Handpicked blog posts on quantitative trading
A previous blog post described the Gerber statistic1, a measure of co-movement introduced in Gerber et al.1 built upon the idea of excluding small return ob...
In finance, various studies have explored the use of regression models in forecasting stock prices […] based on historical data and other relevant variables1...
In a previous blog post, I described the NAAIM Exposure Index, which represents the average exposure to U.S. equity markets as reported by members of the Na...
Welcome to 2026, where bonds no longer diversify stocks, volatility remains elevated and inflation isn’t going anywhere1. This is the dramatic, although fac...
The Sharpe Ratio1, one of the most commonly used measure of risk-adjusted performance2, is usually reported as a point estimate (Morningstar, Quantalys, etc....