Tag Archives: Paper

C source code and research paper from rentech

No joke. C source code from a employee in 2001 in Rentech. I also found a bunch of research papers from another researcher at the firm. This is of James Simmons fame

As a tip, just follow these research names of RenTech via Linked In. This shows what kind of projects they worked on before joining the hedge fund.

Some RenTech employees come MIT, Harvard, Yale, and Stanford. Just so you know. See some these links here:

https://quantlabs.net/blog/2019/02/c-source-code-and-research-papers-from-renaissance-technologies/

Python Infrastructure GOING UP in the next few days

Consider this a warning a the course was completed Monday night. I am speaking about the Python Infrastructure Building Block for Algo Trading! As a result with the juicy content, I have decided to retail this course at $1197 within the next few days. If you want to take advantage of the $250, now is the time.

Go here if interested in learning

https://quantlabs.net/academy/python-algo-trading-infrastructure-with-crypto-currency/

This will be utter last chance to learn at this rate!

Quant Analytics Goes up as well

I am also working on the Analytics service as well. It will be increasing in price from $97 to $125 per month with new annual and semi annual discounted bundles. Crypto payments are accepted as well for the bundles as well

Go here if you want optimize your trading for Cryptocurrency, Forex, and CFD

https://quantlabs.net/academy/quant-analytics/

Thanks Bryan

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Award – Best Quant Paper 2017

Savvy Investor curates the best pensions and investment white papers from around the world. Having uploaded more than 20,000 papers since launch, they have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to their institutional investor audience.

To view the full awards announcement, across 15 categories, visit the Savvy Investor Awards page.

WINNER: AQR Capital Management

Embracing Downside Risk

Equity index option pricing is examined in detail in this paper. The authors conclude that most of the empirical equity risk premium relates to compensation for taking on downside risk; therefore, downside risk is something to be embraced.

HIGHLY COMMENDED

Adding Alpha by Subtracting Beta: A Case Study on how Quant Tools can Improve a Portfolio’s Returns by Axioma

A ‘real world’ portfolio is used to illustrate how fundamental managers can use quantitative tools to identify and lessen potential issues in their portfolio, thereby improving their realized returns.

An Asset Allocation Primer: Connecting Markowitz, Kelly and Risk Parity by PIMCO

Standard asset allocation model mechanics, including the utility based, Kelly, Markowitz, fixed allocation, and risk parity approaches, are described and contrasted in this PIMCO article.

Managing equity portfolio volatility by harnessing the volatility risk premium by Eaton Vance

Option-based strategies that attempt to harness the Volatility Risk Premium comprise a new type of solution that investors are currently exploring in order to achieve equity-like returns with less risk.

Start of Something Big: Demystifying the Source of Large Alpha in Small Caps by QMA

Active small-cap managers continue to outperform. QMA posits that capturing alpha in small caps is largely the result of inefficiencies that create pronounced mispricings that diligent managers can exploit on a regular basis.

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 23,000 members from across the globe have registered for the site, with 150-200 new members joining every week.

To find out how you can partner with Savvy Investor this year to enhance your thought leadership credentials in the institutional investor marketplace, please contact our Business Development Manager, Stuart Blake, stuart.blake@savvyinvestor.net.

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Market Making and Mean Reversion research paper PDF

This came in from my Telegram private group

https://www.cis.upenn.edu/~mkearns/papers/marketmaking.pdf

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Path Integral & Asset Pricing quant paper

Another research paper from SSRN

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2506430

Abstract:

We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White model, we can apply the same techniques to “less-tractable” models such as the Black-Karasinski model. We give explicit formulas for computing the bond pricing function in such models in the analog of quantum mechanical “semiclassical” approximation. We also outline how to apply perturbative quantum mechanical techniques beyond the “semiclassical” approximation, which are facilitated by Feynman diagrams.

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Quant analysus math researcb paper for Phynance

New research paper from SSRN

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2433826

Abstract:

These are the lecture notes for an advanced Ph.D. level course I taught in Spring ’02 at the C.N. Yang Institute for Theoretical Physics at Stony Brook. The course primarily focused on an introduction to stochastic calculus and derivative pricing with various stochastic computations recast in the language of path integral, which is used in theoretical physics, hence “Phynance”. I also included several “quiz” problems (with solutions) comprised of (pre-)interview questions quantitative finance job candidates were sometimes asked back in those days.

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Research paper on mean reversion and optimization

This is a good one for all those newbies on this Dr Ernie Chan classic trading strategy

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2478345

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Paper + math = awesome origami

I stole this from Dr Paul Cottrell’s Facebook feed

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

YinYang Volatility Bands correct with new Paper

YinYang Volatility Bands working with new Paper

Yin-yang_volatility – CFRI Journal

From the author of this indicator:

thanks for your interest in my YinYang Volatility bands.

Your code looks correct.

However, in real applications, your “direct” may have wipsaws, so you could add a moving average on your “d” before calculating “direct”.

For your information, that paper of mine was formally published as

Heping Pan (2012): Yin-Yang Volatility in Scale Space of Price-Time – A Core Structure of Financial Market Risk. China Finance Review International, CFRI 2.4, 377-405.

(this is an English journal). This paper is attached.

Best wishes

Pan Heping

I will post this Matlab source code to my Quant Elite members soon. I also need to thank Dr Ernie Chan for getting me to this point as well. He is an amazing resource to have around.

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!