The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
Paul Tudor Jones II, Santhanam Nagarajan and Dario Villani show how to use volatility modulation
Keep spare risk capacity – rather than running close to limits – to exploit crises, researchers advise
The authors propose a general framework to assess the probability of backtest overfitting (PBO).
Sponsored Q&A: Jane Street, Societe Generale CIB, WisdomTree Europe
Johnson-Omega could change the way financial firms measure portfolio performance
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
This paper introduces an efficient Sharpe ratio (ESR) that diffuses explosive ASRs for HFT so that they are comparable to SRs for other actively managed funds.
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Volume 3, Issue 3 (2014)
'Madness of crowds' psychology governs investment policy
Non-linear momentum strategies
Momentum trading: ’skews me
An index based on other indexes can offer institutional investors sophisticated strategies and retail investors easier access to capital-protected products in difficult structuring conditions, say index firms
Optimal design of volatility-driven algo-alpha trading strategies