Recent Posts
December 11, 2020
No Comments
Using Returns in Pairs Trading
This 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
January 6, 2015
6 Comments
On Some Practical Issues when Using AlgoQuant to Compute the Markowitz Efficient Frontier
Markowitz 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.
April 23, 2014
No Comments
Change of Measure/Girsanov’s Theorem Explained
Change 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
May 16, 2013
17 Comments
