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]