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Performance of Momentum Funds

Posted on February 17, 2022 By 
Across several time frames and equity markets, momentum trading strategies that involve buying past winners and selling past losers have produced considerable gains. In recent years, asset management firms have offered investment vehicles that provide investors with easy access to momentum strategies. The number of funds and the asset under …
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European Options Pricing Model-Online Calculator

Posted on February 17, 2022 By 
Black–Scholes model is a celebrated option pricing model used in financial markets. It was published by Fischer Black, Myron Scholes, and Robert Merton. Scholes and Merton received the 1997 Nobel Memorial Prize in Economic Sciences for their work (Black died before the prize announcement). The model is now widely used …
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Anti-Herding Behavior of Hedge Funds

Posted on February 8, 2022 By 
The herd effect is when people do not pay attention to what they know. Instead, they follow what other people are doing. It is found that people tend to herd based on other investors’ activity, and not only their own behavior. They also tend to follow more extreme decisions made …
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Quantitative Trading in Credit Markets

Posted on February 6, 2022 By 
Quantitative trading, which relies on computer algorithms to make decisions about when and how to trade, has become a more dominant form of trading in equity markets. This type of trading employs mathematical models to identify opportunities and optimize trades. While quantitative trading is prevalent in equity markets, it is …
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Price Dynamics of Volatility Indices

Posted on February 4, 2022 By 
We have previously discussed the price dynamics of the SP500 volatility index, VIX. A recent article investigated the trending/mean-reverting properties of several volatility indices. The paper’s objective is to use the autoregressive fractionally integrated moving average (ARFIMA) model to extend research on Hurst exponent to the universe of volatility …
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Genetic Algorithm for Pairs Trading

Posted on February 1, 2022 By 
We have discussed previously how a complex trading system can be profitable. In a similar context, Reference applied a genetic algorithm to pairs trading. The authors developed a sophisticated genetic optimization algorithm that utilizes Bollinger Bands and correlation-coefficient for pairs trading. The algorithm encoded six important variables into a …
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Variance and Volatility Swaps

Posted on January 30, 2022 By 
Forward contracts are a crucial part of hedging and speculation for investors. These contracts allow two parties to buy or sell an asset at a specific price and future time. Usually, they also include the commodity, delivery date, and amount for the agreement. Forward contracts may come in many forms …
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