In the 1990s, banks tried to buy automated trading expertise; now, after a long break, they’re trying to build it
As banks get serious about e-trading, humans are being asked to give up their secrets to the machines that could replace them
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization problem.
In this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity. Together with vectors representing major trading directions, these provide new insight into the intrinsic…
Gordon Ritter applies reinforcement learning to dynamic trading strategies with market impact
An uncertainty quantification framework for the achievability of backtesting results of trading strategies
In this paper, the authors propose a framework for implementing and backtesting trading strategies.
Quants develop method to include both market impact and limit orders in optimal trade execution
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Prediction of arbitrage-free option prices that outperform existing models
The last few years have seen several high profile criminal and civil cases over the theft of intellectual property from financial institutions. Legal battles, however, are extremely complex and expensive, so firms need to ensure they have adequate…
Non-linear momentum strategies
UBI sells strategy-based products to retail in Italy for the first time
Optimal design of volatility-driven algo-alpha trading strategies