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My research “queue”

Here’s a rough list of what I want to look at in the near future:
  • replicating Faber’s model, and improving it
  • measuring idiosyncratic returns, or the degree of stock returns affected by internal factors (company news, performance, etc.), isolated from the effect of external factors (macro, sector, and other systemic factors). The type of analysis in this article by ...
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ARTICLE: the future of quant finance

http://bit.ly/bUtLuG I completely agree with the above article. Quant finance is dominated by high frequency trading; actually, in most people’s minds HFT is quant/computation finance. Everyone’s using the same price and volume market data, trying to squeeze out profits by trading at the lowest latency possible. HFT is being commoditized. So you look at other places in the value chain where the ...
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Faber’s market timing 2

R source for graph, calculation of equity for 10 week trading system seen below. S&P 500 index data since 1973. Playing around with an example is a great way to learn. Finishing up the Faber system for the 5 indices he uses (S&P, MSCI EAFE, GSCI, NAREIT, and 10 year bonds), trading each in isolation. Waiting for S&P and GS ...
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Faber’s Market Timing paper 1

Using the quantmod and TTR libraries in R. Graph of S&P 500 index from 1973 to present, with equity curve of simple 10-week SMA timing system on the S&P 500, used in Mebane Faber’s paper. Faber’s method for “tactical asset allocation” has produced great risk-adjusted returns for the past 40 years (backtested), which brings up some questions: is it ...
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Untitled

Here I post my musings about the markets and playing the markets (with a hint of quant). I’m a huge subscriber of Occam’s razor and brevity, so I’ll keep it simple ...
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