Handpicked blog posts on quantitative trading
In a previous blog post of this series, the main univariate Value-at-Risk (VaR) estimation methods were described. Among these, and for scenario-based VaR e...
The NAAIM Exposure Index represents the average exposure to U.S. equity markets as reported by members of the National Association of Active Investment Manag...
The fact that mean-variance optimizers are highly sensitive to changes in expected returns […] is well known in investment practice1, with a couple of practi...
In the previous post of this series on measuring financial risk, I described the absorption ratio, a measure of financial market fragility based on principa...
In a previous article, I described several classical bootstrap techniques — i.i.d. bootstrap, circular block bootstrap, and stationary block bootstrap — and ...