- Returns from quantitative strategies deteriorate over time - particularly as these strategies become more mainstream. To sustain returns either new strategies must be found or leverage must be increased. In Australia, leverage does not appear to be as readily available for stocks or ETF's as it is in the US so I will have to work very hard to identify unique strategies.
- Standard deviation is a key metric to determine the variability of a strategy. The more deviations the greater the volatility. In my experience, volatility triggers human emotion and anxiety. This is definitely something I want to avoid whilst trading.
- There are many research papers available on the behaviour of financial markets and trading strategies. I need to be thinking about how I invest my time following other peoples research otherwise I may become overwhelmed with choices and no clear direction. Hopefully, I can use this blog to kept me on course.
The availability of low cost semi or fully automated API driven stock market trading platforms available to the Australian public are next to non-existant. As a result, I decided to embark on a personal project to create my own quantitative trading platform for the ASX market using information and systems available to the average Australian. This blog was created to record and share my experiences.
Thursday, February 17, 2011
What Happened to the Quants in August 2007?
So I finished reading the paper What Happened to the Quants in August 2007. Here are my take aways..
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I'll be curious to read if you like the Chan book. Amazon reviewer claimed there is not enough meat when it comes to actual strategies.
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