Introduction Quantica Capital has long been a beacon of rigorous quantitative research in systematic trading. Their latest paper, “Let it Ride or Lock it In? The Impact of Dynamic Versus Static Position Sizing on Trend-Following Performance,” offers a detailed and...
In trading, the most meaningful opportunities often lie at the extremes–those moments when price action escapes the gravitational pull of equilibrium and ventures into the unknown. These are the outliers, where the greatest potential exists, and this philosophy has always...
Introduction Periods of calm in financial markets often conceal hidden risks, quietly accumulating until they erupt in disruptive events. This blog explores why traditional risk models, like Value at Risk (VaR) and Sharpe ratios, fail to capture these vulnerabilities. By...
Introduction In financial markets, daily returns cluster around a central mean, with only a small fraction residing in the extreme tails. These tails—home to rare, large-magnitude moves—are the domain of outliers. While most strategies operate in the bulk of the...
Ensemble forecasting has revolutionized how we handle chaotic, nonlinear systems like extreme weather events. By replacing deterministic single-path models with probabilistic frameworks, ensemble models embrace uncertainty, providing actionable insights that improve preparedness and decision-making. This post explores the evolution of...
In this episode, Wayne Himelsein shares with Simon M and I his deep passion for long volatility strategies and how they fit into a quantitative approach to navigating market complexity. Wayne unpacks the nuances of blending systematic and discretionary methods...
This miniseries expands on the concepts introduced in our prior 5 part miniseries “The Power of Process” by delving deeper into the mechanics of Complex Adaptive Systems (CAS). It uncovers the intricate processes behind system evolution, exploring core principles like...
In this episode of the Systematic Investor Series, Niels and I dive into a dynamic discussion on managing uncertainty in financial markets. From geopolitical tensions influencing the ruble’s collapse to the critical interplay of trend-following models in chaotic environments. I...
Welcome to November 2024’s “What’s Caught Our Eyes This Month!” This month’s blog is packed with compelling insights from podcasts, articles, and book reviews that explore cutting-edge strategies and timeless principles in finance and trading. Highlights include an in-depth discussion...
This miniseries expands on the concepts introduced in our prior 5 part miniseries “The Power of Process” by delving deeper into the mechanics of Complex Adaptive Systems (CAS). It uncovers the intricate processes behind system evolution, exploring core principles like...
