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, the quantitative trading research platform, to run these models. You may purchase them in the NM shop.

Portfolio Optimization
Trend Following/Momentum
Mean Reversion
Covariance Selection

Factor Model

SOCP portfolio optimization

Solving the “Corner Solution Problem” of Portfolio Optimization

Markowitz Portfolio Theory

Private: Mean-Variance Portfolio Optimization When Means And Covariances Are Unknown

Optimal Trend Following Trading Rules, 2011

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

Identifying Small Mean Reverting Portfolios, 2008

Intra-day volatility arbitrage strategy (VolArb)

Elliott Pairs Trading Model, 2005

Covariance Selection by LASSO

Infantino’s PCA Model, 2010