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How Overfitted Trading Strategies Perform Out-of-Sample

Posted on July 23, 2024 By 
Machine learning is a subset of artificial intelligence that involves training algorithms to learn patterns from data and make predictions or decisions without being explicitly programmed. It encompasses a range of techniques, from simple linear regression to complex neural networks, and is used in various applications such as image and …
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Joint Ventures: Definition, Types, Accounting, Journal Entry, Examples

Posted on July 21, 2024 By 
Companies often get into a relationship with other entities for various reasons. The nature of this relationship determines how companies account for it in the financial statements. One of the complex relationships companies can get into is a joint venture. Before discussing its accounting, it is crucial to understand what …
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Activity Ratios: Definition, Formula, Types, Examples, Meaning

Posted on July 17, 2024 By 
Activity ratios are crucial for anyone looking to understand a company’s efficiency. These ratios help in analyzing how well a business uses its assets to generate revenue. By focusing on activity ratios, owners can gain insights into a company’s operational performance. Understanding these ratios can reveal a lot about a …
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Volatility Risk Premium Across Different Asset Classes

Posted on July 15, 2024 By 
The volatility risk premium (VRP) is the compensation investors receive for bearing the risk associated with fluctuations in market volatility, typically measured as the difference between implied and realized volatility. The VRP in equities has been studied extensively. However, relatively little attention has been paid to the VRP in other …
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Implied Volatilities From a Behavioural Finance Perspective

Posted on July 11, 2024 By 
We have discussed at length the implied volatility and its relationships with realized volatility, volatility skew, dividend yield, and correlations. Moreover, it is interesting to examine implied volatility from a behavioural finance perspective. Reference studied the relationship between various countries’ implied volatilities and their cultural characteristics. Specifically, it utilized …
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Does Momentum Anomaly Really Exist?

Posted on July 7, 2024 By 
The momentum anomaly in the stock market refers to the phenomenon where stocks that have performed well in the past continue to perform well in the near future, and those that have performed poorly continue to underperform. Momentum strategies exploit this anomaly by buying stocks with high past returns and …
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Statistical Arbitrage in the Crude Oil Markets

Posted on June 29, 2024 By 
Statistical arbitrage is a classic trading strategy, invented in the 1980s. We mostly see it being applied in the equity markets, but statistical arbitrage is not limited to equities. It can be applied to other asset classes as well. Reference examined the statistical arbitrage strategy in the commodity markets, …
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