In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a portfolio on a quantitative basis, several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came...

In finance, decision making and choice requires that we assume that asset prices tend to trend. This assumption also logically enables us to construct exits to limit losses and protect capital. But investors have good reason to be uneasy regarding the potential for significant loss when using a...

Mr. Thomas Krawinkel's paper raises the issue of how limits on buying power in executing trades can have a significant impact on the active trader's system results or expectations. It sheds light on the fact that parallel trades consume buying power up to the point where any further trade must...

The goal of this paper is to assist the trader in answering two questions: 1) "What is a reasonable performance estimate of the long-run edge of the trading system?" and, 2) "What worst-case contingencies must be tolerated in short-run performance in order to achieve the long-run expectation?"...

In this study we use machine learning algorithm to test Amareos sentiment indicator's predictive power of market reversals. We then build and test a viable trading strategy.As input for the algorithm, we used eight market sentiment indicators (Anger, Anticipation, Disgust, Fear, Gloom, Joy,...

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

Financial analysts assume that the reliability of predictions derived from regression analysis improves with sample size. This is generally true because larger samples tend to produce less noisy results than smaller samples. But this is not always the case. Some observations are more relevant...

The Black Scholes Model (BSM) is one of the most important concepts in modern financial theory both in terms of approach and applicability. The BSM is considered the standard model for valuing options; a model of price variation over time of financial instruments such as stocks that can, among...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Macroeconomic data is often noisy, contradictory and lagging. These limitations render the data difficult to integrate into a robust quantitative investment strategy that generates excess returns. This paper outlines a new approach to macro investing that removes these inherent limitations in...