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