Most of the research on momentum is repetitive and reaks of data torture, but Geczy and Samanov have been conducting some fascinating out of sample research on the topic... We have discussed prior research by Gezcy and Samonov here on U.S. equity momentum over 200 years of data. The evidence is similar to the academic finding that, on average, intermediate-term winning stocks... more
This year marks the 10th anniversary of the R/Finance Conference! As in prior years, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 50+ presenters covering all areas of finance with R. The conference will take place on June 1st and 2nd, at UIC in Chicago. You can find registration information on the... more
In this talk, Dr. Gordon Ritter, Senior Portfolio Manager at GSA Capital, presents the most general model of the type considered by Black and Litterman (1991) after fully clarifying the duality between Black–Litterman optimization and Bayesian regression. His generalization is itself a special case of a Bayesian network or graphical model. As an example, he works out, in full detail... more
Kris Longmore is the founder of the online systematic trading community RobotWealth.com whose mission is to provide DIY traders with the support and the knowledge that can be found in a professional trading setting. Kris Longmore left behind a ten-year engineering career to tackle the world of finance and trading. Over the years that followed, he became a hedge fund quant and later consulted to some of Asia-Pacific’s biggest fund managers on the adoption of artificial intelligence and machine learning. He is now a partner and shareholder... more
The first trading strategy, momentum, relies on the existence of sustainable price trends. These trends are driven by an increase in liquidity demands, which can be caused by increased market risk (as greater hedged risk leads to greater demand) as well as the buildup of large speculative position. The strategy goes long (short) when the currency’s 20-day moving average of the closing price crosses above (below) its 120 day moving average. This strategy has attractive long-term returns... more
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