Algorithmic trend detection methods Trend detection is the corner-stone of many trading strategies. In my research I have found that accurate classification of the current trend (up, down, sideways) is as important as the entry/exit rules on which strategies are based. Currently I am using a naive approach to trend detection – the gradient (or …
Quant analytics: Algorithmic trend detection methods Read More »
Algorithmic trend detection methods Trend detection is the corner-stone of many trading strategies. In my research I have found that accurate classification of the current trend (up, down, sideways) is as important as the entry/exit rules on which strategies are based. Currently I am using a naive approach to trend detection – the gradient (or …
Advances in Cointegration and Subset Correlation Hedging Methods Hedging can be interpreted as a generalization of the portfolio optimization problem with applications in areas as diverse as trading, risk management and asset allocation. Like in portfolio optimization, one of the problems of hedging is that often one position or a subset (combination) of positions dominate …
Advances in Cointegration and Subset Correlation Hedging Methods Read More »
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