Handpicked blog posts on quantitative trading
In the research report Random rotations and multivariate normal simulation1, Robert Wedderburn introduced an algorithm to simulate i.i.d. samples from a mu...
In his original 1991 article Investing in the 1990s1, John Bogle described a simple model to help investors setting reasonable expectations for long-term U.S...
In his 2013 post The Single Greatest Predictor of Future Stock Market Returns, Jesse Livermore1 from the blog Philosophical Economics introduced an indicato...
The Gerber statistic is a measure of co-movement similar in spirit to the Kendall’s Tau coefficient that has been introduced in Gerber et al.1 to estimate c...
Modified Value-at-Risk (mVaR) is a parametric approach to computing Value-at-Risk introduced by Zangari1 that adjusts Gaussian Value-at-Risk for asymmetry a...