Hidden Markov Models & Regime Change: DARWINs vs. S&P500

24 April 2017

In this post, we will employ a statistical time series approach using Hidden Markov Models (HMM), to firstly obtain visual evidence of regime change in the S&P500. We will then compare the index’ performance to a DARWIN Portfolio, between June 2014 and March 2017. Detecting significant, unforeseen changes in underlying market conditions (termed “market regimes“) […]

Quantitative Trader

Why Quantitative? – Serious Algorithmic Trading Series (Part 2)

20 March 2017

In case you haven’t already, you may wish to read the first two posts of the Serious Algorithmic Trading Series, here and here. Many individual traders will often hear the term “Quant” and may visualize either: A sharply dressed City trader working in a hedge fund, sat in front of his Bloomberg or Thomson Reuters […]

Serious Algorithmic Trading Series – Part 1

16 March 2017

Can individual traders really compete with large institutions?   This post is the first of a four-part “Serious Algorithmic Trading” series, introduced here. A trader will at one point or another, question how practical it is to compete with large institutions in the same markets. After all, it is “big money” at the end of […]