Quantivity | Uncommon Returns through Quantitative and Algorithmic Tra...

An astute reader suggested reproducing the results from a recent article on regime analysis by Kritzman et al., Regime Shifts: Implications for Dynamic Strategies in FAJ (May / June 2012). This is a fun exercise to be conducted over a series of posts...

Tadas asked an interesting question in his recent post: Where did all the finance bloggers go? A variety of folks gave thoughtful replies: Josh Brown, Flex Salmon, David Merkel, Scott Bell, the Macro Men, and bunch of anonymous professional traders....

GOOG unexpectedly disclosed their Q3 earnings early last week, on October 18th. While earnings were marginally interesting, much more amusing was the corresponding hiccup in intraday trading. This event provides an opportunity to dig into TAQ data, view...

Quantivity disliked undergrad macroecon, as it was largely a waste of time: fancy theory lacking compelling evidence, amplified by no consensus within the field à la saltwater versus freshwater.
Few folks could be blamed for such flippancy, as it was mostly harmless throughout the great moderation. In fact, traders took apparent pride in their ignorance of macro—except the global macro guys, obviously. Then, along came a credit crisis...