Handpicked blog posts on quantitative trading
I previously described on this blog an intuitive way of performing stress tests on a correlation matrix, which consists in shrinking a baseline correlation ...
When backtesting an investment strategy, that is, when simulating an investment strategy using historical prices to test how this strategy would have behaved...
In a previous post, I introduced near efficient portfolios, which are portfolios equivalent to mean-variance efficient portfolios in terms of risk-return bu...
I am sometimes asked if I recommend any stock market data (web) API for a personal use, especially because I mention Alpha Vantage and Tiingo in a couple of ...
In the previous post, I reviewed the turbulence index, an indicator of financial market stress periods based on the Mahalanobis distance, introduced by Chow...