicity, not even Pareto optimality can be achieved: the only option is to remain segregated.
A weaker monotonicity condition can be combined with Pareto optimality but not with path independence, which implies that the dynamics of social integration matter.
If the outcome of integration is stable, integration is always approved by majority voting, but a non-vanishing fraction of agents always oppose segregation. The side who receives the proposals in the deferred acceptance algorithm suffers significant welfare losses, which nevertheless become negligible when societies grow large.
On the Black's equation for the risk tolerance function abstract We analyze a nonlinear equation proposed by F. Black (1968) for the optimal portfolio function in a log-normal model. We cast it in terms of the risk tolerance function and provide, for general utility functions, existence, uniqueness and regularity results, and we also examine various monotonicity, concavity/convexity and S-shape properties. Stronger results are derived for utilities whose inverse marginal belongs to a class of completely monotonic functions.
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