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
An Effective Approach for Obtaining a Group Trading Strategy PortfolioUsing Grouping Genetic Algorithm
Grouping Genetic Algorithm (GGA) is a concept in the algorithm of computer science. In the paper An Effective Approach for … Continue Reading An Effective Approach for Obtaining a Group Trading Strategy PortfolioUsing Grouping Genetic Algorithm
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 (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis
Financial advisors focus on asset class as a way to help investors diversify their portfolios to maximize returns. Investing in … Continue Reading The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis
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: Composed Volatility based Time Series Momentum
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
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
GPR Report – Behavioral Finance [慣性盈餘]
Examining on Post Earnings Announcement Drift (PEAD), we deliver a long-short strategy generating 9.96% alpha with -0.45 S&P 500 beta. … Continue Reading GPR Report – Behavioral Finance [慣性盈餘]