STOCK TRADING via A.I. & MACHINE LEARNING WORKSHOP Saturday, February 9 and 16, 2019 | 9:30 a.m. to 1:30 p.m. … Continue Reading Dr. Peter Lin at Columbia University MACHINE LEARNING WORKSHOP
This report introduces Gamma Paradigm’s Pure Alpha strategy framework – one of the two pillars of Gamma Paradigm Prime Fund. … Continue Reading Quant Investing: Pure Alpha 2022
The traditional momentum factor (cross mom) is a strategy that buys past winners and short sells past losers. It has … Continue Reading Quant Investing: Composed Volatility based Time Series Momentum
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
The “Option Force Crystal Ball” is our quantitative solution for open interest analysis. It utilizes the Max-pain Theory, a young … Continue Reading Quant Investing: Max-Pain Theory and the Option Force Crystal Ball
In the previous report, we mentioned the abnormal performance of convertible bond ETF and tried to explain the source of … Continue Reading Quant Investing: What Happens to Convertible Bonds in 2021? Part 2
Convertible bonds are corporate bonds that can convert into stocks. In the past fifteen years, the annualized rate of return … Continue Reading Quant Investing: What Happens to Convertible Bonds in 2021?
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This report revisits Gamma Paradigm’s Adaptive Beta strategy framework – one of the two pillars of Gamma Paradigm Prime Fund. … Continue Reading Quant Investing: Adaptive Beta 2021
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
Echo to this research, Treasuries are a good equity hedge but required active investment discipline. Traditional static allocation through long-duration … Continue Reading Research Review: Are Long-Duration Treasuries the Best Hedge for Equities?
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
This report introduced two measures of realized volatility, RV30d and RV5min, and dives into their own characteristic. Description Past Current … Continue Reading Quant Investing: Rule-Based Strategy using Realized Volatility
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
This report tries to shed light on volatility by examining the result of a research paper: “Reading VIX: Does VIX … Continue Reading Quant Investing: the Decomposition of VIX
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
Having hit its last new high since coronavirus outbreak in 2020, the equity market now is dominated by a few … Continue Reading Quant Investing: Hidden Markov Model on Winner Portfolios