Model Risk

A while back, I went to a get-together with Massimo Morini, who wrote a book on model risk specifically. It struck me as a really interesting concept. I’ve been meaning to write a few words on model risk since. Model risk is the risk of a significant difference between the mark-to-model value of an instrument, … Continue reading

Ernie Chan on the pitfalls of backtesting

Nice overview from a practitioner on potential biases when backtesting. Ernie is the author of the decent algorithmic trading  intro called Quantitative Trading, which I recommend for anyone getting their head around this business. He blogs over on blogspot. [Warning: I may be able to afford a coffee if you happen to buy the book through … Continue reading

Jim Simons

Nice career retrospective by Jim Simons: MIT Video – Mathematics, Common Sense, and Good Luck: My Life and Careers. Here were his so-called hot tips: go with the computer models great people great infrastructure open atmosphere everybody knows what everyone else is doing no compartmentalization

Weekend Linkfest 101: Algorithmic Trading Blogs, Parallelism, and Trend Trading

Here’s my shortlist of interesting items for you take a look at this week. Enjoy! If you have any to suggest, do let me know. Creating & Compounding Wealth via Trend Following – Andrew Abraham New Blogs I Found Bigger Capital: Former head of single stock trading at Citi, and D.E. Shaw dude. Looks like … Continue reading

Fundamental indexing

Blogger-at-large, Yours Truly, wandered over to a debate organized by the London Quant Group (LQC) last Tuesday, on the topic of fundamental indexing. In one corner, we had Dr Adam Olive of HSBC, arguing for fundamental indexing, primarily as an improvement over pure market-cap (market capitalization) based indices. In the other corner, we had Ed … Continue reading

Algorithmic trading benefits: Trade like a Cyborg

In the United States, high-frequency trading firms represented 2% of the approximately 20,000 firms operating in 2010, but accounted for 73% of all equity orders volume, according to Aite Group. The Bank of England estimates similar percentages for the UK. The rise of the machines in trading often gives people associations like the one in the clip … Continue reading