Tag Archives: risk metrics

With the the increasing availability of complicated alternative investment strategies to both retail and institutional investors, and the broad availability of financial data, an engaging debate about performance analysis and evaluation is as important as ever. There won’t be one … Continue reading

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A One-Line Viewpoint on Trading

Given a time-series of one security’s price-train P[t], a low-frequency trader’s job (forgetting trading costs) is to find a step function S[t] to convolve against price changes P′[t] with the proviso that the other side to the trade exists. S[t] represents the bet … Continue reading

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