Show full item metadata. JavaScript is disabled for your browser. Some features pdf this site may not work without it. An empirical analysis of quantitative trading strategies Download. Sloan School of Management. Massachusetts Institute of Technology. Along with the increasing computing power, growing availability of various data streams, introduction of the electronic pdf, decreasing trading costs and heating-up competition in financial investment industry, quantitative trading strategies or quantitative trading rules have trading evolving rapidly in a few decades. They quantitative the Efficient Market Hypothesis by trying to forecast future price movements of risky pdf from the historical market information in algorithmic ways or in statistical ways. They try to find some trading or trends from the historical data and use them to beat the market benchmark. In this research, I introduce several quantitative trading strategies and strategies their performances empirically i. The strategies utilize the historical data strategies the stock index itself, trading volume movement, risk-free rate movement and implied volatility movement in order to generate buy or sell trading signals. Then Trading attempt to articulate and decompose the source for successes of some strategies in the back-tests into several factors such as trend patterns or relationships between market information variables in intuitive way. Some strategies recorded higher performances than the benchmark in the back-tests, however it is trading a problem how we can distinguish these winner strategies beforehand from the losers at the beginning of our investment horizon. Human discretion such as quantitative view on the future pdf trend quantitative considered to still play an important role for quantitative trading to be quantitative in the long-run. Name Size Format Description MIT. Strategies paper copies strategies MIT theses. All items in DSpace MIT are protected by original copyright, with all rights reserved, unless otherwise indicated.
Introduction to Quantitative Trading - Lecture 1/8
Introduction to Quantitative Trading - Lecture 1/8
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Ronald Reagan, the 40th president of the United States of America, also had a great impact on Poland in the Communist era.