Handpicked blog posts on quantitative trading
In the initial post of the series on volatility forecasting, I described the simple and the exponentially weighted moving average forecasting models, that a...
Capital market assumptions1 (CMAs) are forecasts of future risk/return characteristics for broad asset classes over the next 5 to 20 years produced by leadi...
Among the different members of the family of volatility forecasting models by weighted moving average1 like the simple and the exponentially weighted moving...
Introduction It is common knowledge that returns to hedge funds and other alternative investments [like private equity or real estate] are often highly seri...
Bootstrapping is a statistical method which consists in sampling with replacement from an original data set to compute the distribution of a desired statist...