Trend Following Risk Parity
The inspiration for this strategy comes from two thesis, Eidenvall, A. (2021). and Baltas, N. (2015). in which we construct … Continue Reading Trend Following Risk Parity
Weak Factor Alpha Strategy 2
Continuing from the previous report, we will now introduce how to incorporate the filtered features into a classifier model for … Continue Reading Weak Factor Alpha Strategy 2
Weak Factor Alpha Strategy 1
The idea of this strategy comes from the weak learner in the classifier, which first generates technical indicators and then … Continue Reading Weak Factor Alpha Strategy 1
The Application of Turning Tail Risks into Tailwinds
There must be risks to investing. However, we always want to eliminate it as much as possible. How to trasform … Continue Reading The Application of Turning Tail Risks into Tailwinds
Multi-filter Optimization for Pair Trading
Pair trading is a market neutral strategy, its concept is using multiple high connected symbol which have high linkage between … Continue Reading Multi-filter Optimization for Pair Trading
Application of Portfolio Decisions Within a Generalized Funding Ratio Framework
Harmonizing portfolios is always trending. Modern Portfolio Theory (MPT), the 1990 Nobel Memorial Prize in Economic Sciences, was proposed by … Continue Reading Application of Portfolio Decisions Within a Generalized Funding Ratio Framework
Quant Investing : Idea For Inflation Strategy Improvement
Since the beginning of 2022, although inflation stays at a high point, but with the Federal Reserve actively expressing its … Continue Reading Quant Investing : Idea For Inflation Strategy Improvement
Quant Investing : Inflation Hedge Improvement
In Hedge Interest Risk in High Inflation Environment, we present a simple combined strategy that aims to eliminate interest rate … Continue Reading Quant Investing : Inflation Hedge Improvement
Quant Investing : Hedge Interest Rate Risk in High Inflation Environment
In the previous work Inflation-Protected Bond Rotation Strategy. We introduce an inflation indicator to form a bond allocation strategy under … Continue Reading Quant Investing : Hedge Interest Rate Risk in High Inflation Environment
Protected: Quant Investing: Adaptive Beta 2021 (PDF)
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Quant Investing: Inflation-Protected Bond Rotation Strategy
During the COVID-19 pandemic, the real economy and capital market suffer a significant impact. To limit economic damage from the … Continue Reading Quant Investing: Inflation-Protected Bond Rotation Strategy
ESG: Scoring and the Impact of SFDR
ESG is an issue that refers to the enterprise’s contribution to the environment, society, and corporate governance characteristics for sustainable … Continue Reading ESG: Scoring and the Impact of SFDR
Quant Investing : Revisit the VIX Index
For a long time, the VIX index is recognized as a measureof implied options contracts and is supposed to provide … Continue Reading Quant Investing : Revisit the VIX Index
Quant Investing: VIX Indicator Improvement
Due to high holding cost, including VIX instrument in a portfolio requires accurate market-timing. We have construct a simple moving … Continue Reading Quant Investing: VIX Indicator Improvement