Quantivity

An astute reader suggested reproducing the results from a recent article on regime analysis by Kritzman et al., Regime Shifts: Implications for Dynamic Strategies in FAJ (May / June 2012). This i...

https://quantivity.wordpress.com/2012/11/09/multi-asset-market-regimes/

Tadas asked an interesting question in his recent post: Where did all the finance bloggers go? A variety of folks gave thoughtful replies: Josh Brown, Flex Salmon, David Merkel, Scott Bell, the M...

https://quantivity.wordpress.com/2012/10/25/implicit-momentum-bias/

GOOG unexpectedly disclosed their Q3 earnings early last week, on October 18th. While earnings were marginally interesting, much more amusing was the corresponding hiccup in intraday trading. Thi...

https://quantivity.wordpress.com/2012/10/23/volume-clock-gaps-and-goog/

Quantivity disliked undergrad macroecon, as it was largely a waste of time: fancy theory lacking compelling evidence, amplified by no consensus within the field à la saltwater versus freshwater....

https://quantivity.wordpress.com/2012/05/09/macro-matters-and-orthodoxy/

Index Return Decomposition prompted several readers to inquire about forecasting the signs of returns, as implied by the decomposition variable. This is an interesting topic worth review, quick s...

https://quantivity.wordpress.com/2012/01/16/sign-direction-of-change-forecasting/

Quantivity is fortunate to be acquainted with numerous folks who have earned consistent returns over multiple decades without significant drawdown. Although they have varying trading strategies, ...

https://quantivity.wordpress.com/2012/01/03/physics-biology-peltzman-finance/

A variety of techniques exist for estimating parameters of the return decomposition model, previously introduced in Index Return Decomposition. This post considers estimation of an independent mi...

https://quantivity.wordpress.com/2011/12/28/estimating-mixture-index-return-decomposition-via-maximum-likelihood/

Risk is deeply underappreciated. Moreover, it is misunderstood—even by many who have smelled it up close personally via big trading loses on hedged positions. Aaron Brown’s most recent text, ...

https://quantivity.wordpress.com/2011/12/17/risk-pragmatics/

Unmasking a phenomenon into its constituent parts , via functional decomposition , is one of the great beauties of mathematics:     This technique finds surprisingly often use in quant models....

https://quantivity.wordpress.com/2011/12/14/index-return-decomposition/

Quantivity is pleasantly surprised to discover an increasing number of folks are deriving value from the Curated Quant Research Feed on @Quantivity. Indeed, the combo of daily curated feed with s...

https://quantivity.wordpress.com/2011/11/04/update-curated-quant-research-feed/