Technical paper/Trading strategy
Speed and dimensions of trading
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…
Machine learning for trading
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.
Optimal trading with linear and (small) non-linear costs
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
Optimal closing-price strategy: peculiarities and practicalities
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
Risk reduction in a time series momentum trading strategy
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.
Risk management for return enhancement
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models
Non-linear momentum strategies
Non-linear momentum strategies
Optimal design of volatility-driven algo-alpha trading strategies
Optimal design of volatility-driven algo-alpha trading strategies