Quantitative Trading
Quantitative Trading Recent Blog Posts
The best environment for quantitative trading
on Oct 11, 2009Let me talk about a topic that is far more mundane than the usual high-brow theoretical discussions of strategies and algorithms, but that has no less long-term impact on the bottom line: what is the best office environment for research and execution...
Are flash orders really so bad?
on Sep 20, 2009I confess I don't know much about flash orders, not being one of the Big Boys on the Street, until I read that the SEC is banning them. (For a clear diagrammatic explanation of flash orders, see here. For a refutation of some of the myths and misunde...
Can a trader be a do-gooder?
on Sep 11, 2009It occurs to me that the only way in which a trader can become more than a completely selfish, self-enriching, narcissistic person is to trade well enough so that you can manage other people's money and thus saving these investors from crooks and cha...
Have you traded 10,000 hours yet?
on Sep 2, 2009Author Malcolm Gladwell, in his fascinating bestseller "Outliers: The Story of Success", cites neurological research showing that "10,000 hours of practice is required to achieve the level of mastery associated with being a world-class expert." This...
Using R to Test for Cointegration
on Aug 21, 2009Paul Teetor, who guest-blogged here about seasonal spreads, recently wrote an article about how to test for cointegration using R. Readers who don't want to pay for a copy of Matlab should find this free alternative with similar syntax quite interes...
Interview on backtesting
on Aug 14, 2009I have given a 2-part interview (here and here) on the various nuances of backtesting on tradingmarkets.com. Most of the ideas have been covered in my book, but it does serve as a summary of what I consider to be the most important issues.For those o...
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