En este post te ofrecemos, en exclusiva, un trabajo de investigación llevado a cabo por el Laboratorio Darwinex en el que te revelamos el impacto cuantitativo a largo plazo de un apalancamiento creciente en el rendimiento de estrategias de trading, así como el umbral máximo de VaR que implicará que, si es sobrepasado, la probabilidad […]

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. Detecting significant, unforeseen changes in underlying market conditions (termed “market regimes“) is one of the greatest challenges faced by algorithmic traders today. It is therefore critical that traders […]

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 […]

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 […]