85 reputation
4
bio website
location
age
visits member for 2 years, 7 months
seen 2 days ago

Mar
27
comment How are momentum and reversion long/short strategies dynamically combined in trading?
Agree. Over time and with continued research/efforts, I have realised that the apparent profitability of time-series reversion stems from tracking the first differential of a very cyclic market. However, the kind of reversion I had in mind is not necessarily time series reversion but more of cross-sectional reversion and intra-industry play.
Mar
27
comment Controlling portfolio concentration
yes, i am working with futures. I think your understanding of the underlying issue makes sense. Deceptive (under)estimates of volatility seem to be the bane for risk parity. Could you please elaborate on the non-linear GARCH models that you are referring to? Is there any reference I can look up in this context?
Mar
17
accepted How are momentum and reversion long/short strategies dynamically combined in trading?
Mar
16
asked Controlling portfolio concentration
Feb
5
awarded  Popular Question
Jan
15
comment Inferring signals in absence of sign of principal components (PCA)?
I was hoping to use PCA to extract the slope information and implement a contango/backwardation strategy using information about the roll yields inferred by this slope PC. If the sign is arbitrary, I'm left with only the magnitude. Am I missing something? PS - I am trying to replicate the results of this paper: papers.ssrn.com/sol3/papers.cfm?abstract_id=1605211
Jan
15
asked Inferring signals in absence of sign of principal components (PCA)?
Apr
20
asked How are momentum and reversion long/short strategies dynamically combined in trading?
Jan
22
awarded  Scholar
Jan
22
comment How to use macroeconomic indicators for long/short trading strategies?
That helped! Quite a lot!! Thank you. :)
Jan
22
accepted How to use macroeconomic indicators for long/short trading strategies?
Jan
21
awarded  Supporter
Jan
21
comment How to use macroeconomic indicators for long/short trading strategies?
No answers/directions yet. Anyone?!
Jan
20
awarded  Student
Jan
20
asked How to use macroeconomic indicators for long/short trading strategies?