Objects in Motion: Momentum Trading Strategies
You may remember from your primary school days that objects in motion tend to stay in motion unless acted upon by an equal or opposite force. It has been suggested…
Research
Cryptocurrency Price Prediction Using News and Social Media
In the past few years, there have been a variety of experiments utilizing sentiment from twitter to predict price fluctuations of the price of Bitcoin. This study by three Stanford…
Limitations of Quantitative Claims About Trading Strategy Evaluation
Overfitting is a chief concern for most systematic traders, and rightfully so. Traders use quantitative analysis methods to evaluate their backtests and tweak their strategies for better performance, however oftentimes…
Performance Metrics: The Sharpe Ratio and the Sortino Ratio
For a systematic trader, effectively managing risk in a trading system is crucial to the long-term viability of the system. The most obvious performance metric for testing a strategy is…
Momentum and Contrarian Effects on the Cryptocurrency Market
In this recently released study, the effects of momentum and contrarian strategies on the cryptocurrency market were investigated and analysed. The momentum and contrarian strategies were executed on the top…
Machine Learning-Based Classification of Market Phases
Introduction The experience of the recent years as well as research results and regulatory requirements suggest the consideration of market regimes. Nevertheless, the largest part of today’s financial risk management…
Exchange Rate Forecasting on a Napkin
This paper by Michele Ca’Zorzi and Michał Rubaszek claims to offer a formula for exchange rate forecasting so simple it can be calculated on the back of a napkin. The ‘back of…
Beta’em Up: What is Market Beta in FX?
Beta is generally considered a measure of an instrument’s risk in comparison to the overall risk of an industry or portfolio. There are structural limitations of the FX market which…
Strategy Diversification: Combining momentum and carry strategies within a foreign exchange portfolio
The main research question of this article is whether there is value in combining technical and macro/fundamental strategies. Two strategies are tested individually, then three variations of the combined strategies are tested…
Model Calibration with Neural Networks
This article focuses on the effective calibration of a quantitative model to a specific data set using a novel method in the form of machine learning. It provides an alternative…