// blog
Research notes
Essays on quantitative trading, mathematics and technology.
- 11 Dec 2020Vicky BaiMarkowitz’s mean-variance model & Application in NM System
- 6 Jan 2015Haksun LiUsing Returns in Pairs TradingThis blog article is taken from our book [1]. In most entry-level materials on pairs trading such as in [2], a mean reverting basket is usually constructed by this relationship: \(P_t – \gamma Q_t = Z_t, \textrm{(eq. 1)
- 23 Apr 2014Hao DingOn Some Practical Issues when Using AlgoQuant to Compute the Markowitz Efficient FrontierMarkowitz suggests in his Nobel Prize-winning paper Markowitz(1952) that when one selects a portfolio, he/she should consider both the return and the risk of the portfolio. Most of us, if not all, are risk-averse. Risk-a
- 16 May 2013Haksun LiChange of Measure/Girsanov’s Theorem ExplainedChange of Measure or Girsanov’s Theorem is such an important theorem in Real Analysis or Quantitative Finance. Unfortunately, I never really understood it until much later after having left school. I blamed it to the pro
- 3 Sept 2012Haksun LiTrading and Investment as a ScienceHere is the synopsis of my presentation at HKSFA, September 2012. The presentation can be downloaded from here. 1. Many people lose money playing the stock market. The strategies they use are nothing but superstitions. T
- 12 Feb 2012Haksun LiData MiningThe good quant trading models reveal the nature of the market; the bad ones are merely statistical artifacts. One most popular way to create spurious trading model is data snooping or data mining. Suppose we want to crea
- 27 Oct 2011Haksun LiThe Role of Technology in Quantitative Trading ResearchI posted my presentation titled “The Role of Technology in Quantitative Trading Research” presented in HKU-HKUST-Stanford Conference in Quantitative Finance. Dec 9, 2011. Workshop On Recent Developments Of Financial Math
- 11 Aug 2011Haksun LiMean Reversion vs. Trend FollowingAlgoQuant 0.0.5 just got released! This release is particularly exciting because you no longer need a license to use AlgoQuant. AlgoQuantCore now disappears forever. The source of the entire AlgoQuant project is now avai
- 28 Jul 2011Kevin SunOn White’s (2000) Reality CheckI was asked the following question the other day on White’s reality check. QUESTION: I was reading White’s (2000) paper (http://www.ssc.wisc.edu/~bhansen/718/White2000.pdf). It seems to suggest that to examine the pnl ch
- 27 Jul 2011Haksun LiQuantitative Trading: Economist Approach vs. Mathematician ApproachThank you Lewis for introducing me to the field of “Quantitative Equity Portfolio Management”. It opens my eyes to the other spectrum of “Quantitative Trading.” Apparently what Lewis considers quantitative trading is ver
- 9 Jul 2011Haksun LiJava vs C++ performanceIt is very unfortunate that some people are still not aware of the fact that Java performance is comparable to that of C++. This blog piece collects the evidence to support this claim. The wrong perception about Java slo
- 1 Jun 2011Haksun LiOpen Source Trading Software Or Not?I have built a few trading systems from scratch during my years with investment banks. So, I have learnt from the many mistakes made. I am recently reviewing some open source system, and would like to share some thoughts
- 31 May 2011Haksun LiStrategy OptimizationTrading strategy optimization is an important aspect and a challenging problem in algorithmic trading. It requires determining a set of optimal solutions with respect to multiple objectives, where the objective functions
- 27 May 2011Haksun LiAlgorithmic Trading CoursesFor those who would like some organized introductory materials to algorithmic trading, I have designed an algorithmic trading course using materials from published papers. The course has been successfully conducted in tw
- 20 May 2011Haksun LiThe Right (and Wrong) Way to Run an Algorithmic Trading GroupI would like to share with you the unique vision that Numerical Method Inc. has about running an algorithmic trading group. To get an edge over competing funds, we emphasize on 1) the research process and 2) technology r
- 1 May 2011Haksun LiGain Capital FX rate dataFor most non-professional FX traders, one hurdle to start your own algorithmic trading research is tick-by-tick data. Gain Capital Group has been very kind and does the community a very good service by providing historic
- 3 Nov 2010Haksun LiThe Demand of Good Financial EngineersIt is very difficult to find people who can produce effective code for mathematical models. In general, mathematicians do not write good code and computer programmers do not understand the (advanced) mathematics. Yet, co
- 3 Nov 2010Haksun LiWhat is missing in our computer science curriculum?From my years of experience of recruiting computer science students, it seems that universities fail to train students who can build good software. When I hire freshly graduated students, I often need to rewrite their co