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The First Rule of Stealth Mode Is..

Apparently, according to the internet, the first rule of stealth mode is not to be that stealthy.. I don’t know, didn’t know, nor cared too much about that. For the last 2-3 years I’ve been working a lot in complete secrecy on a quantitative trading strategy. Only a few close friends and some family knew […]

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Re: “How I made $500k with machine learning and HFT (high frequency trading)”

A few days back I was browsing my tweets when I ran across this one from @news.yc: “How I made $500k with machine learning and high frequency trading” (link to actual post here, link to news.yc discussions here) “Oh, this might be interesting”, I though to myself. So I clicked the link and started reading.. […]

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Technical analysis and its dependency on volatility, the report

Some time ago I posted about the topic of my dissertation. There were some interest in getting access to the report when it was completed, and I’m glad to say that it’s finally done. So if you want to go straight to the details, here’s the link: The profitability of technical analysis in a high frequency […]

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Excessive Optimism and Analyst Recommendations

This blog post taps into some of the theories outlined by behavioral finance. Specifically I’m going to look at research done on what is called overconfidence. Overconfidence among investors can manifest itself in many ways. One of these forms is excessive optimism (or pessimism) with regards to beliefs in future outcome. Carleton, Chen, and Steiner […]

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The profitability of technical analysis in a high frequency setting

UPDATE: The report has been completed, available here. One busy month behind me, and another one up next. Currently doing exam revisions and had some rather time consuming coursework so far, which has sadly prohibited me from doing anything here on this blog. So, to make up for a month of no blog activity I’ll set aside […]