Quantitative Trading Models

We have implemented a collection of trading strategies, utility models and algorithms which can be purchased separately. Please note that you need to have AlgoQuant, our library of financial analytics, to run these models. You may purchase them in the NM Shop.

Portfolio Optimization
Trend Following/Momentum
Mean Reversion
Covariance Selection

Factor Model

Fama-French 3-factor, Carhart 4-factor, Fama-French 5-factor and more.

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SOCP portfolio optimization

A number of economically important optimization problems can be solved efficiently by means of Second-Order Cone Programming (SOCP) techniques.

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Solving the “Corner Solution Problem” of Portfolio Optimization

Markowitz's efficient portfolios are concentrated in a few assets. If the frontier is considered within some infinitesimal tolerance, there are many efficient portfolios that are well diversified.

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Markowitz Portfolio Theory

Foundation of Modern Portfolio Theory, which stems many other portfolio optimization/asset allocation models.

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mean variance portfolio optimization unknown mean and covariance

Mean-Variance Portfolio Optimization When Means And Covariances Are Unknown

The new approach to portfolio optimization does not assume known means and covariances of the underlying asset returns. It is shown to provide substantial improvements over previous methods.

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Optimal Trend Following Trading Rules, 2011

An optimal trend following trading rule in a bull-bear switching market, where the drift of the stock price switches between two parameters corresponding to an uptrend (bull market) and a downtrend (bear market) according to an unobservable Markov chain.

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Knight-Satchell-Tran’s Moving Average Crossover Model, 1995

By using scale gamma distributions, this trend following model captures the fundamental asymmetry in upward versus downward returns for asset returns.

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Identifying Small Mean Reverting Portfolios, 2008

By forming portfolios with maximum mean reversion while constraining the number of assets in these portfolios, we formulate a sparse canonical correlation analysis and solve the corresponding sparse generalized eigenvalue problems.

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Intra-day volatility arbitrage strategy (VolArb)

This is an intraday trading strategy that profits from the difference between short-term volatility and long-term volatility.

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Elliott Pairs Trading Model, 2005

This is an analytical framework that analyzes pairs trading strategy that profits from the market being out of equilibrium.

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Covariance Selection by LASSO

A (sparse) covariance matrix estimation controlled by cardinality.

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Infantino’s PCA Model, 2010

A high frequency trading strategy using Principal Component Analysis (PCA) as a basis for short term valuation and market movements prediction.

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